LIVE · REPRODUCIBLEarXiv · econ.GN
What Drives Contagion? Identifying and Attributing Cross-Border Transmission Mechanisms
arXiv:2604.26546 · arXiv preprint · 2026-04
A two-stage framework for cross-border financial contagion. Stage one uses wavelet-quantile transfer entropy across time-scales and lower, median and upper-tail quantiles to detect significant directional links. Stage two attributes each link to one of five channels (Trade, Financial, Geopolitical, Behavioural, Monetary Policy) using instrumental-variables estimation, LASSO instrument selection, local projections across horizons, and sensitivity bounds, across 18 G20 equity markets over eight crisis sub-periods from January 2006 to March 2026.
Key results
- Attributes each detected cross-border link to one of five channels across 18 G20 markets and eight crisis sub-periods.
- The live engine reproduces the paper Table 5 to 0.000 pp; the Trade channel rises from about 9% (pre-crisis) to about 28% (global financial crisis).
- Network density ranges from 14% to 32% across episodes; the Behavioural channel stays below 22% throughout.
Channel attribution, reproduced static regeneration
The engine regenerates the paper's channel-share table; see reproduce.html for the live run.
✓ The engine reproduces the paper Table 5 to 0.000 pp.
0.000 pp
Table 5 match
8.8% → 27.9%
Trade, pre-crisis → GFC
14–32%
network density range
The live engine reproduces the paper Table 5 to 0.000 pp over the attributed channel shares.