Fatores determinantes do risco sistêmico bancário brasileiro: Uma abordagem CoVaR-Cópula Outros Idiomas

ID:
71909
Resumo:
Neste artigo, quantificamos o risco sistêmico, entre janeiro de 2010 e janeiro de 2019, utilizando o Comovement Value at Risk (CoVaR) como medida de risco. Modelamos a dependência condicional entre bancos brasileiros e o índice representativo do sistema financeiro brasileiro (BFIndex) usando cópulas. Com essa medida de risco, avaliamos o impacto de algumas variáveis macroeconômicas sobre o risco sistêmico, utilizando um modelo de regressão linear dinâmico. Os resultados indicam que o risco sistêmico aumentou durante a crise financeira global de 2008 e que a volatilidade e os retornos do mercado da bolsa de valores são determinantes importantes para um maior ou menor risco sistêmico. Outras importantes variáveis macroeconômicas são a inclinação da curva do rendimento de “cupom zero” e a taxa de variação letra do tesouro a 12 meses. Esses resultados têm implicações para a regulamentação de capital das instituições financeiras
Citação ABNT:
GUIMARÃES, L.; CASTRO, M.; SILVA, L. P.; UGOLINI, A. Fatores determinantes do risco sistêmico bancário brasileiro: Uma abordagem CoVaR-Cópula. Revista Brasileira de Finanças, v. 20, n. 4, art. 5, p. 0-0, 2022.
Citação APA:
Guimarães, L., Castro, M., Silva, L. P., & Ugolini, A. (2022). Fatores determinantes do risco sistêmico bancário brasileiro: Uma abordagem CoVaR-Cópula. Revista Brasileira de Finanças, 20(4), 0-0.
Link Permanente:
https://www.spell.org.br/documentos/ver/71909/fatores-determinantes-do-risco-sistemico-bancario-brasileiro--uma-abordagem-covar-copula/i/pt-br
Tipo de documento:
Artigo
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