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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

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