IDEAS home Printed from https://ideas.repec.org/a/fgv/epgrbe/v76y2023i3a84937.html
   My bibliography  Save this article

A Note on the Brazilian cross-state debt connectedness

Author

Listed:
  • Matos, Paulo Rogério Faustino
  • Pinheiro Jr, Raimundo
  • Costa, Antonio

Abstract

We address the cross-state indebtedness (DCL/RCL) variation connectedness using 89 bimonthly data from 2006b6 to 2021b4, based on the indices proposed by Diebold and Yilmaz (2009, 2012, 2014). This framework enables us to infer about the direction, and the strength of bilateral spillovers for a large number of simultaneously interacting variables in a clear and compact manner. We are able to identify the most influential states in each region, as well as the region with the highest total connectedness. This empirical exercise allows us to discuss the possible influence between state governments in conducting public policies associated with indebtedness. The results help us to better understand the consequences of total and directional indebtedness spillover across states in Brazil.

Suggested Citation

  • Matos, Paulo Rogério Faustino & Pinheiro Jr, Raimundo & Costa, Antonio, 2023. "A Note on the Brazilian cross-state debt connectedness," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 76(3), February.
    • Handle: RePEc:fgv:epgrbe:v:76:y:2023:i:3:a:84937
    as

    Download full text from publisher

    File URL: https://periodicos.fgv.br/rbe/article/view/84937
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Binh Thai Pham & Hector Sala, 2022. "Cross-country connectedness in inflation and unemployment: measurement and macroeconomic consequences," Empirical Economics, Springer, vol. 62(3), pages 1123-1146, March.
    2. Karkowska, Renata & Urjasz, Szczepan, 2021. "Connectedness structures of sovereign bond markets in Central and Eastern Europe," International Review of Financial Analysis, Elsevier, vol. 74(C).
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Shi, Huai-Long & Zhou, Wei-Xing, 2022. "Factor volatility spillover and its implications on factor premia," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
    3. Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2022. "APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1625-1658, November.
    4. Yang, Xin & Wang, Xuya & Cao, Jie & Zhao, Lili & Huang, Chuangxia, 2024. "Cross-regional connectedness of financial market: Measurement and determinants," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
    5. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    6. Maghyereh, Aktham & Awartani, Basel & Abdoh, Hussein, 2022. "Asymmetric risk transfer in global equity markets: An extended sample that includes the COVID pandemic period," The Journal of Economic Asymmetries, Elsevier, vol. 25(C).
    7. Valery V. Bezpalov & Sergey A. Lochan & Dmitry V. Fedyunin & Irina V. Polozhentseva & Tatiana V. Gorina, 2022. "Relationship between Complex Integration Indices and Inflation Indicators and Their Impact on the Development of Regional Cooperation between Countries to Reduce the Level of Inflationary Risks: Case ," Risks, MDPI, vol. 11(1), pages 1-26, December.
    8. Chen, Huayi & Shi, Huai-Long & Zhou, Wei-Xing, 2024. "Carbon volatility connectedness and the role of external uncertainties: Evidence from China," Journal of Commodity Markets, Elsevier, vol. 33(C).
    9. Badics, Milan Csaba & Huszar, Zsuzsa R. & Kotro, Balazs B., 2023. "The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 88(C).
    10. Boutabba, Mohamed Amine & Rannou, Yves, 2022. "Investor strategies in the green bond market: The influence of liquidity risks, economic factors and clientele effects," International Review of Financial Analysis, Elsevier, vol. 81(C).
    11. Cesario Mateus & Miramir Bagirov & Irina Mateus, 2024. "Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets," International Review of Finance, International Review of Finance Ltd., vol. 24(1), pages 83-103, March.
    12. Ghosh, Bikramaditya & Gubareva, Mariya & Ghosh, Anandita & Paparas, Dimitrios & Vo, Xuan Vinh, 2024. "Food, energy, and water nexus: A study on interconnectedness and trade-offs," Energy Economics, Elsevier, vol. 133(C).
    13. Panagiotis Pegkas, 2024. "The Asymmetric Effects of Unemployment and Output on Inflation in Greece: A Nonlinear ARDL Approach," Economies, MDPI, vol. 12(12), pages 1-21, December.
    14. Iqbal, Najaf & Naeem, Muhammad Abubakr & Suleman, Muhammed Tahir, 2022. "Quantifying the asymmetric spillovers in sustainable investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 77(C).
    15. Daryoosh Borzuei & Seyed Farhan Moosavian & Abolfazl Ahmadi, 2022. "Investigating the dependence of energy prices and economic growth rates with emphasis on the development of renewable energy for sustainable development in Iran," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(5), pages 848-854, October.
    16. Candelon, Bertrand & Moura, Rubens, 2023. "Sovereign yield curves and the COVID-19 in emerging markets," Economic Modelling, Elsevier, vol. 127(C).
    17. Mukhriz Izraf Azman Aziz & Norzalina Ahmad & Jin Zichu & Safwan Mohd Nor, 2022. "The Impact of COVID-19 on the Connectedness of Stock Index in ASEAN+3 Economies," Mathematics, MDPI, vol. 10(9), pages 1-22, April.
    18. Costa, Antonio & Matos, Paulo & da Silva, Cristiano, 2022. "Sectoral connectedness: New evidence from US stock market during COVID-19 pandemics," Finance Research Letters, Elsevier, vol. 45(C).
    19. Umut Akovali & Kamil Yilmaz, 2021. "Unconventional Monetary Policy and Bond Market Connectedness in the New Normal," Koç University-TUSIAD Economic Research Forum Working Papers 2101, Koc University-TUSIAD Economic Research Forum.
    20. Yarovaya, Larisa & Brzeszczyński, Janusz & Goodell, John W. & Lucey, Brian & Lau, Chi Keung Marco, 2022. "Rethinking financial contagion: Information transmission mechanism during the COVID-19 pandemic," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:epgrbe:v:76:y:2023:i:3:a:84937. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/epgvfbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.