Sobre a sincronização de índices financeiros bancários – uma abordagem baseada em wavelets

Autores

DOI:

https://doi.org/10.1590/1980-53575234wpc

Palavras-chave:

Crise da dívida soberana, Blocos comerciais, Contágio bancário

Resumo

Nós 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.

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Biografia do Autor

Wilson Silva Oliveira, Banco do Brasil

Gerente

Paulo Rogério Faustino Matos, Universidade Federal do Ceará

Professor Associado

Cristiano da Costa da Silva, Universidade Federal do Ceará.Centro de Ciências Agrárias

Professor Adjunto

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Publicado

2022-10-21

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Artigo