Essays on empirical financial spillovers

The increasing globalization of the world’s economies creates linkages among economic agents that can amplify financial crisis when it occurs. The 2008 global financial crisis exposed the need to deepen our understanding of the channels through which financial risks propagate across countries. Moreover, preventing the occurrence of future crises requires new surveillance indicators that incorporate interactions between actors of the global economy. This thesis examines the transmission of financial risk by leveraging recent econometric techniques which explicitly accounts for the linkages among economic agents. It consists of three essays organized around two principal axes. The first essay proposes an original framework to analyze the relative importance of multiple transmission channels of risk across countries. It also derives indicators for global financial risk monitoring. The remaining two essays study the time-varying nature of transmission channels and their implications for empirical analysis. They take respectively the microeconomic and macroeconomic perspectives.(ECGE - Sciences économiques et de gestion) -- UCL, 201