the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market

Detalhes bibliográficos
Autor(a) principal: Francisco Wagner de Queiroz Almeida JÃnior
Data de Publicação: 2009
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Biblioteca Digital de Teses e Dissertações da UFC
Texto Completo: http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4872
Resumo: The study applies unit root and cointegration econometric techniques to investigate the Brazilian financial market behavior in the 2007-2008 biennium according to sector indicators from daily market. The analysis is divided into two periods according to the observation of Subprime Crisisâ effect on national financial market and we find that: i) for both periods the sector Pulp-Paper was cyclical and ii) in periods of high and low the market, Metallurgy and Mining, respectively, cointegrate with IBOVESPA. In addition, Dollar and SELIC confirmed its characteristics of the hedge in periods of instability and stagnation of the financial market.
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spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisthe subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of marketa crise do subprime e o mercado financeiro no Brasil: uma anÃlise a partir de indicadores setoriais de mercado2009-10-28Andrei Gomes Simonassi00000060068http://lattes.cnpq.br/8542940399953204 Emerson LuÃs Lemos Marinho07303416315Ronaldo de Albuquerque e Arraes09170812349http://lattes.cnpq.br/104400200389349900070000083Francisco Wagner de Queiroz Almeida JÃniorUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRCIENCIAS SOCIAIS APLICADASThe study applies unit root and cointegration econometric techniques to investigate the Brazilian financial market behavior in the 2007-2008 biennium according to sector indicators from daily market. The analysis is divided into two periods according to the observation of Subprime Crisisâ effect on national financial market and we find that: i) for both periods the sector Pulp-Paper was cyclical and ii) in periods of high and low the market, Metallurgy and Mining, respectively, cointegrate with IBOVESPA. In addition, Dollar and SELIC confirmed its characteristics of the hedge in periods of instability and stagnation of the financial market.O estudo utiliza tÃcnicas de raiz unitÃria e cointegraÃÃo para, a partir de indicadores setoriais diÃrios de mercado, analisar a evoluÃÃo do mercado financeiro no Brasil no biÃnio 2007-2008. A anÃlise à dividida em dois perÃodos de acordo com a constataÃÃo dos efeitos da Crise do Subprime no mercado financeiro nacional e constata-se: i) em ambos os perÃodos o setor Celulose Papel foi o Ãnico considerado cÃclico; ii) jà nos perÃodos de alta e baixa do mercado, Metalurgia e MineraÃÃo, respectivamente, apresentaram cointegraÃÃo com o IBOVESPA. Ademais, DÃlar e SELIC confirmaram suas caracterÃsticas de Hedge no perÃodo de instabilidade e queda na atividade no mercado financeiro.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4872application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:17:54Zmail@mail.com -
dc.title.en.fl_str_mv the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
dc.title.alternative.pt.fl_str_mv a crise do subprime e o mercado financeiro no Brasil: uma anÃlise a partir de indicadores setoriais de mercado
title the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
spellingShingle the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
Francisco Wagner de Queiroz Almeida JÃnior
CIENCIAS SOCIAIS APLICADAS
title_short the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
title_full the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
title_fullStr the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
title_full_unstemmed the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
title_sort the subprime crisis and the financial market in Brazil: a analysis from sectoral indicators of market
author Francisco Wagner de Queiroz Almeida JÃnior
author_facet Francisco Wagner de Queiroz Almeida JÃnior
author_role author
dc.contributor.advisor1.fl_str_mv Andrei Gomes Simonassi
dc.contributor.advisor1ID.fl_str_mv 00000060068
dc.contributor.advisor1Lattes.fl_str_mv http://lattes.cnpq.br/8542940399953204
dc.contributor.referee1.fl_str_mv Emerson LuÃs Lemos Marinho
dc.contributor.referee1ID.fl_str_mv 07303416315
dc.contributor.referee2.fl_str_mv Ronaldo de Albuquerque e Arraes
dc.contributor.referee2ID.fl_str_mv 09170812349
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/1044002003893499
dc.contributor.authorID.fl_str_mv 00070000083
dc.contributor.author.fl_str_mv Francisco Wagner de Queiroz Almeida JÃnior
contributor_str_mv Andrei Gomes Simonassi
Emerson LuÃs Lemos Marinho
Ronaldo de Albuquerque e Arraes
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
topic CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv The study applies unit root and cointegration econometric techniques to investigate the Brazilian financial market behavior in the 2007-2008 biennium according to sector indicators from daily market. The analysis is divided into two periods according to the observation of Subprime Crisisâ effect on national financial market and we find that: i) for both periods the sector Pulp-Paper was cyclical and ii) in periods of high and low the market, Metallurgy and Mining, respectively, cointegrate with IBOVESPA. In addition, Dollar and SELIC confirmed its characteristics of the hedge in periods of instability and stagnation of the financial market.
O estudo utiliza tÃcnicas de raiz unitÃria e cointegraÃÃo para, a partir de indicadores setoriais diÃrios de mercado, analisar a evoluÃÃo do mercado financeiro no Brasil no biÃnio 2007-2008. A anÃlise à dividida em dois perÃodos de acordo com a constataÃÃo dos efeitos da Crise do Subprime no mercado financeiro nacional e constata-se: i) em ambos os perÃodos o setor Celulose Papel foi o Ãnico considerado cÃclico; ii) jà nos perÃodos de alta e baixa do mercado, Metalurgia e MineraÃÃo, respectivamente, apresentaram cointegraÃÃo com o IBOVESPA. Ademais, DÃlar e SELIC confirmaram suas caracterÃsticas de Hedge no perÃodo de instabilidade e queda na atividade no mercado financeiro.
description The study applies unit root and cointegration econometric techniques to investigate the Brazilian financial market behavior in the 2007-2008 biennium according to sector indicators from daily market. The analysis is divided into two periods according to the observation of Subprime Crisisâ effect on national financial market and we find that: i) for both periods the sector Pulp-Paper was cyclical and ii) in periods of high and low the market, Metallurgy and Mining, respectively, cointegrate with IBOVESPA. In addition, Dollar and SELIC confirmed its characteristics of the hedge in periods of instability and stagnation of the financial market.
publishDate 2009
dc.date.issued.fl_str_mv 2009-10-28
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
status_str publishedVersion
format masterThesis
dc.identifier.uri.fl_str_mv http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4872
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=4872
dc.language.iso.fl_str_mv por
language por
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.publisher.program.fl_str_mv Programa de PÃs-GraduaÃÃo em Economia - CAEN
dc.publisher.initials.fl_str_mv UFC
dc.publisher.country.fl_str_mv BR
publisher.none.fl_str_mv Universidade Federal do CearÃ
dc.source.none.fl_str_mv reponame:Biblioteca Digital de Teses e Dissertações da UFC
instname:Universidade Federal do Ceará
instacron:UFC
reponame_str Biblioteca Digital de Teses e Dissertações da UFC
collection Biblioteca Digital de Teses e Dissertações da UFC
instname_str Universidade Federal do Ceará
instacron_str UFC
institution UFC
repository.name.fl_str_mv -
repository.mail.fl_str_mv mail@mail.com
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