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Análise da dinâmica da transmissão da política monetária através do canal de crédito utilizando modelagem baseada em agentes; Analysis of the monetary policy transmission through the credit channel using agent-based modeling

Katto, Junji
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 20/10/2014 PT
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45.81%
O presente trabalho tem como objetivo analisar a dinâmica da transmissão da política monetária através dos canais de crédito (Canal de Empréstimo Bancário e Canal dos Balanços Patrimoniais), utilizando conceitos e ferramentas da área de Sistemas Complexos para simular uma economia representada por diferentes setores em que os agentes estão interconectados através de relacionamentos de crédito. O presente modelo baseia-se no trabalho de Gatti et al. (2009). A novidade foi introduzir um mecanismo de transmissão da política monetária através de um mercado interbancário e de uma taxa básica de juros permitindo analisar os impactos na economia através dos canais de crédito. O resultado da simulação mostra que o impacto das políticas monetárias no âmbito microeconômico podem se desenvolver como resultado da interação complexa desses agentes heterogêneos através de relacionamentos de crédito ao longo do tempo, e as variáveis no âmbito macroeconômico, como a taxa básica de juros, afetam o próprio sistema através de um processo de retroalimentação ou feedback.; This study aims to analyze the dynamics of the monetary policy transmission through the credit channels (Bank Lending Channel and Balance Sheets Channel)...

Análise do mecanismo de transmissão dos preços internacionais de commodities agrícolas sobre o comportamento da taxa de câmbio real no Brasil

Margarido, Mario Antonio; Felippe, Cauê Serigati; Bruno, Benzaquen Perosa
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Trabalho em Andamento
EN_US
Relevância na Pesquisa
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This paper examined the transmission mechanism of international prices of agricultural commodities into the real exchange rate in Brazil for the period from January 2000 to February 2010. We used time series models (ARIMA Model, Transfer Model, Intervention Analysis, Johansen Cointegration Test) in determination of the short and long run elasticities. Transfer Function Model results show that changes in international prices of agricultural commodities are transmitted to the real exchange rate in Brazil in the short run, however, that transmission is less than unity, thus configuring the inelastic relationship. Johansen cointegration tests show that these variables are not co-integrated, no longer converge to the long-run equilibrium. These results are in agreement Cashim et al. (2004), which also found no long run relationship between real exchange rate and commodity prices in the case of Brazil. These results show that monetary shocks have greater weight on changes of the real exchange rate than real shocks.

União monetária Européia : diferenças no mecanismo de transmissão monetária; Monetary Policy under EMU: Differences in the Transmission Mechanism?

Levy, Joaquim Vieira Ferreira
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Trabalho em Andamento
Relevância na Pesquisa
45.92%
This study identifies differences in the monetary policy transmission mechanism across countries in the euro area. It is argued that part of the differences in the response of economic activity to monetary policy during the pre-EMU period reflected differences in monetary policy reaction functions, rather than different transmission mechanisms. In particular, monetary policy appears to have been more persistent in Germany and in those countries closely following Germany (such as Netherlands and Austria) in the European Exchange Rate Mechanism. Monetary policy in these countries appears to have had significant effects on domestic output. The corollary is that under EMU other countries—in particular France, Italy, Ireland, and Finland—are expected to see more sensitivity of output to monetary policy under EMU. Nevertheless, a common monetary policy is still found to bring about heterogeneous output responses across countries, reflecting variations in the strength of the interest, credit, and exchange rate channels that remain under EMU.

