Cointegração entre mercado de capitais na América Latina e crescimento econômico: um reflexo do impacto da crise econômica mundial de 2008

Abstract

The objective of this study is to investigate the long and short-term relationships between Latin American capital markets and economic activity indexes in order to better understand if the capital markets are capable of triggering economic growth as measured by the economic activiy indexes. We tackled the issue along with the 2008 global economic crisis to understand how the shake-up caused by it interfered in the relationships mentioned. The first part contains cointegration analyzes among the financial and economic variables used in this study with the Johansen cointegration methodology. Given the presence of cointegration, the work sequence estimates the Vector Error Correction Model (VECM) to understand not only the long-term behavior, but also the short-term behavior among the variables of interest. Finally, more specific analyzes of short-run dynamics are undertaken with the Granger causality tests, impulse responses and variance decomposition of prediction errors. All econometric modeling was estimated considering a complete sample and monthly frequency (2003 to 2017) treating the economic and financial variables as endogenous and dummies variables provided by the World Bank (2018) for the global economic crisis of 2008 as exogenous. The subject is of interest, both for investors and for modern finance theory, in view of Markowitz's (1952) papers and the positive and negative effects of portfolio diversification. Similarly, it is in the interest of policymakers to provide useful information on channels capable of promoting economic growth in the short and long term. The results of the study allow us to infer that the global economic crisis of 2008 caused structural breaks in the relations of cointegration between the variables, whereas the short term analyzes provided the direction, the impacts on the returns and the degree to which each variable explains the other, showing the presence of a contagious effect during the subprime crisis and the way in which the interdependence between the Latin American and American markets was impacted.