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— This paper presents empirical evidence of long range dependence in returns and volatility for banking indices for 41 different countries. We employ the Rescaled Hurst analysis and develop a formal statistical procedure to test for long range dependence. This procedure allows to rank these countries by relative inefficiency, which can provide guidance for(More)
This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000-2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility(More)
While the presence of long-range dependence in the asset returns seems to be a stylized fact, the issue of arguing the possible causes of this phenomena is totally obscure. Trying to shed light in this problem, we investigate the possible sources of the long-range dependence phenomena in the Brazilian Stock Market. For this purpose, we employ a sample which(More)
• We propose a new procedure called Dynamic Spanning Trees (DST). • Stock market inter-connectedness in the Asia-Pacific region is analyzed. • The DST significantly shrinks over time. • Hong Kong is found to be the key financial market. • DST has a significantly increased stability in the last few years. a b s t r a c t This article proposes a new procedure(More)
JEL classification: G21 G23 C63 L14 Keywords: Systemic risk Financial stability Interbank market Stress test Macroprudential Network a b s t r a c t In this paper, we propose a novel methodology to measure systemic risk in networks composed of financial institutions. Our procedure combines the impact effects obtained from stress measures that rely on(More)
T his chapter proposes a model to conduct a macro stress test of credit risk for the banking sector based on scenario analysis. We employ an original bank-level data set that splits bank credit portfolios into 21 granular categories, covering house hold and corporate loans. The results corroborate the presence of a strong procyclical behavior of credit(More)