An Epidemiological Model of Economic Crisis Spread Across Sectors in the United States
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SeriesBrown Bag Seminars General Economics
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SpeakerRobin Lumsdaine (Erasmus University Rotterdam)
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FieldEconometrics
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LocationErasmus University Rotterdam, E-Building, Room EB-12
Rotterdam -
Date and time
March 13, 2019
12:00 - 13:00
Abstract
This paper develops a discrete-time epidemiological model for the spread of economic 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 and money market mutual funds sectors are highly contagious while the monetary authority is the least contagious.
Joint with Eva F. Janssens and Sebastiaan H.L.C.G. Vermeulen