Dissertação
Cointegração entre mercado de capitais na América Latina e crescimento econômico: um reflexo do impacto da crise econômica mundial de 2008
Fecha
2019-03-22Autor
Pedro Oliveira de Sena Batista
Institución
Resumen
The objective of this study is to investigate the long and short-term relationships between
Latin American capital markets and economic activity indexes in order to better understand if
the capital markets are capable of triggering economic growth as measured by the economic
activiy indexes. We tackled the issue along with the 2008 global economic crisis to
understand how the shake-up caused by it interfered in the relationships mentioned. The first
part contains cointegration analyzes among the financial and economic variables used in this
study with the Johansen cointegration methodology. Given the presence of cointegration, the
work sequence estimates the Vector Error Correction Model (VECM) to understand not only
the long-term behavior, but also the short-term behavior among the variables of interest.
Finally, more specific analyzes of short-run dynamics are undertaken with the Granger
causality tests, impulse responses and variance decomposition of prediction errors. All
econometric modeling was estimated considering a complete sample and monthly frequency
(2003 to 2017) treating the economic and financial variables as endogenous and dummies
variables provided by the World Bank (2018) for the global economic crisis of 2008 as
exogenous. The subject is of interest, both for investors and for modern finance theory, in
view of Markowitz's (1952) papers and the positive and negative effects of portfolio
diversification. Similarly, it is in the interest of policymakers to provide useful information on
channels capable of promoting economic growth in the short and long term. The results of the
study allow us to infer that the global economic crisis of 2008 caused structural breaks in the
relations of cointegration between the variables, whereas the short term analyzes provided the
direction, the impacts on the returns and the degree to which each variable explains the other,
showing the presence of a contagious effect during the subprime crisis and the way in which
the interdependence between the Latin American and American markets was impacted.