Quantifying the contagion effect of the 2008 financial crisis between the G7 countries (by GDP nominal)

Marcus Fernandes da Silva, Éder Johnson de Area Leão Pereira, Aloisio Machado da Silva Filho, Arleys Pereira Nunes de Castro, José Garcia Vivas Miranda and Gilney Figueira Zebende
Authors registered in the RePEc Author Service: Eder Johnson de Area Leao Pereira

Physica A: Statistical Mechanics and its Applications, 2016, vol. 453, issue C, 1-8

Abstract: In this paper we quantify the cross-correlation between the adjusted closing index of the G7 countries, by their Gross Domestic Product (nominal). For this purpose we consider the 2008 financial crisis. Thus, we intend to observe the impact of the 2008 crisis by applying the DCCA cross-correlation coefficient ρDCCA between these countries. As an immediate result we observe that there is a positive cross-correlation between the index, and this coefficient changes with time between weak, medium, and strong values. If we compare the pre-crisis period (before 2008) with the post-crisis period (after 2008), it is noticed that ρDCCA changes its value. From these facts, we propose to study the contagion (interdependence) effect from this change by a new variable, ΔρDCCA. Thus, we present new findings for the 2008 crisis between the members of the G7.

Keywords: 2008 financial crisis; DCCA cross-correlation coefficient; Gross Domestic Product; Time series (search for similar items in EconPapers)
Date: 2016
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (38)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:453:y:2016:i:c:p:1-8

DOI: 10.1016/j.physa.2016.01.099

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