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As interdependências nas yields dos títulos soberanos da zona euro: uma abordagem no pós crise da dívida soberana 2010
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Abstract(s)
Esta dissertação tem por objetivo analisar os choques (comovimentos) entre os 6
mercados de dívida soberana, nomeadamente da Alemanha, Espanha, França, Grécia, Itália,
e do Reino Unido, no período de 01 de agosto de 2007 a 24 de setembro de 2020. A amostra
foi particionada em 4 subperíodos: sendo o primeiro relacionado com a crise financeira de
2008, o segundo com a crise da dívida soberana, o terceiro com um período de alguma
acalmia nos mercados, sendo o último período relacionado com a pandemia global de 2020.
Para o efeito foram empregues diferentes abordagem com o proposito de responder se (i) a
pandemia global de 2020 acentuou os níves os choques comovimentos entre mercados de
divida soberanas quando comparado com as crises financeiras de 2008 e 2010? Estimamos
o modelo VAR Granger Causality/Block Exogeneity Wald Tests que evidencia os mercados
de dívida tem apresentado ao longo do tempo uma diminuição de choques (comovimentos),
durante a crise financeira de 2008 apuramos 18 choques entre mercados, enquanto durante
a crise da dívida soberana (2010) validamos 17 choques. No período Tranquilo observamos
14 choques e durante a pandemia global de 2020 os choques diminuíram significativamente,
ou seja, a recente crise de 2020 apresenta comovimentos menos significativos quando
comparado com as crises financeiras de 2008 e 2010, também constatamos que no período
de acalmia nos mercados os choques ocorreram em menor dimensão quando comparado
com os períodos precedentes. Adicionalmente, os resultados sugerem a existência de
elevados comovimentos em períodos de crise e não crise.
This dissertation aims to analyze the shocks (co-movements) between the 6 sovereign debt markets, namely Germany, Spain, France, Greece, Italy, and the United Kingdom, in the period from August 1, 2007 to September 24, 2020. The sample was divided into 4 sub-periods: the first being related to the 2008 financial crisis, the second to the sovereign debt crisis, the third to a period of some calm in the markets, the last period being related to the 2020 global pandemic. For this purpose, different approaches were used in order to answer whether (i) the 2020 global pandemic accentuated the levels of shocks and movements between sovereign debt markets when compared to the financial crises of 2008 and 2010? We estimate the VAR Granger Causality/Block Exogeneity Wald Tests model that shows that the debt markets have shown a decrease in shocks (commovements) over time, during the 2008 financial crisis we found 18 shocks between markets, while during the sovereign debt crisis (2010) we validated 17 shocks. In the calm period we observed 14 shocks and during the 2020 global pandemic the shocks decreased significantly, that is, the recent 2020 crisis presents less significant comovements when compared to the financial crises of 2008 and 2010, we also found that in the period of calm in the markets the shocks occurred to a lesser extent when compared to previous periods. Additionally, the results suggest the existence of high co-movements in periods of crisis and non-crisis.
This dissertation aims to analyze the shocks (co-movements) between the 6 sovereign debt markets, namely Germany, Spain, France, Greece, Italy, and the United Kingdom, in the period from August 1, 2007 to September 24, 2020. The sample was divided into 4 sub-periods: the first being related to the 2008 financial crisis, the second to the sovereign debt crisis, the third to a period of some calm in the markets, the last period being related to the 2020 global pandemic. For this purpose, different approaches were used in order to answer whether (i) the 2020 global pandemic accentuated the levels of shocks and movements between sovereign debt markets when compared to the financial crises of 2008 and 2010? We estimate the VAR Granger Causality/Block Exogeneity Wald Tests model that shows that the debt markets have shown a decrease in shocks (commovements) over time, during the 2008 financial crisis we found 18 shocks between markets, while during the sovereign debt crisis (2010) we validated 17 shocks. In the calm period we observed 14 shocks and during the 2020 global pandemic the shocks decreased significantly, that is, the recent 2020 crisis presents less significant comovements when compared to the financial crises of 2008 and 2010, we also found that in the period of calm in the markets the shocks occurred to a lesser extent when compared to previous periods. Additionally, the results suggest the existence of high co-movements in periods of crisis and non-crisis.
Description
Keywords
Interdependência Mercados de dívida da zona euro Crise financeira de 2010 Pandemia global 2020 Interdependence Eurozone debt markets 2010 financial crisis Global pandemic 2020