All Rights Reserved
AccessEcon LLC 2006, 2008.
Powered by MinhViet JSC

Paulo Matos, Cristiano Da Silva and Antonio Costa
''On the relationship between COVID-19 and G7 banking co-movements''
( 2022, Vol. 42 No.2 )
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
Keywords: Banking contagion, COVID-19 , Time-frequency domains
JEL: G1 - General Financial Markets
G2 - Financial Institutions and Services: General
Manuscript Received : Dec 13 2021 Manuscript Accepted : Jun 30 2022

  This abstract has been downloaded 33 times                The Full PDF of this paper has been downloaded 153793 times