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

Author

Listed:
  • Paulo Matos

    (CAEN Graduate School of Economics, Brazil)

  • Cristiano Da Silva

    (CAEN Graduate School of Economics, Brazil)

  • Antonio Costa

    (CAEN Graduate School of Economics, Brazil)

Abstract

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

Suggested Citation

  • Paulo Matos & Cristiano Da Silva & Antonio Costa, 2022. "On the relationship between COVID-19 and G7 banking co-movements," Economics Bulletin, AccessEcon, vol. 42(2), pages 793-801.
    • Handle: RePEc:ebl:ecbull:eb-21-01124
    as

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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Banking contagion; COVID-19 ; Time-frequency domains;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G2 - Financial Economics - - Financial Institutions and Services

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