Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/177698
Authors: 
Janssens, Eva F.
Lumsdaine, Robin L.
Vermeulen, Sebastiaan H. L. C. G.
Year of Publication: 
2018
Series/Report no.: 
Tinbergen Institute Discussion Paper TI 2018-008/III
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.
Subjects: 
Flow of Funds
economic downturns
Susceptible-Infected-Removed(SIR)
contagion
epidemiology
JEL: 
E37
E32
E01
G01
Document Type: 
Working Paper
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