Two-Stage Detection and Attribution of Cross-Border Financial Contagion Channels R package contagionchannels version 0.1.3 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. Software 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) Avishek Bhandari <avishekb@iitbbs.ac.in> Comprehensive R Archive Network (CRAN) 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) GPL-3 2026-05-08 application/tgz https://CRAN.R-project.org/package=contagionchannels doi:10.32614/CRAN.package.contagionchannels