Abstract
We add to the discussion on the transmission of business cycles, by modeling worldwide banking sector indices cycle synchronization, accounting for the time-varying and frequency-specific behavior of the variables. Based on the multiple coherence, partial coherence, partial phase-difference, and partial gain, we find regions of strong and significant coherency between NAFTA partners, and in the European core: France, Germany, and the United Kingdom. Concerning such trade blocs, we also find strong performance in the period 2010-2012 in all frequencies, a period characterized by the sovereign debt crisis in some European countries.
Keywords:
Sovereign debt crisis; Trade blocs; Banking contagion
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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.