Towards an integrated model for the transference of environmental responsibility

This research explores how environmental responsibility transfers to others. Although environmental responsibility is one of the most debated topics in environmental management literature, a framework describing how a teacher's environmental responsibility shapes the student's environmental responsibility is still lacking. Adopting emotional contagion theory as a lens, the paper addresses this issue via the mediation of emotional contagion and the moderation of a teacher's environmental concern. Based on a survey of teachers and students (N = 283) conducted in Pakistan, our findings provide evidence that a teacher's environmental responsibility can better transfer to students via emotional contagion. Additionally, our data establish that the transference of environmental responsibility from teachers to students via emotional contagion is more effective when the teacher has a high level of environmental concern than when he or she has a low level of environmental concern. Finally, the authors discuss the implications for policy in detail.     

A CRITICAL REVIEW OF CONTAGION RISK IN BANKING

The recent financial crisis has focused the attention of scholars and policymakers on how to improve financial stability through better macro‐prudential regulation and supervision. In this paper, we compare the existing theoretical and empirical literature on contagion through the banking system. It is argued that the structure of the interbank market, the size of banks, the linkages among them, the level of correlation of their investments and the transparency of the regulator are key factors in determining the possibility of contagion. We discuss the different findings and present avenues for future research.     

A survey of network-based analysis and systemic risk measurement

The financial crisis led to a number of new systemic risk measures and a renewed concern over the risk of contagion. This paper surveys the systemic risk literature with a focus on the importance of contributions made by those emphasizing a network-based approach, and how that compares with more commonly used approaches. Research on systemic risk has generally found that the risk of contagion through domino effects is minimal, and thus emphasized focusing on the resiliency of the financial system to broad macroeconomic shocks. Theoretical, methodological, and empirical work is critically examined to provide insight on how and why regulators have emphasized deregulation, diversification, size-based regulations, and portfolio-based coherent systemic risk measures. Furthermore, in the context of network analysis, this paper reviews and critically assesses newly created systemic risk measures. Network analysis and agent-based modeling approaches to understanding network formation offer promise in helping understand contagion, and also detecting fragile systems before they collapse. Theory and evidence discussed here implies that regulators and researchers need to gain an improved understanding of how topology, capital requirements, and liquidity interact.     

The contagion effect of jump risk across Asian stock markets during the Covid-19 pandemic

This paper tests the market jump contagion hypothesis in the context of the Covid-19 pandemic. We first use a nonparametric approach to identify jumps by decomposing the realized volatility into continuous and jump components, and we use the threshold autoregressive model to describe the jump interdependency structure between different markets. We empirically investigate the contagion effect across several major Asian equity markets (Mainland China, Hong Kong, Japan, South Korea, Singapore, Thailand, and Taiwan) using the 5-minute high frequency data. Some key findings emerge: jump behaviors occur frequently and make an important contribution to the total realized volatility; jump dynamics exhibit significant nonlinearity, asymmetry, and the feature of structural breaks, which can be effectively captured by the threshold autoregressive model; jump contagion effects are obviously detected and this effect varies depending on the regime.     

Overlapping portfolios,contagion, and financial stability

We study the problem of interacting channels of contagion in financial networks. The first channel of contagion is counterparty failure risk; this is captured empirically using data for the Austrian interbank network. The second channel of contagion is overlapping portfolio exposures; this is studied using a stylized model. We perform stress tests according to different protocols. For the parameters we study neither channel of contagion results in large effects on its own. In contrast, when both channels are active at once, bankruptcies are much more common and have large systemic effects.     

Relative risk aversion and the transmission of financial crises

We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into a second generation model of currency crises which allows for contagion through changes in fundamentals. Investor behavior can be a transmission channel of financial crises, as changes in risk premia increase the coverage ratio and makes the defense of a peg less attractive for the policy maker. The feedback effect of the risk premia on the probability of devaluation also makes multiple equilibria more likely. The possible stabilization effects of capital controls and a Tobin tax on the international transmission of financial crises are also studied.     

Stock market linkages and financial contagion: A cobreaking analysis

Financial crises have shown that dramatic movements in one financial market can have a powerful impact on other markets. This paper proposes to use cobreaking to model comovements between stock markets during crises and to test for contagion. We find evidence of cobreaking between developed stock markets. In emerging stock markets, the evidence of cobreaking is mainly due to the non-financial event of the World Trade Center terrorist attacks in 2001. We find evidence of short-term linkages during times of crisis but not contagion. These short-term linkages have important implications for investors, risk managers and regulators.     

