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Master's Dissertation
DOI
10.11606/D.12.2011.tde-19092011-144700
Document
Author
Full name
Mariana Orsini Machado de Sousa
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2011
Supervisor
Committee
Yoshino, Joe Akira (President)
Bueno, Rodrigo de Losso da Silveira
Bianconi, Marcelo
Title in Portuguese
A crise norte-americana do subprime: medindo o contágio para os BRICS
Keywords in Portuguese
BRICs
Crise econômica - Estados Unidos - 2008-2009
Mercado imobiliário - Estados Unidos
Abstract in Portuguese
Uma característica marcante da recente crise financeira que ocorreu entre 2007 e 2009, conhecida como "A Crise do Subprime", foi quão rapidamente se propagou por todo o mundo. Entretanto, a maior parte da evidência empírica até o presente momento mostra que no início da crise (jun/07 - ago/08) a resposta das economias emergentes foi limitada. Este trabalho corrobora este fato, bem como a rápida saída da crise, para um grupo de países emergentes em acelerado processo de desenvolvimento: Brasil, Rússia, Índia e China, os BRICs. Encontramos ainda evidências de que a China exerceu, principalmente durante a crise, forte impacto positivo nos BRICs, o que nos levou a concluir que este foi um fator importante para que fossem menos afetados, quando comparados com economias desenvolvidas como os EUA. Também mostramos que países dentre os BRICs cuja atividade econômica apresenta maior semelhança - Brasil X Rússia e Índia X China - são afetados de modo geral de forma análoga e observamos ainda evidência de notáveis ligações financeiras entre os países do grupo. Por último, notamos que variáveis reais dos BRICs responderam com menor intensidade aos efeitos da crise quando comparadas a variáveis financeiras do próprio grupo e variáveis reais de países desenvolvidos. Para o estudo, utilizamos modelos S-VAR, VEC e testes de cointegração em painel, este último para os modelos com variáveis macroeconômicas reais. Também utilizamos um índice de propagação de calor, desenvolvido pelo Fundo Monetário Internacional (FMI), que mede a intensidade dos efeitos da crise nas variáveis para cada instante do tempo.
Title in English
The North-American subprime crisis: measuring contagion to the BRICs
Keywords in English
China
Emerging markets risk
Exchange rate markets
Financial markets
Governmend bond markets
Painel cointegration
Stock markets
Subprime crisis
VAR
VEC
Abstract in English
One of the main characteristics of the recent financial crisis that took place between 2007 and 2009, known as "The Subprime Crisis", was how fast it spread all around the globe. Nevertheless, most empirical evidence shows that at the beginning of the crisis (Jun/07- Aug/08) emerging markets' response was limited. This present study corroborates this idea for a fast raising group of emerging economies: Brazil, Russia, India and China, the BRICs. We show as well how rapid these economies have managed to get out of the crisis and the not negligent positive impact that China had in all of them, especially during the crisis period. We infer that China's booming economy must have been one of the main factors that made the crisis' impact reduced for the BRICs when compared to developed countries such as the US. We also show that countries among the BRICs that have more similarities - Brazil X Russia and India X China - were in general affected in an analogous way and we observe that there are strong financial links between group members. Last, we find that the crisis' effect on real BRIC's macroeconomic variables was not as intense as those on developed countries or on BRIC's financial variables. For this study, we use S-VAR, VEC and Panel Cointegration Models. This last one was used for models with real macroeconomic variables. To draw our conclusions, we also utilize a Heat Index which has been developed by the International Monetary Fund (IMF).This index is a measure of the crisis' effects intensity on economic variables through time.
 
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Publishing Date
2011-10-03
 
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