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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.

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File URL: http://www.bcb.gov.br/pec/wps/port/wps194.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 194.

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Date of creation: Sep 2009
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Handle: RePEc:bcb:wpaper:194
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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