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Conectividade e Risco Sistêmico no Sistema de Pagamentos Brasileiro

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  • Benjamin Miranda Tabak
  • Rodrigo César de Castro Miranda
  • Sergio Rubens Stancato de Souza

Abstract

This paper presents measures for the mitigation of systemic risk adopted in the Brazilian Payment System, and payments processed by this system are analyzed in order to identify potential sources of systemic risk. Measures for the mitigation of systemic risk within the Brazilian Payment System are meant to reduce possible financial contagion from spreading through this system in the event of defaults. In the case of clearinghouses, we find that the measures taken have reduced impacts of defaults, and in other cases we find that any possible contagion has its impact reduced. We also analyze a network derived from the payments using concepts from network theory, and from this analysis we obtain information about the interconnection of systemically important financial institutions and their possible fragility, which can help prevent systemic events.

Suggested Citation

  • Benjamin Miranda Tabak & Rodrigo César de Castro Miranda & Sergio Rubens Stancato de Souza, 2012. "Conectividade e Risco Sistêmico no Sistema de Pagamentos Brasileiro," Working Papers Series 300, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:300
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    File URL: http://www.bcb.gov.br/pec/wps/port/wps300.pdf
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    References listed on IDEAS

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    1. David Aikman & Piergiorgio Alessandri & Bruno Eklund & Prasanna Gai & Sujit Kapadia & Elizabeth Martin & Nada Mora & Gabriel Sterne & Matthew Willison, 2011. "Funding Liquidity Risk in a Quantitative Model of Systemic Stability," Central Banking, Analysis, and Economic Policies Book Series,in: Rodrigo Alfaro (ed.), Financial Stability, Monetary Policy, and Central Banking, edition 1, volume 15, chapter 12, pages 371-410 Central Bank of Chile.
    2. Kristin J. Forbes & Roberto Rigobon, 2002. "No Contagion, Only Interdependence: Measuring Stock Market Comovements," Journal of Finance, American Finance Association, vol. 57(5), pages 2223-2261, October.
    3. Renee Fry & Vance L. Martin & Chrismin Tang, 2008. "A New Class Of Tests Of Contagion With Applications To Real Estate Markets," CAMA Working Papers 2008-01, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    4. Jan Willem van den End, 2008. "Liquidity Stress-Tester: A macro model for stress-testing banks' liquidity risk," DNB Working Papers 175, Netherlands Central Bank, Research Department.
    5. Jan Willem van den End, 2010. "Liquidity Stress-Tester: A Model for Stress-testing Banks' Liquidity Risk," CESifo Economic Studies, CESifo, vol. 56(1), pages 38-69, March.
    6. Fry, Renée & Martin, Vance L. & Tang, Chrismin, 2010. "A New Class of Tests of Contagion With Applications," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 423-437.
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