On the Relationship between COVID-19 and Brazilian Financial Market
17 Pages Posted: 18 Mar 2021
Date Written: March 15, 2021
In our first empirical exercise we assess the conditional relationship in the timefrequency domain between the return on Ibovespa and the cases or deaths by COVID-19 in Hubei, countries with record deaths and the world, for the period from January 29 to July 31, 2020. We also perform a parametric test for Granger-causality in quantiles. Second, we study Brazilian sectoral contagions and pass-through. Our findings are useful to infer on when COVID-19 cycles started to impact Ibovespa cycles and to tell the history of the pass-through of this pandemic across the economic sectors in Brazil.
Keywords: Coronavirus, Lead-lag conditional relationships, Time-frequency domains, Quantile Granger causality, Sectoral pass-through in Brazil
JEL Classification: G12, C63, H12, O16
Suggested Citation: Suggested Citation