Browsing by Keyword "Contagion"
Now showing items 1-7 of 7
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Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
2016Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ... -
Contagion and regulation in endogenous bank networks
2014-03-26We develop a simple model of endogenous bank networks to study financial contagion and how leverage regulation may affect it. Banks maximize expected profit by choosing the optimal allocation of resources between three ... -
Contágio no modelo de Allen e Gale com infraestrutura bancária endógena
2015-03-12In this work, we analyze network formation with wary agents. The model consists of two regions with (n/2) banks in each, where the connection between them occurs through interbank deposits. A bank run is possible to occur ... -
Essays on macroeconomics and banking
2016-11-26Essa tese é composta por dois capítulos. No primeiro, desenvolvo um modelo para quantificar o papel da heterogeneidade setorial, em relação ao acesso a crédito, na determinação dos efeitos da integração financeira. Fricções ... -
Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals
2009-01-26This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family ... -
Testing the hypothesis of contagion using multivariate volatility models
2009-01-26The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ... -
Testing the hypothesis of contagion using multivariate volatility models
2008-11-01The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and ...
