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Contagion in CDS, banking and equity markets

Author

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  • Tabak, Benjamin M.
  • de Castro Miranda, Rodrigo
  • da Silva Medeiros, Maurício

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.

Suggested Citation

  • Tabak, Benjamin M. & de Castro Miranda, Rodrigo & da Silva Medeiros, Maurício, 2016. "Contagion in CDS, banking and equity markets," Economic Systems, Elsevier, vol. 40(1), pages 120-134.
    • Handle: RePEc:eee:ecosys:v:40:y:2016:i:1:p:120-134
    DOI: 10.1016/j.ecosys.2015.07.002
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    More about this item

    Keywords

    Contagion; Correlation; Coskewness; Endogenous testing; G01; G15;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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