Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests

Detalhes bibliográficos
Autor(a) principal: Almeida, Helberte João França
Data de Publicação: 2020
Outros Autores: Giovanini, Adilson, Saath, Kleverton Clovis de Oliveira
Tipo de documento: Artigo
Idioma: por
Título da fonte: Economia Aplicada
Texto Completo: https://www.revistas.usp.br/ecoa/article/view/146035
Resumo: Facing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.
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spelling Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear testsO Quantive Easing influenciou no retorno do mercado financeiro brasileiro? Uma análise por estudo de eventos e testes lineares e não linearesquantitative easingevent studyabnormal returnslinear and nonlinear testsbovespa indexquantitative easingestudo de eventosretornos anormaistestes lineares e não linearesíndice bovespaFacing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.Diante da crise do Subprime, bancos centrais de diversos países utilizaram o Quantitative Easing (QE) para estimular a economia. Este trabalho utiliza dados diários, Fevereiro de 2007 a julho de 2015, de treze indicadores do mercado brasileiro e emprega a abordagem de estudo de eventos e diferentes testes lineares e não lineares para avaliar a influência do QE sobre os retornos desses indicadores. Os resultados encontrados indicam que, independente do teste realizado, há fortes evidências de que o QE influenciou o retorno dos ativos. Contudo, a primeira fase teve maior efeito sobre os retornos dos ativos do que as demais.Universidade de São Paulo, FEA-RP/USP2020-12-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://www.revistas.usp.br/ecoa/article/view/14603510.11606/1980-5330/ea146035Economia Aplicada; Vol. 24 No. 4 (2020); 435-460Economia Aplicada; Vol. 24 Núm. 4 (2020); 435-460Economia Aplicada; v. 24 n. 4 (2020); 435-4601980-53301413-8050reponame:Economia Aplicadainstname:Universidade de São Paulo (USP)instacron:USPporhttps://www.revistas.usp.br/ecoa/article/view/146035/169893Copyright (c) 2020 Economia Aplicadahttp://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessAlmeida, Helberte João FrançaGiovanini, AdilsonSaath, Kleverton Clovis de Oliveira2021-03-16T06:40:00Zoai:revistas.usp.br:article/146035Revistahttps://www.revistas.usp.br/ecoaPUBhttps://www.revistas.usp.br/ecoa/oai||revecap@usp.br1980-53301413-8050opendoar:2023-09-13T12:17:11.910061Economia Aplicada - Universidade de São Paulo (USP)false
dc.title.none.fl_str_mv Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
O Quantive Easing influenciou no retorno do mercado financeiro brasileiro? Uma análise por estudo de eventos e testes lineares e não lineares
title Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
spellingShingle Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
Almeida, Helberte João França
quantitative easing
event study
abnormal returns
linear and nonlinear tests
bovespa index
quantitative easing
estudo de eventos
retornos anormais
testes lineares e não lineares
índice bovespa
title_short Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
title_full Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
title_fullStr Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
title_full_unstemmed Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
title_sort Did the Quantitative Easing influence the return of the Brazilian financial market? An analysis by study of events and linear and non-linear tests
author Almeida, Helberte João França
author_facet Almeida, Helberte João França
Giovanini, Adilson
Saath, Kleverton Clovis de Oliveira
author_role author
author2 Giovanini, Adilson
Saath, Kleverton Clovis de Oliveira
author2_role author
author
dc.contributor.author.fl_str_mv Almeida, Helberte João França
Giovanini, Adilson
Saath, Kleverton Clovis de Oliveira
dc.subject.por.fl_str_mv quantitative easing
event study
abnormal returns
linear and nonlinear tests
bovespa index
quantitative easing
estudo de eventos
retornos anormais
testes lineares e não lineares
índice bovespa
topic quantitative easing
event study
abnormal returns
linear and nonlinear tests
bovespa index
quantitative easing
estudo de eventos
retornos anormais
testes lineares e não lineares
índice bovespa
description Facing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.
publishDate 2020
dc.date.none.fl_str_mv 2020-12-01
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://www.revistas.usp.br/ecoa/article/view/146035
10.11606/1980-5330/ea146035
url https://www.revistas.usp.br/ecoa/article/view/146035
identifier_str_mv 10.11606/1980-5330/ea146035
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://www.revistas.usp.br/ecoa/article/view/146035/169893
dc.rights.driver.fl_str_mv Copyright (c) 2020 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2020 Economia Aplicada
http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
publisher.none.fl_str_mv Universidade de São Paulo, FEA-RP/USP
dc.source.none.fl_str_mv Economia Aplicada; Vol. 24 No. 4 (2020); 435-460
Economia Aplicada; Vol. 24 Núm. 4 (2020); 435-460
Economia Aplicada; v. 24 n. 4 (2020); 435-460
1980-5330
1413-8050
reponame:Economia Aplicada
instname:Universidade de São Paulo (USP)
instacron:USP
instname_str Universidade de São Paulo (USP)
instacron_str USP
institution USP
reponame_str Economia Aplicada
collection Economia Aplicada
repository.name.fl_str_mv Economia Aplicada - Universidade de São Paulo (USP)
repository.mail.fl_str_mv ||revecap@usp.br
_version_ 1800221695923978240

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