On the relationship between COVID-19 and G7 banking co-movements

被引：0
|
作者：
Matos, Paulo [1 ]
Da Silva, Cristiano [1 ]
Costa, Antonio [1 ]
机构：
[1] CAEN Grad Sch Econ, Fortaleza, Brazil
来源：
ECONOMICS BULLETIN | 2022年 / 42卷 / 02期
关键词：
STOCK-MARKET CONTAGION; FINANCIAL CRISIS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We address G7 banking contagion during the COVID-19 crisis using wavelet-based techniques. We find an increase (20%) of the lowest frequencies banking contagion during the pandemic period based on stronger wavelet coherence between all pairs of financial indices. We also find that COVID-19 world cases and deaths are relevant to understand banking cycle co-movements, mainly from February to June. Our findings are confirmed by a correlation contagion test and still hold after controlling for oil prices
引用
收藏
页数：10
相关论文
共 50 条
  • [1] On the Risk-based Contagion of G7 Banking System and the COVID-19 Pandemic
    Matos, Paulo
    Costa, Antonio
    da Silva, Cristiano
    [J]. GLOBAL BUSINESS REVIEW, 2021,
  • [2] Assessing the impact of COVID-19 on price Co-movements in China
    Xu, Yingying
    Lien, Donald
    [J]. JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2022, 79
  • [3] INVESTIGATING THE EFFECTS OF COVID-19 ON TOURISM IN THE G7 COUNTRIES
    Komasi, Hossein
    Nemati, Alireza
    Zolfani, Sarfaraz Hashemkhani
    Williams, Nigel L.
    Bazrafshan, Ramin
    [J]. TECHNOLOGICAL AND ECONOMIC DEVELOPMENT OF ECONOMY, 2024, 30 (04) : 1064 - 1086
  • [4] Dynamic co-movements of COVID-19 pandemic anxieties and stock market returns
    Yu, Xiaoling
    Xiao, Kaitian
    Liu, Junping
    [J]. FINANCE RESEARCH LETTERS, 2022, 46
  • [5] The societal responses to COVID-19: Evidence from the G7 cuntries
    de Miranda, Katharina Lima
    Snower, Dennis J.
    [J]. PROCEEDINGS OF THE NATIONAL ACADEMY OF SCIENCES OF THE UNITED STATES OF AMERICA, 2022, 119 (25)
  • [6] An empirical analysis of COVID-19 response: comparison of US with the G7
    Barari, Mahua
    Kundu, Srikanta
    Mitra, Saibal
    [J]. INTERNATIONAL REVIEW OF APPLIED ECONOMICS, 2021, 35 (06) : 886 - 903
  • [7] Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks
    MENEZES Rui
    DIONíSIO Andreia
    [J]. Science Bulletin, 2011, (34) : 3707 - 3716
  • [8] Globalization and long-run co-movements in the stock market for the G7: An application of VECM under structural breaks
    Menezes, Rui
    Dionisio, Andreia
    [J]. CHINESE SCIENCE BULLETIN, 2011, 56 (34): : 3707 - 3716
  • [9] STOCK-BOND CO-MOVEMENTS AND FLIGHT-TO-QUALITY IN G7 COUNTRIES: A TIME-FREQUENCY ANALYSIS
    Bayraci, Selcuk
    Demiralay, Sercan
    Gencer, Hatice Gaye
    [J]. BULLETIN OF ECONOMIC RESEARCH, 2018, 70 (01) : E29 - E49
  • [10] Exploring the co-movements between stock market returns and COVID-19 pandemic: evidence from wavelet coherence analysis
    Gherghina, Stefan Cristian
    Simionescu, Liliana Nicoleta
    [J]. APPLIED ECONOMICS LETTERS, 2022, 29 (15) : 1405 - 1413
12345