Contagion in CDS, banking and equity markets

被引：24

作者：

Tabak, Benjamin M. ^{[1
]}

Miranda, Rodrigo de Castro ^{[2
,3
]}

Medeiros, Mauricio da Silva, Jr. ^{[4
]}

机构：

[1] Univ Catolica Brasilia, Dept Econ, SGAN 916,Modulo B,Ave W5, Brasilia, DF, Brazil

[2] SBS, Banco Cent Brasil, Quadra 3,Bloco B, Brasilia, DF, Brazil

[3] Univ Brasilia, Campus Univ Darcy Ribeiro, Brasilia, DF, Brazil

[4] FGV EPGE Escola Brasileira Econ & Financas, Grad Sch Econ, Praia Botafogo 190, Rio De Janeiro, RJ, Brazil

来源：

ECONOMIC SYSTEMS | 2016年 / 40卷 / 01期

关键词：

Contagion; Correlation; Coskewness; Endogenous testing; GLOBAL FINANCIAL CRISIS; STOCK MARKETS; INTERDEPENDENCE; SPILLOVER; TRANSMISSION; SKEWNESS; PRICE; RISK; US;

D O I：

10.1016/j.ecosys.2015.07.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We develop a strategy for testing endogenously contagion within banking sector, stock market indices and Credit Default Swap Spreads. We present evidence of strong contagion in several cases and markets. Contagion seems to be widespread during the Global Financial Crisis and the recent European Sovereign Debt Crisis. Our results are important for a better understanding of contagion and the development of macroprudential tools for financial stability surveillance. (C) 2015 Elsevier B.V. All rights reserved.

引用

页码：120 / 134

页数：15

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