Análise dos determinantes do credit default swap brasileiro
Date
2022-12-13
Authors
Oliveira, Gabriel Estrela de [UNIFESP]
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Maluf, Luiz Augusto Finger França [UNIFESP]
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Trabalho de conclusão de curso de graduação
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Abstract
O presente trabalho tem por objetivo identificar quais variáveis sejam elas internas ou globais
afetam o Credit Default Swap brasileiro. Para isso foi realizada uma pesquisa na literatura do
tema e selecionada uma série de variáveis, como: Taxa de Juros EUA, câmbio dólar, câmbio
euro, cotação petróleo Brent, cotação petróleo WTI (West Texas Intermediate), SP500, Taxa
Selic e Ibovespa. O modelo Vector Error Correction Model (VECM) foi utilizado para
estimação. Como resultado, tivemos uma forte influência do mercado estadunidense para com
o CDS brasileiro, em contrapartida, as variáveis relacionadas ao petróleo não foram
significativas.
The present work aims to identify which variables, whether internal or global, affect the Brazilian Credit Default Swap. For this, a search was carried out in the literature on the subject and a series of variables were selected, such as: US interest rate, dollar exchange rate, euro exchange rate, Brent oil price, WTI (West Texas Intermediate) oil price, SP500, Selic Rate and Ibovespa. The Vector Error Correction Model (VECM) was used for estimation. As a result, we had a strong influence from the US market towards the Brazilian CDS, on the other hand, variables related to oil were not significant.
The present work aims to identify which variables, whether internal or global, affect the Brazilian Credit Default Swap. For this, a search was carried out in the literature on the subject and a series of variables were selected, such as: US interest rate, dollar exchange rate, euro exchange rate, Brent oil price, WTI (West Texas Intermediate) oil price, SP500, Selic Rate and Ibovespa. The Vector Error Correction Model (VECM) was used for estimation. As a result, we had a strong influence from the US market towards the Brazilian CDS, on the other hand, variables related to oil were not significant.
Description
Citation
OLIVEIRA, Gabriel Estrela de. Análise dos determinantes do Credit Default Swap brasileiro. 2023. Trabalho de Conclusão de Curso (Bacharelado em Ciências Atuariais) - Universidade Federal de São Paulo, Escola Paulista de Política, Economia e Negócios, Osasco, 2023.