Três ensaios sobre estabilidade de Séries Econômicas: métodos de estimação econométrica de volatilidade

Abstract

This monograph aims to assess the interconnectedness between risk management, economics and politics. The swings in market prices not just carry out expectations about the market, as they have important consequences in the real economy. In this sense, the first essay is an economic theory approach that has the objective to evaluate the willingness of the government to maintain a sustainable public debt in the sample that goes from 1999 to 2016. The main results using a VECM attest to an irresponsible fiscal authority in this period, that had its restrictions attained due randomness. The second essay refers to the idiosyncratic uncertainty inherent in market risk forecasting. Therefore, are tested the precision of the main conditional volatility models, given different specifications and probability distributions. The risk of risk models is in uptrend interest by literature and markets given the problems of sub estimation of risk observed. The outcome of the exercise done here appoint the risk manager must face a cautious behavior when choosing the probability distribution assumptions. Finally, the third essay stablish a connection among relevant variables to explain market risk in Brazilian stock market in the period between 2014 e 2016. This period is marked by presidential elections in Brazil, impeachment, downgrade in country risk, presidential elections in USA, BREXIT, and commodities shock. Using MGARCH-BEKK, DCC and t-Copulas modelling, the results suggest not just politics and economic fundamentals matter to explain risk to Brazil. However, unconventional monetary policies by FED and portfolio rebalancing by investors are also important. Moreover, was possible to identify the existence of a risk transmission path between Brazil’s stock market and, oil and iron ore.