Systemic liquidity contagion in the European interbank market

Systemic liquidity risk, defined by the International Monetary Fund as “the risk of simultaneous liquidity difficulties at multiple financial institutions,” is a key topic in financial stability studies and macroprudential policy-making. In this context, the complex web of interconnections of the interbank market plays the crucial role of allowing funding liquidity shortages to propagate between financial institutions. Here, we introduce a simple yet effective model of the interbank market in which liquidity shortages propagate through an epidemic-like contagion mechanism on the network of interbank loans. The model is defined by using aggregate balance sheet information of European banks, and it exploits country and bank-specific risk features to account for the heterogeneity of financial institutions. Moreover, in order to obtain the European-wide topology of the interbank network, we define a block reconstruction method based on the exchange flows between the various countries. We show that the proposed contagion model is able to estimate systemic liquidity risk across different years and countries. Results suggest that our effective contagion approach can be successfully used as a viable alternative to more realistic but complicated models, which not only require more specific balance sheet variables with high time resolution but also need assumptions on how banks respond to liquidity shocks.

     

The economic impact of lockdowns: A theoretical assessment

The sudden appearance of the SARS-CoV-2 virus and the onset of the COVID-19 pandemic triggered extreme and open-ended “lockdowns” to manage the disease. Should these drastic interventions be the blueprint for future epidemics? We construct an analytical framework, based on the theory of random matching, which makes explicit how epidemics spread through economic activity. Imposing lockdowns by assumption not only prevents contagion and reduces healthcare costs, but also disrupts income-generation processes. We characterize how lockdowns impact the contagion process and social welfare. Numerical analysis suggests that protracted, open-ended lockdowns are generally suboptimal, bringing into question the policy responses seen in many countries.     

Testing for financial spillovers in calm and turbulent periods

In this paper, we investigate financial spillovers between stock markets during calm and turbulent periods. We explicitly define financial spillovers and financial contagion in accordance with the literature and construct statistical models corresponding to these definitions in a Markov switching framework. Applying the new testing methodology based on transition matrices, we find that spillovers from the US stock market to the UK, Japanese and German markets are more frequent when the latter markets are in a crisis regime. However, we reject the hypothesis of strong financial contagion from the US to the other markets.     

Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients

This paper examines the Vietnamese stock market with an extension of the recent investigation of risk contagion effects. Daily data spanning October 9, 2006–June 19, 2009 are sourced for the empirical validation of the risk contagion between the stock markets in Vietnam, China, and the U.S. To facilitate the validation of contagion effects with market related coefficients, this paper constructs a bivariable EGARCH model of dynamic condition correlation coefficients. First, we examine whether there are contagion effects when there is a financial crisis in the Vietnamese stock market. Next, we verify whether the contagion risk triggered by the crisis can affect the Vietnamese market and examine which market influences the Vietnamese market the most. We find that compared to the U.S. stock market, the Chinese stock market brings more contagion risk to the Vietnamese market, and these effects gain more significance after the sub-prime mortgage crisis.     

Dynamic credit contagion and aggregate loss in networks

We develop a dynamic model to illustrate the credit risk contagion mechanism caused by interaction between firms. Specifically, we formulate the sources of risk into idiosyncratic risk and contagion risk, and introduce recovery ability to model the scenario of a firm changing from default into normal status. Our result shows that there always exists a steady state in a network under some trivial conditions. For quasi-regular networks and bipartite networks, the expected aggregate loss remains unchanged as long as the product of the contagion probability and the partner number is fixed.     

Green supply chain integration and financial performance: A social contagion and information sharing perspective

Although green supply chain integration (GSCI) has received wide attention, how it diffuses among supply chain members to affect the manufacturer's performance is still unclear. This study examines the relationships among GSCI, information sharing, and financial performance from a social contagion lens. By conceptualizing GSCI into three forms, two types of contagion mechanisms (i.e., cohesion and structural equivalence) were identified to investigate the underlying contagion effects between different forms of GSCI and the effects of various GSCI on information sharing and financial performance. Survey data were collected from 206 Chinese manufacturers and analyzed using structural equation modeling to test hypotheses. The results indicate that green supplier integration directly promotes green internal integration, green customer integration, and information sharing with suppliers. Green internal integration positively influences green customer integration and financial performance. Green customer integration enhances information sharing with customers. Both information sharing with suppliers and customers improve financial performance. This study contributes to the GSCI literature and provides novel managerial implications for manufacturers.     

