DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL?

• Autor(a) principal: Almeida, Helberte João França
• Data de Publicação: 2018
• Outros Autores: Giovanini, Adilson, Saath, Kleverton Clovis de Oliveira, Biage, Milton
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Análise Econômica (Online)
• Texto Completo: https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54410
• topic: Quantitative easing; Volatilidade; Ativos financeiros; E52; G15; G18; Quantitative easing; Volatility; Financial assets; E52; G15; G18

The financial crisis of 2008 resulted in a short-term interest rates near zero frame and led many countries to adopt unconventional monetary policies in order to stabilize the financial system and sustain the level of economic activity. Although the purpose of the bond-buying program, known as quantitative easing (QE), initiated by the Federal Reserve (Central Bank of the United States) is related only to domestic economic, his externality effect was felt by the emerging countries that had an increase in the flow of foreign capital, increased demand for assets and appreciation of the national currency. Given this context, the objective of this study is to evaluate whether the QE policy affected the volatility of Ibovespa index, exchange rate, country risk, US interest rates and fixed income index. Therefore, it uses the event study and auto regressive models and generalized autoregressive heteroscedastic to check the behavior of the variables considered. The results show that the QE alter the volatility of the assets in some analyzed peroxides and their start / end modifies the return on assets.