Testes de contágio entre sistemas bancários - A crise do subprime

Benjamin Tabak and Manuela Souza

No 194, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper investigates the presence of contagion due to the subprime crisis through the analysis of increases in correlation and changes in the co-skewness degree in banking systems. We elaborate a ranking containing the countries which suffered more contagion. Empirical results reveal that there is little evidence of contagion through the unconditional correlation channel and some evidence, although small, through the co-skewness channel.

Date: 2009-09
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/wps194.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:194

Access Statistics for this paper

More papers in Working Papers Series from Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().