基于分位点回归模型变点检测的金融传染分析

近期对金融危机传染的分析是国际金融研究中的重要问题。大多数传染效应存在性的检验采用相关性方法,这些方法只能指出传染的存在,不能给出传染的程度大小。本文应用分位点回归模型的变点检测,检验了传染效应的存在性,并给出了传染程度大小的一种度量方法。最后本文对亚洲几个国家的指数数据进行了金融危机传染的实证分析。     

Contagion and interdependence: Measuring CEE banking sector co-movements

This paper examines whether banking sector co-movements between the three largest Central and Eastern European Countries (CEECs) over the last decade can be attributed to contagion or to interdependence. Addressing various econometric problems put forward in the literature, we uncover substantial evidence of contagion stemming from the Czech Republic to Hungary during much of 1996.     

How supervisors set the tone for long hours: Vicarious learning,subordinates' self-motives and the contagion of working hours

This paper develops a theoretical model that highlights the mechanisms underlying the contagion of long working hours from supervisors to subordinates at different stages of their relationship. Drawing upon social learning theory, we suggest that subordinates mimic the supervisor's working hours through vicarious learning. Focusing first on the role-taking stage of the supervisor-subordinate relationship, we identify four factors, namely supervisor's perceived status, subordinate's work centrality, congruence between organizational norms and supervisor's working hours, and subordinate's identification with the supervisor, that may influence the perceived desirability of adopting the supervisor's working hours. We then examine the relative influence of each of these factors through the lens of subordinates' self-motives. Turning, next, to the routinized supervisor-subordinate relationship, we elaborate on how social contagion may evolve over time. Lastly, the implications of our model as well as future research avenues are presented.     

Network VAR models to measure financial contagion

Financial contagion among countries can arise from different channels, the most important of which are financial markets and bank lending. The paper aims to build an econometric network approach to understand the extent to which contagion spillovers (from one country to another) aris from financial markets, from bank lending, or from both. To achieve this aim we consider a model specification strategy which combines Vector Autoregressive models with network models. The paper contributes to the contagion literature with a model that can consider bank exposures and financial market prices, jointly and not only separately. From an empirical viewpoint, our results show that both bilateral exposures and market prices act as contagion channels in the transmission of shocks arising from a country to other countries.     

Does the bank risk concentration freeze the interbank system?

Probably, one test of the stability of the banking system is to evaluate how risky assets are distributed across banks’ portfolios and the implications for the contagion via interbank relations. This paper explores theoretically a bank sector with risks concentration and the functioning of interbank markets. It employs a simple model where banks are exposed to both credit and liquidity risk that suddenly correlate over the business cycle. We show that risk concentration makes interbank market breakdowns more likely and welfare monotonically decreases in risk concentration.     

Modelling contagion of financial crises

Inspired by the empirical findings, we include international traders to capture linkage between markets and propose a two-market heterogeneous agents model to simulate financial crisis with contagion effect. This paper manages to calibrate sudden crash behavior of US and UK stock markets during “Black Monday” of 1987 besides smooth crisis and disturbing crisis categorized in literature. It is implied that financial crisis and its contagion could be endogenous, which supports a scenario of over-valuation causing a financial crisis. In addition, the model shows that financial system could be fragile in which small shock(s) hitting individual market’s fundamental could cause financial crisis spreading to the other market. This also supports a scenario of external shock triggering a financial crisis. Lastly, to demonstrate the relevance of our model to financial markets, we manage to match typical stylized facts, especially cross-correlation which is exclusive to a multiple-market case.     

The nature,consequences, and management of emotions in interfirm paradoxical relationships—A conceptual framework

We develop a theory of emotions in interfirm paradoxical relationships with a focus on coopetition and emotional ambivalence. We suggest that appraisals of paradoxical coopetition situations lead to the arousal of multiple, oppositely valenced emotions of various intensities, combinations of which correspond to different states of emotional ambivalence. We explicate how emotional ambivalence, through managers’ appraisal and emotional contagion processes becomes collective and how it impacts coopetition performance. We further theorize how the negative effect of ambivalence on performance could be minimized and the positive effect could be amplified through emotional capability. Our theory provides a nuanced understanding of the complex nature of emotions, and how they arise, manifest, and impact outcomes in interfirm paradoxical relationships.