Credit, default, financial system and development

Matos, Paulo Rogério Faustino; Silva, Cristiano da; Santos, Davi dos; Reinaldo, Luciana

doi:10.1016/j.qref.2020.07.001

Cited by 4 publications

(3 citation statements)

References 13 publications

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“…Using data from the business sectors of G7 countries, Izzeldin et al (2021) document how the impacts of COVID-19 on volatility differ across sectors—the health care and consumer services sectors are the most severely affected, while the technology sector is the least severely affected. Using a time–frequency approach, Matos et al (2021) provide evidence of sectoral contagion during the outbreak of COVID-19. Overall, the existing literature agrees that the impacts of COVID-19 on stock markets are significant and vary across industries.…”

Section: Introductionmentioning

confidence: 99%

How do stock price indices absorb the COVID-19 pandemic shocks?

Zhang

Ding

Hang

et al. 2022

The North American Journal of Economics and Finance

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Section: Introductionmentioning

confidence: 99%

How do stock price indices absorb the COVID-19 pandemic shocks?

Zhang

Ding

Hang

et al. 2022

The North American Journal of Economics and Finance

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“…To achieve the first objective, we use tools based on wavelet analysis to model the market returns of companies between 9 January 2014 and 9 December 2020 in order to verify the evolution of co-movements between companies in a variant structure in the domain of time and frequency. Specifically, we based the analysis on the approach proposed by Aguiar-Conraria et al [9], and also discussed in Matos et al [10], using the wavelet partial coherency (WPC) to identify the co-movements among pairs in the domain of time and frequency. Partial phase-difference and partial gain measures are also adopted in order to identify lead-lag relationships between pairs at different frequencies.…”

Section: Introductionmentioning

confidence: 99%

Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

et al. 2021

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Diversification in a portfolio is an important tool for the systematic risk management that is inherent to different asset classes. The composition of a portfolio with domestic and international assets is seen as one of the main alternatives for building a diversified portfolio, as this approach tends to reduce portfolio return exposure depending on country factors. However, in scenarios where industry factors are predominant, international diversification can increase systematic risk in a portfolio centered on a single asset class. This study is a pioneer in using wavelet-based methods to identify intersectoral co-movements, based on a portfolio of shares of the world’s top five consulting engineering companies, providing an innovative way to be applied to this phenomenon. Our evidence indicates that companies share a strong pattern of co-movements among themselves, especially in cycles of 32 to 64 days, suggesting a higher exposure to risk for portfolios with an investment horizon in long-term cycles.

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“…They use a multivariate analysis accounting for the phase shift mechanism to identify causality between financial cycles and business cycles even with raw data at different frequencies. More recently, Matos et al (2021) address instrumentalized co-movements across time and frequencies between macrofinance variables and household decisions in terms of consumer loans, home mortgage and its respective delinquency rates in U.S. They apply the same methodology used by us aiming to provide insights to stock market return prediction and asset pricing puzzles, and to detect new stylized facts about the last three decades of U.S. financial development and economic growth.…”

mentioning

confidence: 99%

On the Time-Frequency Dynamics of Growth Cycles in Brazil

Matos,

Alves,

Monteiro

2023

Preprint

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We add to the empirical literature on growth, by addressing instrumentalized co-movements between growth versus fiscal, monetary, and credit variables in Brazil. We use partial wavelet coherency, phase-difference diagram, and regression coefficient to model growth cycles’ reaction to isolated fluctuations in net debt to GDP, primary balance to GDP, inflation, SELIC, household, and enterprise credit to GDP over time and across frequencies. We provide a set of new stylized facts about the history of growth in Brazil over the period from 2004q1 and 2022q4, during which the country has gone through three different recessions. We find that in the periods of expansion, primary balance cycles lead in-phase growth cycles, while inflationary and household credit cycles use to lead out-of-phase growth cycles. During the recessions, we find a relevant positive role played by the enterprise credit, and a negative leadership of SELIC cycles on economic growth cycles. JEL classification: C02, O42, H60

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Credit, default, financial system and development

Cited by 4 publications

References 13 publications

How do stock price indices absorb the COVID-19 pandemic shocks?

How do stock price indices absorb the COVID-19 pandemic shocks?

Assessing the Time-Frequency Co-Movements among the Five Largest Engineering Consulting Companies: A Wavelet-Base Metrics of Contagion and VaR Ratio

On the Time-Frequency Dynamics of Growth Cycles in Brazil

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