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Abstract(s)
O presente estudo visa analisar o efeito de contágio financeiro da crise do subprime
sobre países do sul e do norte da Europa. Para tal foram analisados os retornos diários
de nove índices financeiros, dos quais quatro índices acionistas representativos dos
países do sul da Europa, nomeadamente, Portugal (PSI20), Espanha (IBEX35), Grécia
(ATHEX) e Itália (FTSEMIB), e quatro índices acionistas representativos dos países
nórdicos, Finlândia (OMXH25), Suécia (OMXS30), Dinamarca (OMXC20) e Noruega
(OsloOBX). Foi, ainda, analisado o índice acionista norte-americano S&P500. De
forma a corrigir os problemas associados à volatilidade das séries financeiras foram
estimados modelos ARMA-GARCH e foi selecionado o modelo mais adequado para
cada índice financeiro, obtendo-se os respetivos retornos diários filtrados de efeitos
autorregressivos e de heteroscedasticidade condicional. O método de cópulas foi
utilizado para estimar as relações de dependência entre as séries dos índices financeiros
europeus e o índice S&P500 entre dois sub-períodos, do período pré-crise ou período de
estabilidade para o período de crise, de forma a analisar a existência de contágio
financeiro. Os resultados da estimação dos modelos de cópulas revelam que as relações
de dependência entre todos os países europeus e os Estados Unidos se intensificaram
após a crise do subprime, ou seja, verifica-se a existência de contágio financeiro desta
crise, quer para os países do sul da Europa quer para os países do norte da Europa.
Adicionalmente, verificou-se que os países do norte sentiram com maior intensidade o
contágio financeiro da crise do subprime, comparativamente com os países do sul,
excetuando-se Portugal.
The present study aims to analyze the financial contagion effect of the subprime crisis for the south and north of Europe. For that, the daily returns of nine financial indexes were analyzed, of whitch four stock indexes representing the southern Europe countries, Portugal (PSI20), Spain (IBEX35), Greece (ATHEX) and Italy (FTSEMIB), and four stock indexes representing the Nordic countries, Finland (OMXH25), Sweden (OMXS30), Denmark (OMXC20) and Norway (OsloOBX), and finally the north American index S&P500. In order to solve the problems associated with the financial series volatility, the ARMA-GARCH models were estimated and the most suitable model was selected for each financial index, obtaining the respective daily returns filtered from the autoregressive and conditional heteroscedasticity effects. The copulas method was used to estimate the dependency relationships between the european financial indexes and the S&P500 index during two sub-periods, the pre-crisis period or stability period and the crisis period, and therefore analyze the existence of financial contagion. The estimation results of copula models reveal that the dependency relationships between all European countries and the United States were intensified after the subprime crisis, which means that there is financial contagion from the subprime crisis, both for the southern european countries and nordic european countries. Furthermore, it was possible to conclude that the nordic countries felt the financial contagion effect with greater intensity, compared to the southern european countries, with the exception of Portugal.
The present study aims to analyze the financial contagion effect of the subprime crisis for the south and north of Europe. For that, the daily returns of nine financial indexes were analyzed, of whitch four stock indexes representing the southern Europe countries, Portugal (PSI20), Spain (IBEX35), Greece (ATHEX) and Italy (FTSEMIB), and four stock indexes representing the Nordic countries, Finland (OMXH25), Sweden (OMXS30), Denmark (OMXC20) and Norway (OsloOBX), and finally the north American index S&P500. In order to solve the problems associated with the financial series volatility, the ARMA-GARCH models were estimated and the most suitable model was selected for each financial index, obtaining the respective daily returns filtered from the autoregressive and conditional heteroscedasticity effects. The copulas method was used to estimate the dependency relationships between the european financial indexes and the S&P500 index during two sub-periods, the pre-crisis period or stability period and the crisis period, and therefore analyze the existence of financial contagion. The estimation results of copula models reveal that the dependency relationships between all European countries and the United States were intensified after the subprime crisis, which means that there is financial contagion from the subprime crisis, both for the southern european countries and nordic european countries. Furthermore, it was possible to conclude that the nordic countries felt the financial contagion effect with greater intensity, compared to the southern european countries, with the exception of Portugal.
Description
Keywords
Contágio financeiro Crise do subprime Cópulas ARMAGARCH Financial contagion Subprime crisis Copulas