Atasoy, Burak SencerOzkan, Brahim2025-05-112025-05-1120241544-61231544-6131https://doi.org/10.1016/j.frl.2024.105503https://hdl.handle.net/20.500.12416/9669Atasoy, Burak Sencer/0000-0001-8680-7531; Ozkan, Ibrahim/0000-0002-1092-8123This 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.eninfo:eu-repo/semantics/closedAccessContagionSystemic RiskBankingGranger CausalityCorrelationsArticle6510.1016/j.frl.2024.1055032-s2.0-85193743569WOS:001265229300001Q1Q1