Transmissão monetária: resultados da aplicação de modelos VAR a Portugal e Alemanha

Janeiro, Eva Isabel Crisótomo
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /03/2004 POR
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Mestrado em Economia Monetária e Financeira; Tendo em conta o enquadramento da Terceira Fase da UEM, este trabalho aborda a questão da transmissão da política monetária à economia real. São estimados modelos VAR que pretendem identificar os efeitos de choques de taxa de juro sobre o produto e preços de duas economias da UEM, Portugal e Alemanha, em dois contextos distintos, políticas monetárias independentes e política monetária única. Paralelamente, estuda-se a importância relativa dos vários canais de transmissão monetária para o efeito total registado (canais de taxa de juro, taxa de câmbio e crédito). Os resultados confirmaram, como seria esperado, a reacção negativa do produto e preços dos dois países a aumentos de taxa de juro. Na transmissão monetária do período pré-UEM foram encontradas diferenças entre os dois países, a nível da magnitude e do timingdos efeitos. Considerando os resultados no contexto de política monetária única, concluiu-se que parte dessas diferenças estaria associada às diferentes funções de reacção e não a diferenças nos mecanismos de transmissão. Adicionalmente, encontraram-se indícios de que o mecanismo de transmissão destes países não se tenha alterado, de forma significativa...

The monetary transmission mechanism in the Euro Area : has it changed with the EMU?

Silva, António Jorge Esteves da
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em //2014 ENG
Relevância na Pesquisa
65.96%
Mestrado em Economia Monetária e Financeira; We study whether the adoption of the euro and a single monetary policy have brought about a change in the monetary transmission mechanism and in the interactions of monetary policy, fiscal policy and financial stress in the euro area. We find that the stylized facts of monetary transmission remain valid but the response of output and, mainly, the fiscal and financial stress variables to a monetary policy shock seem to be stronger in the post-EMU period. These changes may signal a higher degree of synchronization of the euro area countries’ economies after the adoption of the euro. Regarding fiscal and financial stress shocks, the inclusion in the post-EMU period of the subprime and sovereign debt crises yields changes not only in the scale but also in the patterns of the responses of our model’s main variables. Overall, we conclude that the subprime and sovereign debt crises have contributed markedly to the post-EMU impulse response functions and, if those periods of financial turbulence are excluded, the responses of the macro variables to monetary, fiscal and financial stress shocks in the post-EMU period are of a remarkably small magnitude.

The monetary transmission mechanism in the Euro Area : has it changed with the EMU? A VAR approach, with fiscal policy and financial stress considerations

Afonso, António; Silva, António Jorge
Fonte: ISEG – Departamento de Economia Publicador: ISEG – Departamento de Economia
Tipo: Trabalho em Andamento
Publicado em //2014 ENG
Relevância na Pesquisa
65.96%
We study whether the adoption of the Euro and a single monetary policy have brought about a change in the monetary transmission mechanism and between the interactions of monetary policy, fiscal policy and financial stress in the Euro area. We find that the stylized facts of monetary transmission remain valid, but the response of output and, especially, fiscal and financial stress variables to a monetary policy shock, seems to be stronger in the post-EMU period. Regarding fiscal and financial stress shocks, the inclusion in the post-EMU period of subprime and sovereign debt crises yields, changes, not only in the scale, but also in the patterns of the responses of our model’s main variables.

The monetary transmission mechanism in Brazil: evidence from a var analysis

Luporini,Viviane
Fonte: Fundação Instituto de Pesquisas Econômicas - FIPE Publicador: Fundação Instituto de Pesquisas Econômicas - FIPE
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/03/2008 EN
Relevância na Pesquisa
45.8%
This article presents evidence on the interest channel of the monetary policy for the Brazilian economy of the 1990s analyzing the effects of an unexpected change in the baseline interest rate on output, prices and the exchange rate in a vector autoregression system. Our main results are: a) a tightening in the monetary policy affects economic activity immediately, reducing the rate of growth of real GDP; b) the exchange rate and prices are affected only after a time interval, with inflation assuming a downward trend only two months after the monetary shock; c) results do not change when the specification is controlled for international conditions, commodity prices or other measures of inflation and economic activity; d) monetary shocks have a significant impact on the volatility of output and inflation in the benchmark model e) monetary shocks have a significant impact on the volatility of the debt/GDP ratio in the control-model.

Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

Tokat,Hakki Arda
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/03/2013 EN
Relevância na Pesquisa
55.96%
This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market participants to know how the shocks and volatility are transmitted over time across the markets. It is also important to know if the volatility transmission changes during the times of financial crises. Significant transmission of shocks and volatility is found among different CDS markets. Contrary to previous studies showing one-way transmission of volatility from developed to emerging markets, interdependence detected among different markets indicates the presence of cross-market hedging.

Interprotomer motion-transmission mechanism for the hexameric AAA ATPase p97

Li, Guangtao; Huang, Chengdong; Zhao, Gang; Lennarz, William J.
Fonte: National Academy of Sciences Publicador: National Academy of Sciences
Tipo: Artigo de Revista Científica
EN
Relevância na Pesquisa
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Multimeric AAA ATPases represent a structurally homologous yet functionally diverse family of proteins. The essential and highly abundant hexameric AAA ATPase p97 is perhaps the best studied AAA protein, playing an essential role in various important cellular activities. During ATP-hydrolysis process, p97 undergoes dramatic conformational changes, and these changes are initiated in the C-terminal ATPase domain and transmitted across the entire length of the molecule to the N-terminal effector domain. However, the detailed mechanism of the motion transmission remains unclear. Here, we report an interprotomer motion-transmission mechanism to explain this process: The nucleotide-dependent motion transmission between the two ATPase domains of one protomer is mediated by its neighboring protomer. This finding reveals a strict requirement for interprotomer coordination of p97 during the motion-transmission process and may shed light on studies of other AAA ATPases.

A New Pathogen Transmission Mechanism in the Ocean: The Case of Sea Otter Exposure to the Land-Parasite Toxoplasma gondii

Mazzillo, Fernanda F. M.; Shapiro, Karen; Silver, Mary W.
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 18/12/2013 EN
Relevância na Pesquisa
45.95%
Toxoplasma gondii is a land-derived parasite that infects humans and marine mammals. Infections are a significant cause of mortality for endangered southern sea otters (Enhydra lutris nereis), but the transmission mechanism is poorly understood. Otter exposure to T. gondii has been linked to the consumption of marine turban snails in kelp (Macrocystis pyrifera) forests. It is unknown how turban snails acquire oocysts, as snails scrape food particles attached to surfaces, whereas T. gondii oocysts enter kelp beds as suspended particles via runoff. We hypothesized that waterborne T. gondii oocysts attach to kelp surfaces when encountering exopolymer substances (EPS) forming the sticky matrix of biofilms on kelp, and thus become available to snails. Results of a dietary composition analysis of field-collected snails and of kelp biofilm indicate that snails graze the dense kelp-biofilm assemblage composed of pennate diatoms and bacteria inserted within the EPS gel-like matrix. To test whether oocysts attach to kelp blades via EPS, we designed a laboratory experiment simulating the kelp forest canopy in tanks spiked with T. gondii surrogate microspheres and controlled for EPS and transparent exopolymer particles (TEP - the particulate form of EPS). On average...

Integrative proteomics to understand the transmission mechanism of Barley yellow dwarf virus-GPV by its insect vector Rhopalosiphum padi

