The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory

Detalhes bibliográficos
Autor(a) principal: Luiz Henrique Carvalho Braid
Data de Publicação: 2011
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=7852
Resumo: This study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant.
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spelling info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisThe financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theoryA crise financeira de 2008 e seus impactos nos setores da economia brasileira: uma abordagem por regressÃes quantÃlicas e teoria de portfÃlio2011-02-24Andrei Gomes Simonassi00000060068http://lattes.cnpq.br/8542940399953204 Augusto Marcos Carvalho de Sena00000000077http://lattes.cnpq.br/4973477237389263Paulo RogÃrio Faustino Matos00000000084http://lattes.cnpq.br/028852240010996215424754710Luiz Henrique Carvalho BraidUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRTeoria de Carteira RegressÃo QuantÃlica Crise FinanceiraPortfolio Theory Quantile Regression Financial CrisisCIENCIAS SOCIAIS APLICADASThis study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant.O estudo utiliza tÃcnicas tradicionais de FinanÃas e Econometria para analisar os impactos da crise financeira de 2008 sobre alguns setores da economia brasileira, tomando por base os indicadores setoriais de mercado da FundaÃÃo GetÃlio Vargas (FGV). Inicialmente aplica-se a teoria de Markowitz aos indicadores setoriais de mercado de oito setores e estimam-se portfÃlios eficientes no perÃodo prà e pÃscrise financeira, constatando que os pesos atribuÃdos aos dois perÃodos diferem dramaticamente. Posteriormente, regressÃes quantÃlicas para os setores MineraÃÃo, Metalurgia e TÃxtil sÃo estimadas, confrontando o retorno setorial com o retorno da carteira de mercado e a volatilidade implÃcita. AlÃm de captar a elevaÃÃo do prÃmio de risco exigido pelos investidores em perÃodos de crise, os modelos permitem inferir que hà uma mudanÃa de comportamento do consumidor em perÃodos de instabilidade econÃmica no sentido de tornÃ-lo mais tolerante ao risco.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7852application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:20:50Zmail@mail.com -
dc.title.en.fl_str_mv The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
dc.title.alternative.pt.fl_str_mv A crise financeira de 2008 e seus impactos nos setores da economia brasileira: uma abordagem por regressÃes quantÃlicas e teoria de portfÃlio
title The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
spellingShingle The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
Luiz Henrique Carvalho Braid
Teoria de Carteira
RegressÃo QuantÃlica
Crise Financeira
Portfolio Theory
Quantile Regression
Financial Crisis
CIENCIAS SOCIAIS APLICADAS
title_short The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
title_full The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
title_fullStr The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
title_full_unstemmed The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
title_sort The financial crisis of 2008 and its impact on the sectors of the brazilian economy: an approach quantile regressions and portfolio theory
author Luiz Henrique Carvalho Braid
author_facet Luiz Henrique Carvalho Braid
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 Augusto Marcos Carvalho de Sena
dc.contributor.referee1ID.fl_str_mv 00000000077
dc.contributor.referee1Lattes.fl_str_mv http://lattes.cnpq.br/4973477237389263
dc.contributor.referee2.fl_str_mv Paulo RogÃrio Faustino Matos
dc.contributor.referee2ID.fl_str_mv 00000000084
dc.contributor.referee2Lattes.fl_str_mv http://lattes.cnpq.br/0288522400109962
dc.contributor.authorID.fl_str_mv 15424754710
dc.contributor.author.fl_str_mv Luiz Henrique Carvalho Braid
contributor_str_mv Andrei Gomes Simonassi
Augusto Marcos Carvalho de Sena
Paulo RogÃrio Faustino Matos
dc.subject.por.fl_str_mv Teoria de Carteira
RegressÃo QuantÃlica
Crise Financeira
topic Teoria de Carteira
RegressÃo QuantÃlica
Crise Financeira
Portfolio Theory
Quantile Regression
Financial Crisis
CIENCIAS SOCIAIS APLICADAS
dc.subject.eng.fl_str_mv Portfolio Theory
Quantile Regression
Financial Crisis
dc.subject.cnpq.fl_str_mv CIENCIAS SOCIAIS APLICADAS
dc.description.sponsorship.fl_txt_mv nÃo hÃ
dc.description.abstract.por.fl_txt_mv This study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant.
O estudo utiliza tÃcnicas tradicionais de FinanÃas e Econometria para analisar os impactos da crise financeira de 2008 sobre alguns setores da economia brasileira, tomando por base os indicadores setoriais de mercado da FundaÃÃo GetÃlio Vargas (FGV). Inicialmente aplica-se a teoria de Markowitz aos indicadores setoriais de mercado de oito setores e estimam-se portfÃlios eficientes no perÃodo prà e pÃscrise financeira, constatando que os pesos atribuÃdos aos dois perÃodos diferem dramaticamente. Posteriormente, regressÃes quantÃlicas para os setores MineraÃÃo, Metalurgia e TÃxtil sÃo estimadas, confrontando o retorno setorial com o retorno da carteira de mercado e a volatilidade implÃcita. AlÃm de captar a elevaÃÃo do prÃmio de risco exigido pelos investidores em perÃodos de crise, os modelos permitem inferir que hà uma mudanÃa de comportamento do consumidor em perÃodos de instabilidade econÃmica no sentido de tornÃ-lo mais tolerante ao risco.
description This study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant.
publishDate 2011
dc.date.issued.fl_str_mv 2011-02-24
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=7852
url http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7852
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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