Abstract This study fills a gap in the relevant literature by exploring the time-frequency domain causal relationship between financial risk and economic risk for five South American countries, namely Argentina, Brazil, Colombia, Peru, and Venezuela, over the period from 1984Q1 – 2018Q4. To the best of our knowledge, the causal relationship between finance and economics has not been comprehensively explored for the case of South America within the framework of risk. Therefore, the empirical findings of this study are likely to shed light on and open a new debate regarding the nexus between financial and economic activities. Based on our aims, the time domain Toda-Yamamoto causality test is performed as a robustness check, and the wavelet coherence approach is implemented to explore the joint time-frequency domain causal relationship between financial and economic risk. The empirical findings reveal that: (1) there is a feedback causality between financial risk and economic risk in Venezuela; (2) there is a one-way causality that runs from economic risk to financial risk in Colombia and Peru, and; (3) financial risk significantly leads to changes in economic risk in Argentina and Brazil. The empirical results are crucial for policy decision making and can be used by both researchers and macro-economic policymakers to take suitable actions, if necessary, by implementing more appropriate or alternative economic and financial decisions.

中文翻译：

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南美国家金融和经济风险的时频相关性

摘要 本研究通过探讨阿根廷、巴西、哥伦比亚、秘鲁和委内瑞拉五个南美国家1984Q1-2018Q4期间金融风险与经济风险的时频域因果关系，填补了相关文献的空白。 . 据我们所知，尚未在风险框架内以南美为例全面探讨金融与经济的因果关系。因此，本研究的实证结果可能会阐明并开启关于金融和经济活动之间关系的新辩论。基于我们的目标，执行时域 Toda-Yamamoto 因果关系检验作为稳健性检查，并实施小波相干方法来探索金融和经济风险之间的联合时频域因果关系。实证结果表明：（1）委内瑞拉金融风险与经济风险之间存在反馈因果关系；(2) 在哥伦比亚和秘鲁存在从经济风险到金融风险的单向因果关系，并且；(3)金融风险显着导致阿根廷和巴西经济风险变化。实证结果对于政策决策至关重要，研究人员和宏观经济政策制定者都可以利用这些结果，在必要时通过实施更合适或替代的经济和金融决策来采取适当的行动。（1）委内瑞拉金融风险与经济风险之间存在反馈因果关系；(2) 在哥伦比亚和秘鲁存在从经济风险到金融风险的单向因果关系，并且；(3)金融风险显着导致阿根廷和巴西经济风险变化。实证结果对于政策决策至关重要，研究人员和宏观经济政策制定者都可以利用这些结果，在必要时通过实施更合适或替代的经济和金融决策来采取适当的行动。（1）委内瑞拉金融风险与经济风险之间存在反馈因果关系；(2) 在哥伦比亚和秘鲁存在从经济风险到金融风险的单向因果关系，并且；(3)金融风险显着导致阿根廷和巴西经济风险变化。实证结果对于政策决策至关重要，研究人员和宏观经济政策制定者都可以利用这些结果，在必要时通过实施更合适或替代的经济和金融决策来采取适当的行动。