Wang, Hui; Wu, Keke; Liu, Yan; Wu, Yunfeng; Wang, Xifeng
Fonte: Nature Publishing Group Publicador: Nature Publishing Group
Tipo: Artigo de Revista Científica
Publicado em 10/07/2015 EN
Relevância na Pesquisa
45.91%
Barley yellow dwarf virus-GPV (BYDV-GPV) is transmitted by Rhopalosiphum padi and Schizaphis graminum in a persistent nonpropagative manner. To improve our understanding of its transmission mechanism by aphid vectors, we used two approaches, isobaric tags for relative and absolute quantitation (iTRAQ) and yeast two-hybrid (YTH) system, to identify proteins in R. padi that may interact with or direct the spread of BYDV-GPV along the circulative transmission pathway. Thirty-three differential aphid proteins in viruliferous and nonviruliferous insects were identified using iTRAQ coupled to 2DLC-MS/MS. With the yeast two-hybrid system, 25 prey proteins were identified as interacting with the readthrough protein (RTP) and eight with the coat protein (CP), which are encoded by BYDV-GPV. Among the aphid proteins identified, most were involved in primary energy metabolism, synaptic vesicle cycle, the proteasome pathway and the cell cytoskeleton organization pathway. In a systematic comparison of the two methods, we found that the information generated by the two methods was complementary. Taken together, our findings provide useful information on the interactions between BYDV-GPV and its vector R. padi to further our understanding of the mechanisms regulating circulative transmission in aphid vectors.

Monetary Policy, Structural Break, and the Monetary Transmission Mechanism in Thailand

Hesse, Heiko
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
66.02%
The paper studies monetary policy and the monetary transmission mechanism in Thailand in light of the Asian crisis in 1997. Existing studies that adopt structural vector auto-regression (VAR) approaches do not give a clear and agreed-upon view how monetary shocks are transmitted to the Thai economy that is subject to structural breaks. This study explicitly models a pre-crisis and post-crisis cointegrated VAR model. This analysis supports arguments that the trinity of open capital markets, pegged exchange rate regime, and monetary policy autonomy is inconsistent in the pre-crisis period. In contrast, the model points to an effective monetary policy in the post-crisis period. Further, the author analyzes the common driving trends of the model.

Crisis Transmission : Evidence from the Debt, Tequila, and Asian Flu Crises

De Gregorio, José; Valdés, Rodrigo O.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Artigo de Revista Científica
EN_US
Relevância na Pesquisa
45.81%
This article analyzes how external crises spread across countries. The authors analyze the behavior of four alternative crisis indicators in a sample of 20 countries during three well-known crises: the 1982 debt crisis, the 1994 Mexican crisis, and the 1997 Asian crisis. The objective is twofold: to revisit the transmission channels of crises, and to analyze whether capital controls, exchange rate flexibility, and debt maturity structure affect the extent of contagion. The results indicate that there is a strong neighborhood effect. Trade links and similarity in pre-crisis growth also explain (to a lesser extent) which countries suffer more contagion. Both debt composition and exchange rate flexibility to some extent limit contagion, whereas capital controls do not appear to curb it.

Changes in equity risk perceptions: global consequences and policy responses

McKibbin, Warwick J; Vines, David
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Working/Technical Paper Formato: 1154233 bytes; 360 bytes; application/pdf; application/octet-stream
EN_AU
Relevância na Pesquisa
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The current weakness in the global economy has generated a debate on the likely outlook for the world economy and the appropriate response for monetary policies. The world economy is currently being buffeted by a number of major shocks. A particular feature has been the large fall in equity markets in many countries. In this paper we use the MSG3 global economic model to assess the impact on the global economy of a sharp rise in the equity risk premium in a number of countries. In particular we examine whether a rise in equity risk premia (or fall in productivity which has many similar implications) is a shock to aggregate supply or aggregate demand. We explore the difference in the transmission mechanism if the shocks occur just in one country (i.e. the United States) versus across the OECD generally. We then assess the appropriate responses of monetary policy to shocks of this type and explore whether there are gains to coordinating the monetary policy responses of the G7.; no

The effect of financial depth on monetary transmission

PITZEL, Danny; UUSKULA, Lenno
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Artigo de Revista Científica
EN
Relevância na Pesquisa
45.84%
Several papers have looked at the relationship between country-specific factors and the strength of monetary transmission. For example, Cecchetti (1999) concentrated on legal aspects, while De Grauwe and Storti (2004) focused more on the financial structure of the economy. The objective of this paper is to measure how financial development variables influence the strength of monetary transmission in the European countries. This paper employs a meta-analysis technique that has gained much popularity in recent years. According to the results, monetary transmission in Europe is strongly influenced by financial depth and structure.

