O efeito contágio no período de crise global sobre os ativos do Brasil: uma aplicação do Heat Index e de modelos de vetores autorregressivos

Abstract

The objective of this study is verify the occurrence of the contagion effect in the Brazilian economy in reason of the period of Crisis initiated in 2008. Specifically, quantify the volatility of interest rates, Ibovespa index, Brazil-Risk (EMBI), and exchange rates RealDollar and Real-Euro, using the Heat Index (heat index) and check if there is some precedence in these volatilities. Thus, we use the standardized index in the estimation of a vector autoregressive model with which to do Granger causality tests. Among the findings highlighted the direction of causality, Ibovespa index for interest rate, the Brazil-Risk (EMBI) in exchange rate Dollar and of the exchange rate Dollar in exchange rate Euro. The tests of Granger-causality in block revealed that the other variables not aid in predictability of Ibovespa index or Risk-Brazil.