Contagion in CDS, banking and equity markets

Benjamin Tabak, Rodrigo de Castro Miranda and Maurício da Silva Medeiros

Economic Systems, 2016, vol. 40, issue 1, 120-134

Abstract: 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.

Keywords: Contagion; Correlation; Coskewness; Endogenous testing; G01; G15 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (23)

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Working Paper: Contagion in CDS, Banking and Equity Markets (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134

DOI: 10.1016/j.ecosys.2015.07.002

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