The Contagion Effect of the Subprime Crisis in the Brazilian Stock Market

Ferreira, Douglas Marcos; Mattos, Leonardo Bornacki de

doi:10.1016/s2212-5671(14)00702-3

Cited by 4 publications

(1 citation statement)

References 10 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Applications of MGARCH models to the Brazilian market are also extensive. Ferreira and De Mattos (2014) use the BEKK model to investigate the contagion effect of the subprime crises on the Brazilian stock market. Using a sample of indexes from 2007 to 2010, they find evidence of contagion between U.S. and Brazilian stock indexes.…”

Section: Literature Overviewmentioning

confidence: 99%

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

Aiube

Faquieri

2020

Braz. Rev. Fin.

View full text Add to dashboard Cite

<p>In this paper we analyze the ability of different asset classes to hedge the Brazilian stock index in periods of high and low interest rates in the Brazilian economy, using two multivariate GARCH models. Our analysis includes two categories of assets: those traded in domestic currency and those traded in U.S. dollars. From the perspective of a local investor, we find that the exchange rate (R$/US$) and gold are the assets least correlated with equities. From the standpoint of a foreign investor, commodity index and fixed-income assets are the most useful. These results prevail in the low- and high-interest-rate periods. Moreover, in the period of low interest rates, the standard deviation of the estimated conditional correlation time series decreases, suggesting that in this period investors are more confident about macroeconomic policies.</p>

show abstract

Section: Literature Overviewmentioning

confidence: 99%

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

Aiube

Faquieri

2020

Braz. Rev. Fin.

View full text Add to dashboard Cite

show abstract

Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis

Zhou

2016

Comput Econ

View full text Add to dashboard Cite

Implementation of the ARIMA model for prediction of economic variables: evidence from the health sector in Brazil

Pereira da Veiga,

Girotto

et al. 2024

Humanit Soc Sci Commun

View full text Add to dashboard Cite

In recent decades, quantitative models for forecasting economic crises have garnered significant interest from researchers, policymakers, and public and private institutions. Identifying the most appropriate models for predicting economic time series behaviors during crises is a pressing challenge. Effective techniques can be instrumental in forestalling financial irregularities, thus empowering institutions to deploy remedial actions and swiftly minimizing further economic setbacks. Contemporary literature introduces various forecasting models, such as the autoregressive integrated moving average (ARIMA) model. Recognized for its statistical alignment with numerous linear models, the ARIMA model has demonstrated its efficacy across various domains. This paper delves into applying the ARIMA model to predict five critical economic time series that substantially influenced Brazil’s public and private healthcare sectors throughout the economic crisis between 2000 and 2020. These time series encompassed the variables (i) the gross domestic product—GDP, (ii) the Extended National Consumer Price Index—IPCA, (iii) the unemployment rate, (iv) the total number of health plan beneficiaries, and (v) total number of individual health plan beneficiaries. Importantly, this study provides a comprehensive outline of the ARIMA implementation process, underscoring that precise forecasting is pivotal for managers aiming to curtail financial anomalies and avert resource shortages. The findings highlight the ARIMA model’s (1, 0, 2), (2, 2, 1), (0, 1, 2), (1, 1, 2), and (2, 2, 1) viability in accurately forecasting health-related time series, exceeding 95% accuracy for economic variables analyzed. These results have significant practical implications for healthcare managers and decision-makers. By offering accurate forecasts of critical economic metrics, such as the unemployment rate and the transition of beneficiaries between public and private health systems during economic downturns, this research provides valuable insights for strategic planning within the healthcare sector.

show abstract

The Contagion Effect of the Subprime Crisis in the Brazilian Stock Market

Cited by 4 publications

References 10 publications

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

Dynamic and Asymmetric Contagion Reactions of Financial Markets During the Last Subprime Crisis

Implementation of the ARIMA model for prediction of economic variables: evidence from the health sector in Brazil

Contact Info

Product

Resources

About