Dynamic Associations between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality

Meira, Erick; Oliveira, Fernando Luiz Cyrino; Klötzle, Marcelo Cabús; Pinto, Antônio Carlos Figueiredo

doi:10.1080/1540496x.2019.1658072

Cited by 8 publications

(3 citation statements)

References 59 publications

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“…Before that period, South African companies and products were boycotted in international markets, and many foreign companies withdrew from the country (De Villiers & Van Staden, 2006). By their turn, Brazilian companies faced socioeconomic and political instability, which causes low levels of investment in infrastructure (Crisóstomo et al, 2011; De Oliveira, Cyrino Oliveira, Klötzle, & Pinto, 2019). We assume these differences emerge in the results.…”

Section: Methodsmentioning

confidence: 99%

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

2020

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Considering the institutional, cultural, and regulatory differences across countries, this research investigates the association between environmental, social, and governance (ESG) performance and financial performance of companies from emerging and developed countries. The institutional difference hypothesis (IDH) suggests that institutional weaknesses in emerging markets affect the relationship between financial performance and corporate social performance (CSP) of companies. This can occur because, under such circumstances, firms are more likely to prioritize the capital accumulation and not recognize the potential strategic benefit of socially responsible investments. To investigate this hypothesis, we performed a regression analysis of panel data study comprising 2,165 companies from developed and emerging countries, covering the period between 2007 and 2014. Our results suggest that there is a prevalence of the institutional environment in relation to the financial and ESG performances of companies. These results are in line with the logic of the IDH.

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Section: Methodsmentioning

confidence: 99%

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

2020

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“…As for the second dimension, oil price shocks might have a heterogeneous influence on the unemployment rate of developed and emerging countries, which, in turn, affects the economic growth as the driver of the banking equity (Doğrul and Soytas, 2010). According to the prior studies, Malaysia, Mexico, and Brazil are selected (Kuboniwa, 2014;Sharma and Gulati, 2015;Boubaker et al, 2016;de Oliveira et al, 2019). In addition, Table 1 presents energy intensity to GDP, crude oil consumption, production, and trade balance throughout 2007 to 2015.…”

Section: Country Selectionmentioning

confidence: 99%

Energy and Bank Equity Interactions

Shaiban

Li²,

Hasanov

2021

Front. Energy Res.

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Oil price shocks harm real output and bank and industrial profit in most oil-importing countries, which has motivated us to investigate the impact of these shocks on the equity performance of banking industries. To fulfill the research objectives, we involve a sample of developed and emerging economies for comparison purposes. The objective of employing the Toda and Yamamoto (Journal of econometrics, 1995, 66 (1), 225–250) causality test is to explore the time-variant relationship between oil prices and banking indices to investigate how oil price shocks affect the performance of country-specific banking industries. In addition, an impulse response function and variance decomposition analysis are utilized to, respectively, examine the time-variant relationship between oil price shocks and macroeconomic factors and the performance of the banking sector. Results vary across different economies in our sample, but the magnitude of oil price impact is relatively significant in the US, the UK, Canada, Japan, Mexico, and Brazil. The findings indicate that oil price rises adversely affect equity bank indices in developed and emerging economics except for Mexico. Notably, our findings show that oil prices and interest rates jointly have significant power in explaining the banking equity variation and suggest that international bank portfolio investors should consider hedging oil price risk.

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“…Universidade Federal de Campina Grande, PB, Brasil. 33 1995;De Goeij & Marquering, 2004;Caporale, Pittis & Spagnolo, 2006;Baele, Bekaert & Inghelbrecht, 2010;Iltuzer & Tas, 2012;Demirel, 2017;Testa & D'Amato, 2017;Byun & Oh, 2018;Oliveira, Cyrino Oliveira, Klötzle & Pinto, 2019;Yin & Ma, 2020).…”

Section: Introductionmentioning

confidence: 99%

Relação de causalidade entre os índices de sustentabilidade empresarial e Ibovespa no Brasil

Lucas

Yoshikuni

Agustini³

2022

REVISTA REUNIR

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O tema sustentabilidade empresarial tem sido objeto de atenção tanto de acadêmicos quanto de empresários e investidores. Atentos a esses movimentos, os agentes dos mercados financeiros têm desenvolvido índices que reflitam o comprometimento das corporações com ações de sustentabilidade. Em 2005, a Bolsa de Valores de São Paulo criou o primeiro índice de sustentabilidade da América Latina, denominado Índice de Sustentabilidade Empresarial (ISE B3). Esse artigo objetiva analisar a relação causal entre o ISE B3 e o Ibovespa, um dos principais índices do mercado de capitais brasileiro, com o uso dos testes de causalidade de Granger e do modelo autorregressivo vetorial (VAR), além de suporte via decomposição por wavelets. Os resultados indicam que há uma relação de causalidade bidirecional entre o ISE B3 e o Ibovespa, consubstanciando mais informações aos investidores como forma de redução de riscos de investimentos. Dessa forma, de posse de informações relevantes a respeito do comportamento esperado do ISE B3 ou Ibovespa, os investidores poderão alocar recursos no índice de interesse em função do comportamento do outro e, vice-versa, como forma de tentar minimizar perdas no mercado financeiro.

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Dynamic Associations between GDP and Crude Oil Prices in Brazil: Structural Shifts and Nonlinear Causality

Cited by 8 publications

References 59 publications

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

Testing the institutional difference hypothesis: A study about environmental, social, governance, and financial performance

Energy and Bank Equity Interactions

Relação de causalidade entre os índices de sustentabilidade empresarial e Ibovespa no Brasil

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