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

Paulo Matos (), Cristiano Da Silva () and Antonio Costa ()
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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

Economics Bulletin, 2022, vol. 42, issue 2, 793 - 801

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

Keywords: Banking contagion; COVID-19; Time-frequency domains (search for similar items in EconPapers)
JEL-codes: G1 G2 (search for similar items in EconPapers)
Date: 2022-06-30
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