Contagion in the Brazilian interbank currency exchange market: an empirical analysis
Autor(a) principal: | |
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Data de Publicação: | 2006 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Estudos Econômicos (São Paulo) |
Texto Completo: | https://www.revistas.usp.br/ee/article/view/35873 |
Resumo: | The risk of contagion is the possibility that the failure of a financial institution affected by an exogenous shock generates the failure of other institutions not initially affected by the shock. As pointed out by Upper and Worms (2002) and others, the domino effect in the payment system depends on the precise pattern of interbank linkages. This paper studies the occurrence of financial contagion after the exogenous failure of an institution authorized to operate in the Brazilian interbank currency market. The data contain information about all the actual transactions that occurred in this market from August 1st, 2000 to October 31st, 2002. The adopted methodology shows the occurrence of contagion propagation in several subsequent rounds after the initial failure. We quantify the number of institutions that breakdown and the financial losses of the market. There is a large increase in the number of failed institutions during the period of the presidential elections in 2002. |
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Contagion in the Brazilian interbank currency exchange market: an empirical analysis contagionsystemic riskinterbank currency marketBrazilcontágiorisco sistêmicomercado interbancário câmbioBrasil The risk of contagion is the possibility that the failure of a financial institution affected by an exogenous shock generates the failure of other institutions not initially affected by the shock. As pointed out by Upper and Worms (2002) and others, the domino effect in the payment system depends on the precise pattern of interbank linkages. This paper studies the occurrence of financial contagion after the exogenous failure of an institution authorized to operate in the Brazilian interbank currency market. The data contain information about all the actual transactions that occurred in this market from August 1st, 2000 to October 31st, 2002. The adopted methodology shows the occurrence of contagion propagation in several subsequent rounds after the initial failure. We quantify the number of institutions that breakdown and the financial losses of the market. There is a large increase in the number of failed institutions during the period of the presidential elections in 2002. O risco de contágio é a possibilidade de que a falência de uma instituição financeira afetada por algum choque exógeno gere a falência de outras instituições não afetadas pelo choque inicialmente. Como salienta Upper e Worms (2002) e outros, o efeito dominó no sistema de pagamentos depende do padrão das interligações bancárias. Este artigo estuda a ocorrência de contágio financeiro após a falência exógena de uma instituição autorizada a operar no mercado interbancário de câmbio no Brasil. Os dados contêm informações sobre todas as transações efetivamente realizadas no período 01/08/2000 a 31/10/2002. A metodologia adotada mostra a ocorrência da propagação do contágio após várias rodadas subseqüentes à falência inicial. O artigo quantifica o número de instituições que quebrariam e as perdas financeiras do mercado. Existe um aumento substancial no número de falências durante o período pré-eleitoral em 2002. Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade2006-06-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ee/article/view/3587310.1590/S0101-41612006000200003Estudos Econômicos (São Paulo); v. 36 n. 2 (2006); 251-262 1980-53570101-4161reponame:Estudos Econômicos (São Paulo)instname:Universidade de São Paulo (USP)instacron:USPenghttps://www.revistas.usp.br/ee/article/view/35873/38590Copyright (c) 2006 Maria Tannuri-Piantohttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessTannuri-Pianto, Maria2021-02-01T11:50:38Zoai:revistas.usp.br:article/35873Revistahttps://www.revistas.usp.br/eePUBhttps://www.revistas.usp.br/ee/oaiestudoseconomicos@usp.br||aldrighi@usp.br1980-53570101-4161opendoar:2021-02-01T11:50:38Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
title |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
spellingShingle |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis Tannuri-Pianto, Maria contagion systemic risk interbank currency market Brazil contágio risco sistêmico mercado interbancário câmbio Brasil |
title_short |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
title_full |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
title_fullStr |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
title_full_unstemmed |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
title_sort |
Contagion in the Brazilian interbank currency exchange market: an empirical analysis |
author |
Tannuri-Pianto, Maria |
author_facet |
Tannuri-Pianto, Maria |
author_role |
author |
dc.contributor.author.fl_str_mv |
Tannuri-Pianto, Maria |
dc.subject.por.fl_str_mv |
contagion systemic risk interbank currency market Brazil contágio risco sistêmico mercado interbancário câmbio Brasil |
topic |
contagion systemic risk interbank currency market Brazil contágio risco sistêmico mercado interbancário câmbio Brasil |
description |
The risk of contagion is the possibility that the failure of a financial institution affected by an exogenous shock generates the failure of other institutions not initially affected by the shock. As pointed out by Upper and Worms (2002) and others, the domino effect in the payment system depends on the precise pattern of interbank linkages. This paper studies the occurrence of financial contagion after the exogenous failure of an institution authorized to operate in the Brazilian interbank currency market. The data contain information about all the actual transactions that occurred in this market from August 1st, 2000 to October 31st, 2002. The adopted methodology shows the occurrence of contagion propagation in several subsequent rounds after the initial failure. We quantify the number of institutions that breakdown and the financial losses of the market. There is a large increase in the number of failed institutions during the period of the presidential elections in 2002. |
publishDate |
2006 |
dc.date.none.fl_str_mv |
2006-06-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/35873 10.1590/S0101-41612006000200003 |
url |
https://www.revistas.usp.br/ee/article/view/35873 |
identifier_str_mv |
10.1590/S0101-41612006000200003 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/ee/article/view/35873/38590 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2006 Maria Tannuri-Pianto http://creativecommons.org/licenses/by-nc/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2006 Maria Tannuri-Pianto http://creativecommons.org/licenses/by-nc/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade |
dc.source.none.fl_str_mv |
Estudos Econômicos (São Paulo); v. 36 n. 2 (2006); 251-262 1980-5357 0101-4161 reponame:Estudos Econômicos (São Paulo) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Estudos Econômicos (São Paulo) |
collection |
Estudos Econômicos (São Paulo) |
repository.name.fl_str_mv |
Estudos Econômicos (São Paulo) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
estudoseconomicos@usp.br||aldrighi@usp.br |
_version_ |
1787713828067213312 |