Brazilian banking cycle synchronization during COVID-19 crisis

Authors

  • Paulo Costa Universidade Federal do Ceará
  • Paulo Matos Universidade Federal do Ceará
  • Antonio Costa Universidade Federal do Ceará

DOI:

https://doi.org/10.12660/rbfin.v20n2.2022.83377

Keywords:

COVID-19, Brazilian financial index, Wavelet framework, Granger causality, Banking sector pass-through

Abstract

We assess the conditional relationships in the time-frequency domain between the return on Brazilian financial index, IFNC, and the COVID-19 cases or deaths in Hubei, in countries who stood out in this health crisis scenario and the world, considering the period from January 29 to December 31, 2021. Second, we study the banking sector behavior during the pandemic by analyzing the co-movements between banks. Methodologically, we follow Aguiar-Conraria et al. (2018) and Aguiar-Conraria and Soares (2011a) by using the wavelet framework. Our findings are use useful to explain the reaction of IFNC cycles to COVID-19 cycles, how it impacts banks linkages and are helpful to describe the pass-through in the banking sector.

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Published

06/19/2022

Issue

Vol. 20 No. 2 (2022): April-June

Section

Articles

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