Quantive Easing是否影响了巴西金融市场的回报？事件研究与线性和非线性测试的分析

Q4 Economics, Econometrics and Finance

Economia Aplicada Pub Date : 2020-12-01 DOI:10.11606/1980-5330/EA146035

Helberte João França Almeida, Adilson Giovanini, Kleverton Clóvis de Oliveira Saath

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引用次数: 0

摘要

面对次贷危机，许多国家的央行都部署了量化宽松政策来刺激经济。我们的论文使用了2007年2月至2015年7月的13个巴西市场指标的每日数据，采用事件研究方法以及各种线性和非线性测试来评估量化宽松对这些指标回报的影响。结果表明，无论进行何种测试，都有强有力的证据表明量化宽松对资产回报率有影响。然而，与其他阶段相比，第一阶段对回报的影响更大。

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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

Facing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.

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来源期刊

Economia Aplicada Economics, Econometrics and Finance-Economics, Econometrics and Finance (all)

CiteScore

0.30

自引率

0.00%

发文量

审稿时长

100 weeks

期刊介绍： The journal Economia Aplicada (Brazilian Journal of Applied Economics) is a quarterly publication of the Dept. of Economics of the Faculty of Economics, Business and Accounting of the University of São Paulo at Ribeirão Preto (FEA-RP/USP). It was first published in 1997 by the Dept. of Economics of FEA-USP and by FIPE, with the primary concern of filling an editorial gap in Brazil. The Journal"s interest is to publish solely scientific papers on applied economics. Nowadays it has the same goal. Its focus is to publish papers with economic analysis applied to specific problems of interest either to public or private sector, especially with quantitative results bringing theory and reality closer.