Please use this identifier to cite or link to this item:

Title: Why does the Euro fail? The DCCA approach
Authors: Ferreira, Paulo
Dionisio, Andreia
Zebende, Gilney
Keywords: DCCA
Financial Integration
Long-range Correlation
Issue Date: 2016
Publisher: Elsevier
Citation: Ferreira, P., Dionísio, A., Zebende, G. (2016). Why does the Euro fails? The DCCA approach, Physica A, 443. 543-554
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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

Files in This Item:

File Description SizeFormat
Physica A DCCA Ferreira Dionisio Zebende.pdf6.7 MBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois