A CRISE FINANCEIRA DE 2008 E SEUS IMPACTOS NOS SETORES DA ECONOMIA BRASILEIRA: UMA ABORDAGEM POR REGRESSÃES QUANTÃLICAS E TEORIA DE PORTFÃLIO / THE FINANCIAL CRISIS OF 2008 AND ITS IMPACT ON THE SECTORS OF THE BRAZILIAN ECONOMY: AN APPROACH quantile regressions AND PORTFOLIO THEORY

AUTOR(ES)
FONTE

IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia

DATA DE PUBLICAÇÃO

24/02/2011

RESUMO

This study applies traditional techniques in Finance and Econometrics in order to analyze the impacts of Financial Crisis on some sectors of the Brazilian economy based upon market indicators provided by Getulio Vargas Foundation (FGV). Initially we apply the theory proposed by Markowitz to sectoral indicators for eight economic sectors and estimate efficient portfolios in the pre and post-financial crisis periods and we verify that the weights established in the two cases differ dramatically. After that, we estimate quantile regressions for three sectors: Mining, Metallurgic and Textiles are estimated confronting the its returns against the return of the market portfolio and the implicit volatility measured. First of all, the model captures the increase in the risk premium demanded by investors in times of crisis; in spite of the models allow us to infer that there is a change in consumer behavior in times of economic instability in order to make him more risk-tolerant.

ASSUNTO(S)

teoria de carteira regressÃo quantÃlica crise financeira portfolio theory quantile regression financial crisis crise financeira crise econÃmica ciencias sociais aplicadas

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