La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19
El riesgo sistémico causado por el COVID-19 afectó a todos los sectores de la economía y con ello se denotó la vulnerabilidad de algunos sectores en comparación con otros. En este contexto, llamó la atención el choque de oferta experimentado por el sector minero, que, en consecuencia, se tradujo en...
- Autores:
-
Sánchez Arévalo, Jorge Luis
Ferreira de Andrade, Alisson Maxwell
de Oliveira Vendramin, Elisabeth
- Tipo de recurso:
- Article of investigation
- Fecha de publicación:
- 2023
- Institución:
- Universidad Católica de Colombia
- Repositorio:
- RIUCaC - Repositorio U. Católica
- Idioma:
- eng
- OAI Identifier:
- oai:repository.ucatolica.edu.co:10983/30191
- Acceso en línea:
- https://doi.org/10.14718/revfinanzpolitecon.v15.n1.2023.2
- Palabra clave:
- Supply and demand shock
Brazilian market
ARDL Model
Financial markets
Econometrics
Choque de oferta y demanda
mercado brasileño
modelo ARDL
mercado financiero
Econometría
- Rights
- openAccess
- License
- Jorge Luis Sánchez Arévalo - 2023
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La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| dc.title.translated.eng.fl_str_mv |
Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19 |
| title |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| spellingShingle |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 Supply and demand shock Brazilian market ARDL Model Financial markets Econometrics Choque de oferta y demanda mercado brasileño modelo ARDL mercado financiero Econometría |
| title_short |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| title_full |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| title_fullStr |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| title_full_unstemmed |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| title_sort |
La respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19 |
| dc.creator.fl_str_mv |
Sánchez Arévalo, Jorge Luis Ferreira de Andrade, Alisson Maxwell de Oliveira Vendramin, Elisabeth |
| dc.contributor.author.spa.fl_str_mv |
Sánchez Arévalo, Jorge Luis Ferreira de Andrade, Alisson Maxwell de Oliveira Vendramin, Elisabeth |
| dc.subject.eng.fl_str_mv |
Supply and demand shock Brazilian market ARDL Model Financial markets Econometrics |
| topic |
Supply and demand shock Brazilian market ARDL Model Financial markets Econometrics Choque de oferta y demanda mercado brasileño modelo ARDL mercado financiero Econometría |
| dc.subject.spa.fl_str_mv |
Choque de oferta y demanda mercado brasileño modelo ARDL mercado financiero Econometría |
| description |
El riesgo sistémico causado por el COVID-19 afectó a todos los sectores de la economía y con ello se denotó la vulnerabilidad de algunos sectores en comparación con otros. En este contexto, llamó la atención el choque de oferta experimentado por el sector minero, que, en consecuencia, se tradujo en una alta apreciación de los precios. Vinculado a esto, y con efectos negativos, se produjo en este periodo la devaluación de los precios del petróleo, explicada, entre otros factores, por la guerra de precios entre los países productores. En este sentido, el presente estudio analiza la volatilidad del indicador bursátil brasileño considerando los precios de los productos antes mencionados y la cotización del dólar. Los resultados muestran la importancia de la formación de precios de estos mercados en la variación del indicador de la Bolsa de Brasil, y la apreciación de los precios del petróleo y el mineral Brent cotizados en el mercado de minerales básicos de Dalian (China) deriva en que el indicador Ibovespa vaya en la misma dirección. Además, en términos estadísticos, el estudio destaca la gran importancia del precio de la moneda extranjera como determinante en la variación del indicador de Ibovespa y, consecuentemente, con efectos en la intención de inversión. |
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2023 |
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2023-03-23 00:00:00 |
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2023-03-23 00:00:00 |
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2023-03-23 |
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Artículo de revista |
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Revista Finanzas y Política Económica |
