Why does the Euro fail? The DCCA approach

Andreia Teixeira Marques Dionísio () and Paulo Ferreira
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Andreia Teixeira Marques Dionísio: University of Évora, Department of Management, CEFAGE-UÉ
Authors registered in the RePEc Author Service: Andreia Dionisio

CEFAGE-UE Working Papers from University of Evora, CEFAGE-UE (Portugal)

Abstract: The present crisis in the Euro is one of the most serious crises reported in history. The fact that different countries that adopted the Euro have different conditions to support asymmetric shocks in their economies could explain some of the consequences currently affecting the Eurozone. In this paper we apply detrended cross-correlation analysis and its correlation coefficient to evaluate the degree of financial integration of the first set of countries to adopt the common currency. Detrended cross correlation analysis is a methodology which has some advantages, namely the fact it can also be used in non-stationary series. It is the first time this methodology has been applied to study financial integration. We conclude that the degree of financial integration is unequal in several countries using the common currency. The fact that countries like Greece, Ireland or Portugal are the ones facing most problems in verification of the parity used in this paper could help to explain the present instability in the Eurozone.

Keywords: Financial integration; Long-range correlation; Detrended cross-correlation analysis. (search for similar items in EconPapers)
JEL-codes: E43 E44 F36 G15 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2014
New Economics Papers: this item is included in nep-eec and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Journal Article: Why does the Euro fail? The DCCA approach (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:cfe:wpcefa:2014_15

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