Interconnectedness and Contagion Analysis: A Practical Framework

50 Pages Posted: 21 Nov 2019

See all articles by Jana Gieck Bricco

Jana Gieck Bricco

International Monetary Fund (IMF); Goethe University Frankfurt - Faculty of Economics and Business Administration

TengTeng Xu

International Monetary Fund (IMF)

Date Written: October 2019

Abstract

The analysis of interconnectedness and contagion is an important part of the financial stability and risk assessment of a country's financial system. This paper offers detailed and practical guidance on how to conduct a comprehensive analysis of interconnectedness and contagion for a country's financial system under various circumstances. We survey current approaches at the IMF for analyzing interconnectedness within the interbank, cross-sector and cross-border dimensions through an overview and examples of the data and methodologies used in the Financial Sector Assessment Program. Finally, this paper offers practical advice on how to interpret results and discusses potential financial stability policy recommendations that can be drawn from this type of in-depth analysis.

Keywords: Financial regulation and supervision, Financial crises, Financial institutions, Financial systems, Macroprudential policies and financial stability, Interconnectedess, Contagion, Financial Stability, Risk Analysis, Systemic Risk., WP, interbank, cross-sectoral, market data, cross-border

JEL Classification: G00, G1, G2, C5, G21, E63, E01, F16

Suggested Citation

Bricco, Jana and Xu, TengTeng, Interconnectedness and Contagion Analysis: A Practical Framework (October 2019). IMF Working Paper No. 19/220. Available at SSRN: https://ssrn.com/abstract=3491243

Jana Bricco (Contact Author)

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

Goethe University Frankfurt - Faculty of Economics and Business Administration ( email )

Frankfurt
Germany

TengTeng Xu

International Monetary Fund (IMF) ( email )

700 19th Street, N.W.
Washington, DC 20431
United States

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