Please use this identifier to cite or link to this item: http://repositoriosenaiba.fieb.org.br/handle/fieb/629
Title: Why does the euro fail? The DCCA approach
Other Titles: Physica A
Authors: Ferreira, Paulo
Dionísio, Andreia
Zebende, G. F.
Keywords: Financial integration;Long-range correlation;Detrended cross-correlation analysis;Correlation coefficient
Issue Date: 2016
Citation: FERREIRA, Paulo; DIONÍSIO, Andreia; ZEBENDE, G. F. Why does the euro fail? The DCCA approach. Physica A,, Amsterdam, v.443, p. 543-554, 2016.
Abstract: The present crisis in the Euro is one of the most serious crises reported in history. The fact that different countries that adopted the Euro have different conditions to support asymmetric shocks in their economies could explain some of the consequences currently affecting the Eurozone. In this paper we apply detrended cross-correlation analysis and its cross correlation coefficient to evaluate the degree of financial integration of the first set of countries to adopt the common currency. Since time series used in these studies are known to be non-stationary, DCCA is suited to study it. It is the first time this methodology has been applied to study financial integration. We conclude that the degree of financial integration is unequal in several countries using the common currency. The fact that countries like Greece, Ireland or Portugal are the ones facing most problems in verification of the parity used in this paper could help to explain the present instability in the Eurozone.
Description: p. 543-554
URI: http://repositoriosenaiba.fieb.org.br/handle/fieb/629
Appears in Collections:Artigos Publicados em Periódicos (PPG MCTI)

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