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Source: International Monetary Fund

Interconnectedness and Contagion Analysis: A Practical Framework

Author/Editor:

Jana Bricco ; TengTeng Xu

Publication Date:

October 11, 2019

Disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

Summary:

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.

Series:

Working Paper No. 19/220

English

Publication Date:

October 11, 2019

ISBN/ISSN:

9781513516226/1018-5941

Stock No:

WPIEA2019220

Price:

$18.00 (Academic Rate:$18.00)

Format:

Paper

Pages:

49

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