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Browsing by Author "Ozkan, Brahim"

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    Correlation Meets Causality: a Holistic Measure of Financial Contagion
    (Academic Press inc Elsevier Science, 2024) Atasoy, Burak Sencer; Ozkan, Brahim
    This study introduces a new measure of financial contagion. We argue that a rapid increase in correlations between two series is necessary but not sufficient for contagion to occur, and develop a contagion test that combines dynamic conditional correlations with time-varying Granger causality. We empirically illustrate our new approach using systemic risk data covering the period 1996 - 2023. We show that there are periods when correlations increase rapidly without causality, as well as periods when causality is present but correlations do not increase. The proposed test enables data-driven detection of contagion episodes and provides a clear distinction between interconnectedness and contagion.