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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2020-12-01

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