Determinantes do Risco Soberano do Brasil (Determinants of Brazilian Sovereign Risk)

20 Pages Posted: 28 Apr 2017 Last revised: 7 Jun 2017

Date Written: April 27, 2017

Abstract

Portuguese Abstract: Entre fevereiro de 2016 e março de 2017, o risco soberano do Brasil (SCDS Brasil) apresentou significativa redução, saindo de 500 para 228 pontos-base. Utilizando uma regressão linear e aplicando um modelo econométrico de correção de erros, este estudo mostra evidências de que o componente sistemático externo respondeu por 75% das variações diárias do SCDS Brasil no período, ficando os 25% restantes atribuídos ao componente idiossincrático interno do país.

English Abstract: From February 2016 until March 2017, the Brazilian sovereign risk – Brazil’s SCDS spreads declined sharply from 500 to 228 basis points. Using a linear regression and applying an error correction model, this article shows evidences that the global systematic component accounted for 75% of the daily changes of Brazil’s SCDS spreads in the period, while the remaining 25% were assigned to the internal idiosyncratic component.

Note: Downloadable document is in Portuguese.

Keywords: Sovereign Risk, Credit Default Swap, Linear Regression, Cointegration, Error Correction Model

JEL Classification: F37

Suggested Citation

Ribeiro, Jair, Determinantes do Risco Soberano do Brasil (Determinants of Brazilian Sovereign Risk) (April 27, 2017). Available at SSRN: https://ssrn.com/abstract=2959722 or http://dx.doi.org/10.2139/ssrn.2959722

Jair Ribeiro (Contact Author)

Independent ( email )

No Address Available

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