IDEAS home Printed from
   My bibliography  Save this paper

Testes de contágio entre sistemas bancários - A crise do subprime


  • Benjamin M. Tabak
  • Manuela M. de Souza


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.

Suggested Citation

  • Benjamin M. Tabak & Manuela M. de Souza, 2009. "Testes de contágio entre sistemas bancários - A crise do subprime," Working Papers Series 194, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:194

    Download full text from publisher

    File URL:
    Download Restriction: no

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bcb:wpaper:194. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.