Productivity, External Balance and Exchange Rates: Evidence on the Transmission Mechanism among G7 Countries

CORSETTI, Giancarlo; DEDOLA, Luca; LEDUC, Sylvain
Fonte: Instituto Universitário Europeu Publicador: Instituto Universitário Europeu
Tipo: Trabalho em Andamento Formato: 1269789 bytes; application/pdf
EN
Relevância na Pesquisa
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This paper investigates the international transmission of productivity shocks in a sample of ve G7 countries. For each country, using long-run restrictions, we identify shocks that increase permanently domestic labor productivity in manufacturing (our measure of tradables) relative to an aggregate of other industrial countries including the rest of the G7. We find that, consistent with standard theory, these shocks raise relative consumption, deteriorate net exports, and raise the relative price of nontradables -in full accord with the Harrod-Balassa-Samuelson hypothesis. Moreover, the deterioration of the external account is fairly persistent, especially for the US. The response of the real exchange rate and (our proxy for) the terms of trade differs across countries: while both relative prices depreciate in Italy and the UK (smaller and more open economies), they appreciate in the US and Japan (the largest and least open economies in our sample); results are however inconclusive for Germany. These findings question a common view in the literature, that a country's terms of trade fall when its output grows, thus providing a mech- anism to contain differences in national wealth when productivity levels do not converge. They enhance our understanding of important episodes such as the strong real appreciation of the dollar as the US productivity growth accelerated in the second half of the 1990s. They also provide an empirical contribution to the current debate on the adjustment of the US current ac- count position. Contrary to widespread presumptions...

Credit Constraints and the North-South Transmission of Crises

Nguyen, Ha
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
ENGLISH
Relevância na Pesquisa
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Adverse shocks to rich countries often have a large and persistent negative impact on investment and output in developing countries. This paper examines a transmission mechanism that can account for this stylized fact. The mechanism is based on the existence of international financial frictions. Specifically, if a small, developing country has to collateralize its assets to borrow funds to invest, falling asset prices caused by a negative shock in an advanced economy worsen the developing country's collateral value and reduce its ability to borrow and reinvest. Hence, investment in the developing country declines, and international investors repatriate capital to the advanced country. As less capital now can be pledged as collateral, the developing country's credit constraint is further tightened, which leads to another round of decline in investment. This generates a downward spiral that may cause large output losses to the developing country. The mechanism finds empirical support in the 2008-2009 crisis data.

La transmisión de virus no persistentes estudiada a través del comportamiento de prueba de los pulgones; Nonpersistent sistent virus transmission studied through aphid probing behaviour.

Collar, J. L.; Avilla, C.; Fereres, Alberto
Fonte: España. Ministerio de Agricultura, Pesca y Alimentación Publicador: España. Ministerio de Agricultura, Pesca y Alimentación
Tipo: Artículo Formato: 1477999 bytes; application/pdf
SPA
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[ES] Cinco años de investigación sobre el comportamiento de prueba del pulgón Myzus persicae Sulzer con la ayuda de un monitor electrónico de comportamiento (técnica EPG) han permitido obtener un mejor conocimiento sobre el mecanismo de transmisión no persistente de virus vegetales, empleando como modelo el virus Y de la patata (PVY). Las breves picaduras intracelulares producidas por el pulgón al inicio de la prueba son registradas en el monitor electrónico como breves caídas de potencial (denominadas pds). La presencia y morfología de este patrón de onda pd ha resultado ser clave en el proceso de tranmisión de PVY. Se ha observado que la presencia de al menos una pd es necesaria para la adquisición del virus, y que una mayor frecuencia de pds aumenta la probabilidad de adquisición. Asimismo, se ha comprobado que el proceso de inoculación del virus también tiene lugar durante la pd, más en concreto en su fase inicial III, mientras que la adquisición es un proceso posterior (fase 113). Esta evidencia pone en duda el mecanismo mayoritariamente aceptado de ingestión-egestión, proponiéndose como hipótesis alternativa un mecanismo de ingestión-salivación. Asimismo, la presencia y morfología de la fase 113 de la pd ha proporcionado una explicación satisfactoria al conocido efecto del ayuno previo (que aumenta la eficiencia de transmisión) y a la distinta capacidad vectorial observada en diferentes especies de pulgones.; [EN] Five years of research on the probing behaviour of the aphid Myzus persicae Sulzer with the help of a behavioural electronic monitor (EPG technique) have led us to obtain a deeper knowledge about the transmission mechanism of nonpersistent plant viruses...