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Arevalo, J. L. S., de Souza, G. M., & Meurer, R. M. (2020). The Brazilian stock market indicator: Determinants to measure variation and direction. International Journal of Science and Management Studies (IJSMS), 3(5), 48-59. https://doi.org/10.51386/25815946/ijsms-v3i5p105 Arevalo, J. L. S., & Meurer, R. M. (2021). O papel do indicador de liberdade econômica e corrupção na atração de investimento: uma abordagem para países de América do Sul. Revista de Globalización, Competitividad y Gobernabilidad, 15(1). https://doi.org/10.3232/GCG.2021.V15.N1.01 Banco Central do Brasil (BACEN) (2021). Informações estatísticas. https://www.bcb.gov.br Banco Mundial (2021). Dados do PIB dos países. https://data.worldbank.org/country/CN5. B3. Brasil, Bolsa, Balcão (2021). Bolsa de valores oficial do Brasil. Composição da carteira. https://www.b3.com.br/pt_br/market-data-e-indices/indices/indices-amplos/indice-ibovespa-ibovespa-composicao-da-carteira.htm Bortoluzzo, M. M., Sakurai, S. N., & Bortoluzzo, A. B. (2021). Allocation of foreign direct investment across brazilian states. Estudos Econômicos, 43(2), 241-269. https://doi.org/10.1590/S0101-41612013000200002 Chowdhury, M. A. F., Meo, M. S., & Aloui, C. H. (2021). How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile-on-quantile regressions. International Review of Financial Analysis, 76(101759). https://doi.org/10.1016/j.irfa.2021.101759 Dathein, R. (2021). Crise econômica e taxa de lucro nos EUA. Revista de Economia Contemporânea, 15(2), 322-341. https://doi.org/10.1590/S1415-98482011000200005 Debata, B., & Mahakud, J. (2018). Interdependence between monetary policy and stock liquidity: A panel VAR approach. Margem: The Journal of Applied Economic Research, 12(4), 387-413. https://doi.org/ 10.1177/0973801018786270 Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimator for auto-regressive time series with a unit root. Journal of the American Statistical Association, Alexandria, 74, 427-431. https://doi.org/10.1080/01621459.1979.10482531 Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517 Drenik, A., & Perez, J. P. (2021). Domestic price dollarization in emerging economies. Journal of Monetary Economics, 122, 38-55. Economatica (2021). Informações financeiras de empresas e cotações de mercado. https://economatica.com Energy Information Administration (EIA) (2021). Analise de mercados, petróleo global e outros combustíveis. https://www.eia.gov/outlooks/steo/report/global_oil.php Enders, W. (2014). Applied Econometric Time Series (4th ed.). Wiley. Escher, F., & Wilkinson, J. (2019). A economia política do complexo Soja- Carne Brasil. Revista de Economia e Sociologia Rural 57(4), 656-678. https://doi.org/10.1590/1806-9479.2019.191017 Falato, A., Goldstein, I., & Hortaçsu, A. (2021). Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets. Journal of Monetary Economics, 123, 35-52. https://doi.org/10.1016/j.jmoneco.2021.07.001 Fuller, W. A. (1976). Introduction to statistical time series. John Wiley & Sons. Ghazali, M. F., Lean, H. H., & Bahari, Z. (2020). Does Gold Investment Offer Protection Against Stock Market Losses? Evidence from Five Countries. The Singapore Economic Review (SER), 65(02), 275-301. https://doi.org/ 10.1142/S021759081950036X Gouvea, R., Kapelianis, D., & Li, S. (2020). Fostering intra-BRICS trade and investment: The increasing role of China in the Brazilian and South African economies. Thunderbird International Business Review, 62(1), 17-26. https://doi.org/10.1002/tie.22098 Greaves, J. G. (2018). Investigating saving and investment relationship: Evidence from an autoregressive distributed lag bounds testing approach in Liberia. International Journal of Economics and Financial Issues, 8(4), 89-104. Instituto Brasileiro de Geográfica e Estatística (IBGE) (2021). Produto Bruto Interno – PIB. https://www.ibge.gov.br/explica/pib.php Instituto Brasileiro de Mineração (IBRAM) (2021). Principais destinos das exportações minerais brasileiras. https://ibram.org.br/wp-content/uploads/2021/06/Infografico-Mineracao-em-Numeros-2020-NOVO.pdf Johansen, S. (1995). Likelihood-base inference in cointegrated vector auto-regressive models. Oxford University Press. Johansen, S. (1988). Statistical analysis of cointegration vectors. Journal of Economics Dynamics and Control, 12, 231- 