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Análise da volatilidade da taxa de câmbio no crescimento económico
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Prever as flutuações e a volatilidade da taxa de câmbio é possivelmente um dos exercícios mais difíceis na economia, pois isso afeta os movimentos do mercado. A relação dinâmica entre os preços das ações e a taxa de câmbio atraiu a atenção de muitos economistas por razões teóricas e empíricas, desempenhando um papel importante no desenvolvimento da economia de um país. Face à relevância do tema, o estudo tem como objetivo principal analisar a volatilidade entre as taxas de cambio e os principais mercados de capitais, nomeadamente as taxas de cambio USD/JPY, USD/CHF, GBP/USD, EUR/USD, EUR/GBP, e os mercados de capitais S&P 500, Nikkei 225, no período de 3 de janeiro de 2022 a 6 de dezembro de 2024. Para se realizar tal análise pretende dar-se resposta às seguinte questão de investigação: existe interdependência entre as taxas de câmbio e os mercados de capitais?. Os resultados revelam uma significativa interdependência entre as taxas de câmbio e os mercados de capitais no período analisado, evidenciando a presença de spillovers de volatilidade. Foi identificada uma relação bidirecional entre o índice Nikkei 225 e o par EUR/GBP, bem como entre o S&P 500 e o EUR/GBP, indicando uma interação dinâmica entre os mercados de capitais dos EUA e Japão com as taxas de câmbio europeias. Adicionalmente, os pares como o EUR/USD e GBP/USD também demonstram conexões importantes, tanto entre si quanto com mercados de capitais, destacando a relevância dos spillovers entre moedas globais. O par GBP/USD mostrou-se particularmente influente, impactando os índices Nikkei 225 e S&P 500, além de afetar o par USD/CHF, sublinhando a sua importância nas dinâmicas globais. Por outro lado, o índice S&P 500 destacou-se como líder, influenciando o mercado japonês (Nikkei 225) e sendo impactado por pares como USD/CHF, reforçando a transferência de volatilidade entre moedas de refúgio e os mercados de capitais. Estes achados reforçam a importância de compreender as interdependências entre diferentes mercados financeiros, proporcionando insights valiosos para investidores e formuladores de políticas que procuram gerir os riscos associados à volatilidade da taxa de câmbio e às flutuações dos mercados de capitais.
Predicting exchange rate fluctuations and volatility is possibly one of the most difficultexercises in economics, as it affects market movements. The dynamic relationship between stock prices and the exchange rate has attracted the attention of many economists for theoretical and empirical reasons, playing an important role in the development of a country's economy. Given the relevance of the topic, the study's main objective is to analyze the volatility between exchange rates and the main capital markets, namely the USD/JPY, USD/CHF, GBP/USD, EUR/USD, EUR/GBP exchange rates, and the S&P 500, Nikkei 225 capital markets, in the period from January 3, 2022 to December 6, 2024. This analysis aims to answer the following research question: is there interdependence between exchange rates and capital markets? The results show significant interdependence between exchange rates and capital markets over the period analyzed, highlighting the presence of volatility spillovers. A bidirectional relationship was identified between the Nikkei 225 index and the EUR/GBP pair, as well as between the S&P 500 and the EUR/GBP, indicating a dynamic interaction between the US and Japanese capital markets and European exchange rates. In addition, pairs such as EUR/USD and GBP/USD also showed important connections, both with each other and with capital markets, highlighting the relevance of spillovers between global currencies. The GBP/USD pair proved to be particularly influential, affecting the Nikkei 225 and S&P 500 indices, as well as the USD/CHF pair, underlining its importance in global dynamics. On the other hand, the S&P 500 index stood out as a leader, influencing the Japanese market (Nikkei 225) and being impacted by pairs such as USD/CHF, reinforcing the transfer of volatility between safe haven currencies and capital markets. These findings reinforce the importance of understanding the interdependencies between different financial markets, providing valuable insights for investors and policymakers seeking to manage the risks associated with exchange rate volatility and capital market fluctuations.
Predicting exchange rate fluctuations and volatility is possibly one of the most difficultexercises in economics, as it affects market movements. The dynamic relationship between stock prices and the exchange rate has attracted the attention of many economists for theoretical and empirical reasons, playing an important role in the development of a country's economy. Given the relevance of the topic, the study's main objective is to analyze the volatility between exchange rates and the main capital markets, namely the USD/JPY, USD/CHF, GBP/USD, EUR/USD, EUR/GBP exchange rates, and the S&P 500, Nikkei 225 capital markets, in the period from January 3, 2022 to December 6, 2024. This analysis aims to answer the following research question: is there interdependence between exchange rates and capital markets? The results show significant interdependence between exchange rates and capital markets over the period analyzed, highlighting the presence of volatility spillovers. A bidirectional relationship was identified between the Nikkei 225 index and the EUR/GBP pair, as well as between the S&P 500 and the EUR/GBP, indicating a dynamic interaction between the US and Japanese capital markets and European exchange rates. In addition, pairs such as EUR/USD and GBP/USD also showed important connections, both with each other and with capital markets, highlighting the relevance of spillovers between global currencies. The GBP/USD pair proved to be particularly influential, affecting the Nikkei 225 and S&P 500 indices, as well as the USD/CHF pair, underlining its importance in global dynamics. On the other hand, the S&P 500 index stood out as a leader, influencing the Japanese market (Nikkei 225) and being impacted by pairs such as USD/CHF, reinforcing the transfer of volatility between safe haven currencies and capital markets. These findings reinforce the importance of understanding the interdependencies between different financial markets, providing valuable insights for investors and policymakers seeking to manage the risks associated with exchange rate volatility and capital market fluctuations.
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Palavras-chave
Taxas de câmbio Mercados de capitais Teste de causalidade de Granger Exchange rates Capital markets Granger causality test