Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 2018-01-26
Number: 18-008/III
Author-Name: Eva (E.F.) Janssens
Author-Email: e.f.janssens@tinbergen.nl
Author-Workplace-Name: Tinbergen Institute; Erasmus University of Rotterdam
Author-Name: Robin (R.) Lumsdaine
Author-Email: robin.lumsdaine@american.edu
Author-Workplace-Name: American University, Erasmus University of Rotterdam
Author-Name: Sebastiaan (S.H.L.C.G.) Vermeulen
Author-Email: vermeulen@ese.eur.nl
Author-Workplace-Name: Tinbergen Institute; Erasmus University of Rotterdam
Title: An Epidemiological Model of Crisis Spread Across Sectors in The United States
Abstract: This paper develops a discrete-time epidemiological model for the spread of crises across sectors in the United States for the period 1952-2015. It is the first to use an epidemiological approach with macroeconomic (Flow of Funds) data. An extension of the usual one-period Markov model to a two-period setting incorporates the concept of downturns that may either precede a crisis or from which the sector may recover and avert a crisis. The results indicate that  the nonfinancial business and private depository institutions & money market mutual funds sectors are highly contagious while the monetary authority is the least contagious.
Classification-JEL: E37, E32, E01, G01
Keywords: Flow of Funds, economic downturns, Susceptible-Infected-Removed(SIR), contagion, epidemiology
File-Url: https://papers.tinbergen.nl/18008.pdf
File-Format: application/pdf
File-Size: 1520852 bytes
Handle: RePEc:tin:wpaper:20180008