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Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis

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  • Harb, Hadi
  • Umutlu, Mehmet

Abstract

We examine how global shocks from various sources propagate across industries and countries. Financial contagion is measured using residual-based and volatility-adjusted correlation. Specific industries and countries were resilient during both global crises, while others played a significant role in transmitting shocks.

Suggested Citation

  • Harb, Hadi & Umutlu, Mehmet, 2024. "Shock resistors or transmitters? Contagion across industries and countries during the COVID-19 pandemic and the global financial crisis," Economics Letters, Elsevier, vol. 244(C).
    • Handle: RePEc:eee:ecolet:v:244:y:2024:i:c:s016517652400510x
    DOI: 10.1016/j.econlet.2024.112026
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    References listed on IDEAS

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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Contagion; Covid-19 pandemic; Global financial crisis; Correlation; International diversification;
    All these keywords.

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • H12 - Public Economics - - Structure and Scope of Government - - - Crisis Management
    • I18 - Health, Education, and Welfare - - Health - - - Government Policy; Regulation; Public Health

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