O Quantive Easing influenciou no retorno do mercado financeiro brasileiro? Uma análise por estudo de eventos e testes lineares e não lineares

Autores

  • Helberte João França Almeida Universidade Federal de Santa Catarina. Departamento de Economia e Relações Internacionais.
  • Adilson Giovanini Universidade do Estado de Santa Catarina. Departamento de Administração Pública.
  • Kleverton Clovis de Oliveira Saath Universidade Federal de Santa Catarina. Programa de Pós-Graduação em Economia.

DOI:

https://doi.org/10.11606/1980-5330/ea146035

Palavras-chave:

quantitative easing, estudo de eventos, retornos anormais, testes lineares e não lineares, índice bovespa

Resumo

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.

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Biografia do Autor

Helberte João França Almeida, Universidade Federal de Santa Catarina. Departamento de Economia e Relações Internacionais.

Professor Doutor do Departamento de Economia e Relações Internacionais da Universidade Federal de Santa Catarina (UFSC).

Adilson Giovanini, Universidade do Estado de Santa Catarina. Departamento de Administração Pública.

Professor Doutor do Departamento de Administração Pública da Universidade do Estado de Santa Catarina (UDESC).

Kleverton Clovis de Oliveira Saath, Universidade Federal de Santa Catarina. Programa de Pós-Graduação em Economia.

Mestre. Programa de Pós-Graduação em Economia (PPGECO). Universidade Federal de Santa Catarina (UFSC).

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Publicado

2020-12-01

Como Citar

Almeida, H. J. F., Giovanini, A., & Saath, K. C. de O. (2020). O Quantive Easing influenciou no retorno do mercado financeiro brasileiro? Uma análise por estudo de eventos e testes lineares e não lineares. Economia Aplicada, 24(4), 435-460. https://doi.org/10.11606/1980-5330/ea146035

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