This paper develops a methodology for detecting and measuring contagion using high-frequency data which disentangles continuous and discontinuous price movements. We demonstrate its finite-sample properties using Monte Carlo simulation, focusing on the empirically plausible parameter space. Decisions to extend the role of financial regulation around the world to the supervision of insurers in the wake of the global financial crisis have been met with literature which supports both the systemic importance of insurers and contrasting evidence that insurers are rather the `victims' of shocks transmitted via banks. We contribute to this debate by considering the time-varying evidence for contagion at both the firm level and the sector level. A number of insurance companies exhibit bank-like characteristics. Our evidence for contagion effects from banks to the real economy, with similar impact from the insurers, supports the view that financial regulation on banks does need to be extended to the insurance sector.

中文翻译：

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使用高频数据模拟金融传染

本文开发了一种使用高频数据来检测和测量传染的方法，该数据可以解开连续和不连续的价格变动。我们使用蒙特卡罗模拟证明了它的有限样本特性，重点是经验上合理的参数空间。在全球金融危机之后，将全球金融监管的作用扩展到对保险公司进行监管的决定得到了支持，这些文献既支持保险公司的系统重要性，也支持保险公司是冲击的“受害者”的对比证据通过银行传输。我们通过考虑公司层面和行业层面的传染性随时间变化的证据来为这场辩论做出贡献。许多保险公司表现出类似银行的特征。