Inter-relações entre o mercado financeiro do Brasil e os mercados financeiros globais: evidências adicionais durante a crise do subprime

Abstract

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 showed considerably less interrelationships between the Brazilian financial market and global financial markets, supporting the 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.