Contagion in CDS, Banking and Equity Markets

Rodrigo Miranda (), Benjamin Tabak and Mauricio Junior

No 293, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: 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.

Date: 2012-10
New Economics Papers: this item is included in nep-ban and nep-fmk
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Citations: View citations in EconPapers (13)

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Journal Article: Contagion in CDS, banking and equity markets (2016)
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