Contagion in CDS, Banking and Equity Markets.

We developed an endogenous testing strategy for finding contagion within stock markets indices, Credit Default Swaps spreads and banking sector indices. We present evidence of strong contagion in specific cases and markets and show an analysis of contagion to Brazil. Our results are important for the development of macroprudential policies.

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Year of publication:	2012-10
Authors:	Miranda, Rodrigo César de Castro ; Tabak, Benjamin Miranda ; Junior, Mauricio Medeiros
Institutions:	Central Bank of Brazil, Research Department

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Extent:	application/pdf
Series:	Working Papers Series.
Type of publication:	Book / Working Paper
Notes:	Number 293
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010579176