Browsing by Author "Veiga, Claudimar Pereira Da"
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- Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticityPublication . Souza, F. M.; Ramser, Claudia Aline De Souza; Souza, Adriano Mendonça; Veiga, Claudimar Pereira DaThe intention of this article is to develop an instrument to overcome the limitations caused by traditional analyses and present a combined STR — Smooth Transition Regression model (EGARCH, STRIGARCH, and STR-FIEGARCH) to analyze the contagion effects of the 2008 financial crisis. The proposed instrument will aid the analysis of contagion and the impact of changes in long-term interest rates on the returns of international stock indices and forecasting, with special emphasis on the effects caused by structural breaks, persistence, and conditioned heteroscedasticity. The methodology begins with unit root tests with one and two structural breaks. In the second step, the asymmetry will be analyzed considering the STR models, which will determine the asymmetry relationship between interest rates and the long term, so that in a later step, these asymmetries will be used in the composition of a volatility estimation model, being based on the ARCH models: (i) EGARCH and (ii) FIEGARCH. This study provides a useful instrument based on modeling techniques to make the decision-making process more efficient and objective, providing a choice of instruments that assess the effect of changes in interest rates on stock market indices when influenced by falls, with structural data and better forecasting performance. The results show that the developed mixture models obtained better performance in predicting the effect or impact of changes in interest rates on stock market indices when influenced by structural breaks. STR and the ARCH family are useful instruments that make the decision-making process clearer and more objective when choosing instruments that assess the spillover effect of long-term interest rates on the profitability of international financial indices.
- The effects of shocks on the dismissal in the electro-electronics sector: evidence from BrazilPublication . Ueda, Renan Mitsuo; Souza, Adriano Mendonça; Silva, Wesley Vieira Da; Veiga, Claudimar Pereira Da; Souza, F. M.his research aims to investigate the short and long-term relationship between the number of dismissals in the Brazilian electro-electronics sector and the macroeconomic variables: gross domestic product, Brazil's total exports, monthly average of the dollar quotation and the broad national consumer index, from May 2003 to September 2018. To verify the interrelationship between the variables, we used the vector autoregressive (VAR) models and vector error correction (VEC). The analysis of the impulse response function and the variance decomposition helped to understand the dynamics of the electro-electronics industry, showing that in the long-term, part of the variance of the sector's dismissal (28.64%) is explained by the broad national consumer index. Abrupt changes in the analysed macroeconomic variables cause fluctuations in the number of dismissals in the Brazilian electro-electronic sector for approximately four to seven months.