Janssens, Eva F. Lumsdaine, Robin L. Vermeulen, Sebastiaan H. L. C. G.
Year of Publication:
Tinbergen Institute Discussion Paper TI 2018-008/III
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.
Flow of Funds economic downturns Susceptible-Infected-Removed(SIR) contagion epidemiology