On the synchronization of banking financial indexes: a wavelet-based approachNós acrescentamos à discussão sobre a transmissão dos ciclos de negócios, modelando a sincronização dos ciclos dos índices do setor bancário mundial, levando em consideração o comportamento variante no tempo e frequência específica das variáveis. Com base na coerência múltipla, coerência parcial, diferença de fase parcial e ganho parcial, encontramos regiões de coerência forte e significativa entre os parceiros do NAFTA e no núcleo europeu: França, Alemanha e Reino Unido. Em relação a esses blocos comerciais, também encontramos forte desempenho no período 2010-2012 em todas as frequências, período caracterizado pela crise da dívida soberana em alguns países europeu.
Palavras-chave:
Crise da dívida soberana; Blocos comerciais; Contágio bancário
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a This figure plots the nominal net return on financial sector index in terms of the local investor´s currency, based on the daily time series for the end-of-day quote, during the period from March 30, 2009, to December 31, 2013. b Data source: Bloomberg.
a This figure plots the nominal net return on financial sector index in terms of the local investor´s currency, based on the daily time series for the end-of-day quote, during the period from March 30, 2009, to December 31, 2013. b Data source: Bloomberg.
a Banking cycle dissimilarity of returns on main worldwide financial sector indices (March 30, 2009, to December 31, 2013). b Physical distance between the cities where the respective stock exchanges are located. c Trade balance - exports, FOB to partner countries + imports, CIF from partner countries between the countries in U$$ bi, from 2009:2 to 2013:4.
a The coherency ranges from low (blue) to high (red) values and the respective cone of influence is shown with a black line, designating the 5% significance level. b We also plot the phase-difference with plus and minus two standard deviations.
a The coherency ranges from low (blue) to high (red) values and the respective cone of influence is shown with a black line, designating the 5% significance level. b We also plot the phase-difference with plus and minus two standard deviations.
a The coherency ranges from low (blue) to high (red) values and the respective cone of influence is shown with a black line, designating the 5% significance level. b We also plot the phase-difference with plus and minus two standard deviations.
a The coherency ranges from low (blue) to high (red) values and the respective cone of influence is shown with a black line, designating the 5% significance level. b We also plot the phase-difference with plus and minus two standard deviations.
a The coherency ranges from low (blue) to high (red) values and the respective cone of influence is shown with a black line, designating the 5% significance level. b We also plot the phase-difference with plus and minus two standard deviations.