Essays on the transmission mechanism of monetary policy

Moschitz, Julius
Fonte: Bellaterra : Universitat Autònoma de Barcelona, Publicador: Bellaterra : Universitat Autònoma de Barcelona,
Tipo: Tesis i dissertacions electròniques; info:eu-repo/semantics/doctoralThesis Formato: application/pdf
Publicado em //2005 ENG; ENG
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Consultable des del TDX; A portada: IDEA; Títol obtingut de la portada digitalitzada; Esta tesis estudia los efectos y la eficacia de la política monetaria. A grandes rasgos, el banco central cambia los tipos de interés a corto plazo y, a través de la estructura temporal, también se ven afectados los tipos de interés a largo plazo. Los tipos a largo plazo son una variable importante para las decisiones de inversión de las empresas y de ahorro de los hogares. Estas decisiones afectan tanto la producción como los precios y, como consecuencia, los objetivos finales del banco central -por ejemplo, la estabilidad de los precios-. Esta tesis examina detalladamente algunos temas relacionados con la descripción anterior de los mecanismos de transmisión de la política monetaria que hasta ahora no se han estudiado en profundidad. El primer capítulo del documento contiene la introducción. El segundo analiza la transmisión de la política monetaria en economías abiertas teniendo en cuenta que la apertura de una economía es especialmente relevante para los países europeos. En este mismo capítulo se estudian los efectos dinámicos de una acción imprevista del banco central para varios países europeos. Los cambios de estos efectos se estudian mediante una serie de contrastes de estabilidad y la estimación de las fechas de cambio de los parámetros. El tercer capítulo se centra en los determinantes de los tipos de interés a corto plazo. La mayoría de los modelos monetarios asumen que el banco central controla perfectamente estos tipos. No obstante...

Understanding volatility transmission mechanism among the cds markets: Europe & North America versus Brazil & Turkey

Tokat, Hakki Arda
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/03/2013 ENG
Relevância na Pesquisa
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Este estudo examina o mecanismo de transmissão de volatilidade do mercado de CDS entre países emergentes e desenvolvidos, usando GARCH multivariado. Como a globalização resultou em uma maior integração entre os mercados financeiros, é importante para os participantes do mercado saber como os choques e a volatilidade são transmitidos entre mercados ao longo do tempo. Também é importante saber se a transmissão de volatilidade muda durante épocas de crises financeiras. Os resultados mostram significante transmissão de choques e de volatilidade entre diferentes mercados de CDS. Contrariamente a estudos anteriores mostrando transmissão de volatilidade em uma única direção dos países desenvolvidos para os emergentes, a interdependência entre diferentes mercados indica a presença de hedge cruzado entre mercados.; This study examines the volatility transmission mechanism among the developed and emerging CDS markets by employing multivariate GAR-CH modeling. As the globalization resulted with more integration of financial markets, it is important for market participants to know how the shocks and volatility are transmitted over time across the markets. It is also important to know if the volatility transmission changes during the times of financial crises. Significant transmission of shocks and volatility is found among different CDS markets. Contrary to previous studies showing one-way transmission of volatility from developed to emerging markets...