VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)

Detalhes bibliográficos
Autor(a) principal: da Costa Val Munhoz, Vanessa
Data de Publicação: 2010
Outros Autores: Petrelli Corrêa, Vanessa
Tipo de documento: Artigo
Idioma: por
Título da fonte: Análise Econômica (Online)
Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6938
Resumo: The aim of this paper is to measure the financial account volatility of the Brazilian Balance of Payments. We intend to show that the short run capital flows toward Brazil are strongly characterized by speculative movements, which generate macroeconomic effects, such as the negative impact on the domestic interest rate, the public debt and the country risk. The main argument here is that the volatility remains even after a flexible exchange rate regime. In order to accomplish this objective we will use a specific econometric model for time series, the ARCH model (autoregressive conditional heteroskedascity model). Through the analysis that links the annual volatility average and the relative participation of each sub-account in the financial account of superior hierarchy, the paper concludes that the most volatile accounts are just that ones with most speculative and short term bias.
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spelling VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)VOLATILIDADE DOS FLUXOS FINANCEIROS NO BRASIL: UMA ANÁLISE EMPÍRICA POR MEIO DO MODELO ARCH (MODELO AUTORREGRESSIVO COM HETEROCEDASTICIDADE CONDICIONAL)Capital flows. Brazilian balance of payments. Volatility.F32F37G11G15Fluxos de capitais. Balanço de pagamentos brasileiro. Volatilidade.The aim of this paper is to measure the financial account volatility of the Brazilian Balance of Payments. We intend to show that the short run capital flows toward Brazil are strongly characterized by speculative movements, which generate macroeconomic effects, such as the negative impact on the domestic interest rate, the public debt and the country risk. The main argument here is that the volatility remains even after a flexible exchange rate regime. In order to accomplish this objective we will use a specific econometric model for time series, the ARCH model (autoregressive conditional heteroskedascity model). Through the analysis that links the annual volatility average and the relative participation of each sub-account in the financial account of superior hierarchy, the paper concludes that the most volatile accounts are just that ones with most speculative and short term bias.O objetivo deste trabalho é medir a volatilidade da conta financeira do Balanço de Pagamentos nacional, para mostrar que os fluxos de capitais de curto prazo direcionados ao Brasil são fortemente dominados por movimentos expectacionais, que geram efeitos macroeconômicos, como os impactos negativos sobre os juros domésticos, dívida pública e Risco-País. Argumenta-se que a volatilidade que caracterizou as contas financeiras a partir da implantação do Plano Real permanece mesmo após a flexibilização do câmbio. Para realizar esse intento, será utilizado um modelo econométrico específico para séries temporais, o modelo ARCH (modelo autorregressivo com heterocedasticidade condicional). Através da análise que conjuga as volatilidades médias anuais e a participação relativa de cada subconta na conta financeira de nível de hierarquia superior, o artigo conclui que as contas mais voláteis são justamente aquelas de maior caráter especulativo e viés de curto prazo.UFRGS2010-03-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/693810.22456/2176-5456.6938Análise Econômica; Vol. 27 No. 52 (2009): setembro de 2009Análise Econômica; v. 27 n. 52 (2009): setembro de 20092176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6938/7460Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessda Costa Val Munhoz, VanessaPetrelli Corrêa, Vanessa2019-08-29T12:37:08Zoai:seer.ufrgs.br:article/6938Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2019-08-29T12:37:08Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false
dc.title.none.fl_str_mv VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
VOLATILIDADE DOS FLUXOS FINANCEIROS NO BRASIL: UMA ANÁLISE EMPÍRICA POR MEIO DO MODELO ARCH (MODELO AUTORREGRESSIVO COM HETEROCEDASTICIDADE CONDICIONAL)
title VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
spellingShingle VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
da Costa Val Munhoz, Vanessa
Capital flows. Brazilian balance of payments. Volatility.
F32
F37
G11
G15
Fluxos de capitais. Balanço de pagamentos brasileiro. Volatilidade.
title_short VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
title_full VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
title_fullStr VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
title_full_unstemmed VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
title_sort VOLATILITY OF FINANCIAL FLOWS IN BRAZIL: AN EMPIRICAL ANALYSIS THROUGH THE ARCH MODEL (AUTORREGRESSIVE CONDITIONAL HETEROSKEDASTIC MODEL)
author da Costa Val Munhoz, Vanessa
author_facet da Costa Val Munhoz, Vanessa
Petrelli Corrêa, Vanessa
author_role author
author2 Petrelli Corrêa, Vanessa
author2_role author
dc.contributor.author.fl_str_mv da Costa Val Munhoz, Vanessa
Petrelli Corrêa, Vanessa
dc.subject.por.fl_str_mv Capital flows. Brazilian balance of payments. Volatility.
F32
F37
G11
G15
Fluxos de capitais. Balanço de pagamentos brasileiro. Volatilidade.
topic Capital flows. Brazilian balance of payments. Volatility.
F32
F37
G11
G15
Fluxos de capitais. Balanço de pagamentos brasileiro. Volatilidade.
description The aim of this paper is to measure the financial account volatility of the Brazilian Balance of Payments. We intend to show that the short run capital flows toward Brazil are strongly characterized by speculative movements, which generate macroeconomic effects, such as the negative impact on the domestic interest rate, the public debt and the country risk. The main argument here is that the volatility remains even after a flexible exchange rate regime. In order to accomplish this objective we will use a specific econometric model for time series, the ARCH model (autoregressive conditional heteroskedascity model). Through the analysis that links the annual volatility average and the relative participation of each sub-account in the financial account of superior hierarchy, the paper concludes that the most volatile accounts are just that ones with most speculative and short term bias.
publishDate 2010
dc.date.none.fl_str_mv 2010-03-31
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6938
10.22456/2176-5456.6938
url https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6938
identifier_str_mv 10.22456/2176-5456.6938
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/6938/7460
dc.rights.driver.fl_str_mv Copyright (c) 2019 Análise Econômica
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2019 Análise Econômica
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv UFRGS
publisher.none.fl_str_mv UFRGS
dc.source.none.fl_str_mv Análise Econômica; Vol. 27 No. 52 (2009): setembro de 2009
Análise Econômica; v. 27 n. 52 (2009): setembro de 2009
2176-5456
0102-9924
reponame:Análise Econômica (Online)
instname:Universidade Federal do Rio Grande do Sul (UFRGS)
instacron:UFRGS
instname_str Universidade Federal do Rio Grande do Sul (UFRGS)
instacron_str UFRGS
institution UFRGS
reponame_str Análise Econômica (Online)
collection Análise Econômica (Online)
repository.name.fl_str_mv Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)
repository.mail.fl_str_mv ||rae@ufrgs.br
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