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Contagion in CDS, Banking and Equity Markets

Listed author(s):
  • Rodrigo César de Castro Miranda
  • Benjamin Miranda Tabak
  • Mauricio Medeiros Junior

We developed an endogenous testing strategy for finding contagion within stock markets indices, Credit Default Swaps spreads and banking sector indices. We present evidence of strong contagion in specific cases and markets and show an analysis of contagion to Brazil. Our results are important for the development of macroprudential policies.

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File URL: http://www.bcb.gov.br/pec/wps/ingl/wps293.pdf
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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 293.

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Date of creation: Oct 2012
Handle: RePEc:bcb:wpaper:293
Contact details of provider: Web page: http://www.bcb.gov.br/?english

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