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Análise de Integração Financeira na América do Sul

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  • Matos, Paulo Rogério Faustino
  • Bueno, Amadeus
  • Trompieri, Nicolino

Abstract

Este artigo agrega à discussão sobre integração financeira nos países da América do Sul, os quais, apesar de possuírem raízes históricas e padrões de crescimento econômico comuns, apresentam diversidade nos fundamentos macroeconômicos, financeiros e sociais. A partir dos resultados obtidos com a metodologia proposta por Vahid & Engle (1993) aplicada aos principais índices de mercado sul-americanos durante o período compreendido entre janeiro de 1998 e novembro de 2010, evidencia-se que ao longo do período de estabilidade econômica mundial, as bolsas dessas economias parecem ser mais influenciadas pelas tendências individuais, sinalizando serem os fundamentos econômicos determinantes, enquanto nos períodos de crise, há uma maior heterogeneidade nas reações aos choques, as quais passam a ter maior representatividade na decomposição do retorno. É possível identificar cinco tendências comuns, todas associadas a cenários otimistas no longo prazo para o continente, sendo o índice peruano o único que se mostra previsível por tendências comuns, no sentido da causalidade de Granger, enquanto os índices dos mercados financeiros brasileiro, argentino, venezuelano e colombiano parecem ser os mais representativos em termos preditivos das tendências comuns ao bloco de emergentes. A análise de ciclos sugere que o índice peruano seja o único capaz de prever o ciclo comum, caracterizando o mercado financeiro deste país como relevante nos estudo das reações a choques transitórios na América do Sul.

Suggested Citation

  • Matos, Paulo Rogério Faustino & Bueno, Amadeus & Trompieri, Nicolino, 2014. "Análise de Integração Financeira na América do Sul," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(2), June.
  • Handle: RePEc:fgv:epgrbe:v:68:y:2014:i:2:a:6038
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