Interrelationships between Brazil's financial market and the global financial markets: additional evidence ruring the subprime crisis
Name: RENZO CALIMAN SOUZA
Publication date: 09/04/2021
Advisor:
Name |
Role |
|---|---|
| EDSON ZAMBON MONTE | Advisor * |
Examining board:
| Name |
Role |
|---|---|
| EDSON ZAMBON MONTE | Advisor * |
| RICARDO RAMALHETE MOREIRA | Internal Examiner * |
Summary: This work analyzed the interrelationships between Brazil and the global economies (United States, Germany, United Kingdom, Japan and China) during
the subprime crisis, through three financial market indicators, which were: stock index, rate exchange rate and interest rate. For this, were used the autoregressive vector approach (VAR) and the Granger causality test with
daily data. The econometric analyzes were carried out for two different periods, namely: i) period of the crisis (03/14/2007 to 03/31/2010), marked as a period of great international economic turbulence; and, ii) post-crisis period (04/01/2017 to 12/30/2019), characterized by the absence of major international economic turbulences. The results show that, in the subprime
crisis, interrelations were very intense, mainly, in the stock and exchange
markets. The IBOVESPA and the Brazilian exchange rate were most affected by
the stock markets of the USA, Germany and the United Kingdom. The evidence in the post-crisis period does not choose strong support for contagion in the
period but provides support for the relevant contagion during the crisis. Thus, the results confirm that a subprime crisis did as interrelations to intensify the abrupt form and the main channels of contagion were the stock markets and the exchange markets.
