An Epidemiological Model of Crisis Spread Across Sectors in The United States

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. TI 2018-008/III

Classification and Topics

• Classification: Wirtschaft ; Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications ; Business Fluctuations; Cycles ; Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts ; Financial Crises
• Subject: Flow of Funds ; economic downturns ; Susceptible-Infected-Removed(SIR) ; contagion ; epidemiology

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Janssens, Eva F. ; Lumsdaine, Robin L. ; Vermeulen, Sebastiaan H. L. C. G.
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2018

Further information

• Handle: http://hdl.handle.net/10419/177698
• Last update: 10.03.2025, 11:42 AM CET