Implementation of a two-stage framework for the joint detection-and-attribution of cross-border financial contagion. Stage one detects directional information flows between equity markets via Wavelet-Quantile Transfer Entropy, combining maximal-overlap discrete wavelet decomposition (Percival and Walden, 2000, ISBN:9780521685085) with the transfer-entropy estimator of Schreiber (2000) <doi:10.1103/PhysRevLett.85.461> and quantile conditioning following Han, Linton, Oka and Whang (2016) <doi:10.1016/j.jeconom.2016.03.001>. Stage two attributes each significant directional link to one of five mutually exclusive transmission channels (Trade, Financial, Geopolitical, Behavioural, Monetary Policy) through a multi-method structural identification architecture combining instrumental-variables two-stage least squares with channel-specific external instruments (Stock and Watson, 2018) <doi:10.1111/ecoj.12593>, LASSO-based instrument selection (Belloni, Chernozhukov and Hansen, 2014) <doi:10.1093/restud/rdt044>, local projections (Jorda, 2005) <doi:10.1257/0002828053828518>, heteroskedasticity-based identification (Rigobon, 2003) <doi:10.1162/003465303772815727>, and the Cinelli-Hazlett (2020) <doi:10.1111/rssb.12348> robustness-value sensitivity bound. Bundled datasets and replication scripts reproduce the headline findings of Bhandari, Parida and Sahu (2026) <doi:10.48550/arXiv.2604.26546>; the package is general-purpose and accommodates user-supplied returns and channel proxies.
| Version: | 0.1.3 |
| Depends: | R (≥ 4.1.0) |
| Imports: | xts, zoo, waveslim, quantreg, igraph, parallel, MASS, stats, utils |
| Suggests: | hdm, glmnet, ggplot2, dplyr, tidyr, patchwork, RColorBrewer, viridis, scales, readxl, knitr, rmarkdown, testthat (≥ 3.0.0) |
| Published: | 2026-05-08 |
| DOI: | 10.32614/CRAN.package.contagionchannels (may not be active yet) |
| Author: | Avishek Bhandari [aut, cre] (Indian Institute of Technology Bhubaneswar), Ipsita Parida [aut] (Indian Institute of Technology Bhubaneswar), Hitesh Kumar Sahu [aut] (Indian Institute of Technology Bhubaneswar) |
| Maintainer: | Avishek Bhandari <avishekb at iitbbs.ac.in> |
| BugReports: | https://github.com/avishekb9/contagionchannels/issues |
| License: | GPL-3 |
| URL: | https://github.com/avishekb9/contagionchannels |
| NeedsCompilation: | no |
| Citation: | contagionchannels citation info |
| Materials: | README, NEWS |
| CRAN checks: | contagionchannels results |
| Reference manual: | contagionchannels.html , contagionchannels.pdf |
| Vignettes: |
Using Custom Datasets (source, R code) Methodology Guide (source, R code) Replicating the Paper Results (source, R code) |
| Package source: | contagionchannels_0.1.3.tar.gz |
| Windows binaries: | r-devel: contagionchannels_0.1.3.zip, r-release: not available, r-oldrel: contagionchannels_0.1.3.zip |
| macOS binaries: | r-release (arm64): contagionchannels_0.1.3.tgz, r-oldrel (arm64): contagionchannels_0.1.3.tgz, r-release (x86_64): contagionchannels_0.1.3.tgz, r-oldrel (x86_64): contagionchannels_0.1.3.tgz |
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