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Master's Dissertation
DOI
10.11606/D.12.2018.tde-22052018-101435
Document
Author
Full name
Sabrina Jaime Loureiro
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2018
Supervisor
Committee
Securato, Jose Roberto (President)
Silva, Fabiana Lopes da
Rocha, Ricardo Humberto
Savoia, Jose Roberto Ferreira
Title in Portuguese
Análise das variáveis macroeconômicas e financeiras que afetam a formação de preço dos títulos de dí­vida externa dos paí­ses da zona euro
Keywords in Portuguese
Macroeconomia
Mudança estrutural
Risco de crédito
Taxa de juros
União Européia
Abstract in Portuguese
Este trabalho analisa a importância das variáveis macroeconômicas fundamentais na explicação do diferencial de juros dos países periféricos europeus depois de 2009. Mostramos que, após a Alemanha rejeitar o resgate dos títulos gregos, os investidores não só passaram a exigir maiores rentabilidades dos países periféricos com maior endividamento em relação ao PIB como também passaram a utilizar outras medidas macroeconômicas fundamentais para atribuir preço aos títulos soberanos: o crescimento real do PIB e a taxa efetiva de câmbio. Também verificamos que mudanças na volatilidade do S&P medidas pelo índice Vix passaram a ser significativas na formação de preço dos títulos após 2010, demonstrando que os investidores consideraram os países periféricos europeus menos seguros após essa decisão de a Alemanha não resgatar os títulos gregos.
Title in English
Analysis of the macroeconomic and financial variables that influence the price of Eurozone countries
Keywords in English
Credit risk
European Union
Interest rates
Macroeconomic variables
Structural change
Abstract in English
This work investigates the importance of macroeconomic fundamentals in explaining the increase in the peripheral European sovereign spreads after 2009. After Germany refused to bail-out Greece, we show that investors not only increased the peripheral European sovereign spreads explained by the debt to GDP ratio, but also started pricing risk by observing additional macroeconomic fundamentals: the real gdp growth rate and the real effective exchange rate. We also show that changes in the Vix are priced only after 2010, demonstrating that investors considered European peripheral countries less safe after Germany decided not to bail-out Greece.
 
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CorrigidaSabrina.pdf (926.55 Kbytes)
Publishing Date
2018-06-07
 
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