contagionchannels: Two-Stage Detection and Attribution of Cross-Border Financial Contagion Channels

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

Documentation:

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)

Downloads:

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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