IDENTIFICAÃÃO DE RISCO SISTÃMICO NO SISTEMA FINANCEIRO BRASILEIRO DURANTE A CRISE DE 2008 / IDENTIFICATION OF SYSTEMIC RISK IN THE FINANCIAL SYSTEM BRAZIL DURING THE CRISIS OF 2008

AUTOR(ES)
FONTE

IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia

DATA DE PUBLICAÇÃO

15/02/2012

RESUMO

This research aimed to investigate the existence of a structural break in the relationship between the banking sector and IBOVESPA during the period of January 1st 2007 to July 29th 2011, in consequence of the financial crisis occurred in 2008. Traditional techniques were employed in Finance and Econometrics knowledge to analyze the impacts of this crisis on the Brazilian banking sector, based on the daily closing prices of the shares of major Brazilian banks, includes Banco do Brasil, Bradesco, Itaà and IBOVESPA. The methodology used was based on the model of asset pricing, CAPM, in the measurement of systemic risk. It was observed that the statistical evidence, gained with the Chow test and t test for averages differences, basically indicate that it was possible to capture a different effect during the 2008âs crisis between public bank and private banks in relation to systemic risk, and capture a structural change in October 24, 2008, a shift detected from the Chow test.

ASSUNTO(S)

ciencias sociais aplicadas risco sistÃmico modelo capm ibovespa teste de chow systemic risk capm ibovespa chow test risco

ACESSO AO ARTIGO

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