DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL?
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Análise Econômica (Online) |
Texto Completo: | https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54410 |
Resumo: | 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. |
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DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL?A POLÍTICA DE QUANTITATIVE EASING ADOTADA PELO FED ALTERA A VOLATILIDADE DOS ATIVOS NO BRASIL?Quantitative easingVolatilidadeAtivos financeirosE52G15G18Quantitative easingVolatilityFinancial assetsE52G15G18The 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.A crise financeira de 2008 resultou em um quadro de taxas de juros de curto prazo próximas de zero e levou vários países a adotarem políticas monetárias não convencionais com a finalidade de estabilizar o sistema financeiro e sustentar o nível da atividade econômica. Embora o objetivo do programa de compra de títulos, denominado como quantitative easing (QE), iniciado pelo Federal Reserve (Banco Central dos Estados Unidos), fosse estimular a atividade econômica interna, seu efeito externalidade foi sentido pelos países emergentes que observaram uma elevação no fluxo de capital externo, um aumento na procura por ativos e uma apreciação da moeda nacional. Dado este contexto, o presente estudo avalia se o QE afetou a volatilidade do índice Ibovespa, do câmbio, do riscopaís, da taxa de juros dos Estados Unidos e do índice de renda fixa. Para tanto, utiliza-se de técnicas de estudos de eventos e modelos autorregressivos e generalizados autorregressivos heteroscedásticos para verificar o comportamento das variáveis consideradas. Os resultados encontrados indicam que o QE alterou a volatilidade dos ativos em alguns períodos analisados e seu início/fim modificou os retornos dos ativos.UFRGS2018-04-27info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/5441010.22456/2176-5456.54410Análise Econômica; Vol. 36 No. 69 (2018): março de 2018Análise Econômica; v. 36 n. 69 (2018): março de 20182176-54560102-9924reponame:Análise Econômica (Online)instname:Universidade Federal do Rio Grande do Sul (UFRGS)instacron:UFRGSporhttps://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54410/48006Copyright (c) 2019 Análise Econômicainfo:eu-repo/semantics/openAccessAlmeida, Helberte João FrançaGiovanini, AdilsonSaath, Kleverton Clovis de OliveiraBiage, Milton2018-07-11T00:47:31Zoai:seer.ufrgs.br:article/54410Revistahttps://seer.ufrgs.br/index.php/AnaliseEconomicaPUBhttps://seer.ufrgs.br/index.php/AnaliseEconomica/oai||rae@ufrgs.br2176-54560102-9924opendoar:2018-07-11T00:47:31Análise Econômica (Online) - Universidade Federal do Rio Grande do Sul (UFRGS)false |
dc.title.none.fl_str_mv |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? A POLÍTICA DE QUANTITATIVE EASING ADOTADA PELO FED ALTERA A VOLATILIDADE DOS ATIVOS NO BRASIL? |
title |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
spellingShingle |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? Almeida, Helberte João França Quantitative easing Volatilidade Ativos financeiros E52 G15 G18 Quantitative easing Volatility Financial assets E52 G15 G18 |
title_short |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
title_full |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
title_fullStr |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
title_full_unstemmed |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
title_sort |
DOES THE QUANTITATIVE EASING POLICY ADOPTED BY THE FED CHANGE ASSET VOLATILITY IN BRAZIL? |
author |
Almeida, Helberte João França |
author_facet |
Almeida, Helberte João França Giovanini, Adilson Saath, Kleverton Clovis de Oliveira Biage, Milton |
author_role |
author |
author2 |
Giovanini, Adilson Saath, Kleverton Clovis de Oliveira Biage, Milton |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Almeida, Helberte João França Giovanini, Adilson Saath, Kleverton Clovis de Oliveira Biage, Milton |
dc.subject.por.fl_str_mv |
Quantitative easing Volatilidade Ativos financeiros E52 G15 G18 Quantitative easing Volatility Financial assets E52 G15 G18 |
topic |
Quantitative easing Volatilidade Ativos financeiros E52 G15 G18 Quantitative easing Volatility Financial assets E52 G15 G18 |
description |
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. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-04-27 |
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/54410 10.22456/2176-5456.54410 |
url |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54410 |
identifier_str_mv |
10.22456/2176-5456.54410 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://seer.ufrgs.br/index.php/AnaliseEconomica/article/view/54410/48006 |
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. 36 No. 69 (2018): março de 2018 Análise Econômica; v. 36 n. 69 (2018): março de 2018 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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