On the relationship between COVID-19 and Brazilian financial market
Publicado em: 19/10/2020.
Autores: Antônio Costa (CAEN/UFC), Cristiano da Silva (CAEN/UFC) e Paulo Matos (Diretor da FEAAC).
ABSTRACT
Brazil is a record holder among emerging economies in terms of cases and deaths by
COVID-19. In our first empirical exercise, we follow Aguiar-Conraria et al. (2018) aiming
to assess the conditional relationship in the time-frequency domain between the return
on Ibovespa and the cases or deaths by COVID-19 in Hubei, countries with record deaths
and the world, for the period from January 29 to July 31, 2020. We also perform a
parametric test for Granger-causality in quantiles developed by Troster (2018). Second,
we study Brazilian sectoral contagions and pass-through by using Granger causality and
by performing a wavelet-based Value-at-risk proposed by Troster (2018). Our findings
are useful to infer on when COVID-19 cycles started to impact Ibovespa cycles and to tell
the history of the pass-through of this pandemic across the economic sectors in Brazil.
Para leitura do artigo na íntegra, acesse o link: costa,-da-silva-e-matos-(2020)-rev1
