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Análise da estrutura de dependência da volatilidade entre setores durante a crise do subprime

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  • Valls Pereira, Pedro L.
  • Arruda, Bruno Pontes de

Abstract

Este estudo testa a hipótese de contágio entre setores da economia dos Estados Unidos durante a crise do Subprime. A metodologia econométrica baseia-se em modelos de correlações condicionais dinâmicas e na aplicação de testes LM robustos para testar a presença de quebras estruturais na estrutura de dependência das séries. Eventos considerados relevantes para o desfecho da crise do Subprime, assim como interações entremomentos das próprias séries foram utilizados para identificar as quebras de interesse.A principal conclusão deste trabalho é que houve contágio relacionado a praticamente todos os indicadores entre os setores dos Estados Unidos. Desta forma, temos que a estrutura de dependência entre os setores da economia supracitada se alterou no decorrer dos eventos de 2007 e 2008. Sendo assim, a prática de diversificação de carteiras e, em geral, toda a análise de risco inerente à gestão de investimentos pode ter sido distorcida,levando gestores e fundos à decisões equivocadas com base em suas limitações e diretrizes de investimento

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 311.

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Date of creation: 12 Sep 2012
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Handle: RePEc:fgv:eesptd:311

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