254. Khan, R. E. A., & Ali, R. (2015). Causality analysis of volatility in exchange rate and stock market prices: A case study of Pakistan. Asian Economic and Financial Review, 5(5), 805–815. https://doi.org/10.18488/journal.aefr/2015.5.5/102.5.805.815 Lourenço, A. L. C. de, & Roos, B. C. (2015). Efeitos do aumento da produção de petróleo sobre o potencial de crescimento da economia brasileira: um modelo voltado para a projeção (2013-2020). Estudos Econômicos, 45(3). https://doi.org/10.1590/0101-416145367alb Maciel, L., Silveira, R. L. F., Luna, I., & Ballini, R. (2012). Impacto dos contratos futuros do Ibovespa na volatilidade dos índices de ações no Brasil: uma análise na crise do subprime. Estudos Econômicos, 42(4), 801-825. https://doi.org/10.1590/S0101-41612012000400006 Mandaci, P. E., & Kirkpinar, A. (2022). Oil assets and portfolio diversification: Firmlevel analysis for Borsa Istanbul. Borsa Istanbul Review, 22(3), 571-585. https://doi.org/10.1016/j.bir.2021.07.004 Ministério da Indústria, Comércio Exterior e Serviços (MDIC) (2021). Informações sobre o comércio exterior. http://comexstat.mdic.gov.br/pt/home Milan, M., & Quadros, B. C. de (2016). A política monetária e a crise financeira: podem os Bancos Centrais se antecipar? Economia e Sociedade, 25(2), 341-372. https://doi.org/10.1590/1982-3533.2016v25n2art2 Montes, G. C., & Tiberto, B. P. (2012). Macroeconomic environment, country risk and stock market performance: Evidence for Brazil. Economic Modelling, 29(5), 1666-1678. https://doi.org/10.1016/j.econmod.2012.05.027 Mroua, M., & Trabelsi, L. (2020). Causality and dynamic relationships between exchange rate and stock market indices in BRICS countries: Panel/GMM and ARDL analyses. Journal of Economics, Finance, and Administrative Science, 25(50), 395-412. https:// doi.org/10.1108/jefas-04-2019-0054 Ozkan, O. (2021). Impact of COVID-19 on stock market efficiency: Evidence from developed countries. Research in International Business and Finance, 58(101445). https://doi.org/10.1016/j.ribaf.2021.101445 Padula, A. J. A., & Albuquerque, P. H. M. (2018). Government corruption on Brazilian capital markets: A study on Lava Jato (Car Wash) investigation. Revista de Administração de Empresas, 58(4), 405-417. https://doi.org/10.1590/S0034-759020180406 Peersman, G., Ruth, S., & Veken, W. V. (2021). The interplay between oil and food commodity prices: Has it changed over time? Journal of International Economics, 133(103540). https://doi.org/10.1016/j.jinteco.2021.103540 Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3), 289-32. https://doi.org/10.1002/jae.616 Resende, M. F. da C., Terra, F. H. B., & Filho, F. F. (2021). Conventions, money creation and public debt to face the Covid-19 crisis and its aftermath: A post-Keynesian view. Brazilian Journal of Political Economy, [S. l.], 41(2), 254-270. https://doi.org/10.1590/0101-31572021-3260 Santana, H. N., De Lima, S. A., & Ferreira, B. P. (2018). 20 Anos de Real: uma análise da relação entre câmbio, inflação, taxa de juros e o Ibovespa. Revista Gestão & Tecnologia, 18(2), 44-69. Saraç, T. B., & Karagoz, K. (2016). Impact of short-term interest rate on exchange rate: The case of Turkey. Procedia Economics and Finance, 38, 195-202. https://doi.org/10.1016/S2212-5671(16)30190-3 Sek, S. K., Teo, Q. T., & Wong, Y. N. (2015). A comparative study on the effects of oil price changes on inflation. Procedia Economics and Finance, 26, 630-636. https://doi.org/10.1016/S2212-5671%2815%2900800-X Shakil, M. H., Mustapha, I. M., Tasnia, M., & Saiti, B. (2018). Is gold a hedge or a safe haven? An application of ARDL approach. Journal of Economics, Finance, and Administrative Science, 23(44), 60-76. https://doi.org/10.1108/JEFAS-03-2017-0052 Solarin, S. A., & Eric, O. O. (2015). Impact of economic globalization on human capital: Evidence from nigerian economy. International Journal of Economics and Financial Issues, 5(3), 786-789. Tuo, J., & Zhang, F. (2020). Modelling the iron ore price index: A new perspective from a hybrid data reconstructed EEMD-GORU model. Journal of Management Science and Engineering, 5(3), 212-225. https://doi.org/10.1016/j.jmse.2020.08.003 United Nations Conference on Trade and Development (UNCTAD) (2021). Dados de taxa de câmbio entre os países. https://unctadstat.unctad.org/wds/TableViewer/tableView.aspx?ReportId=117 Yang, Y., Li, L., & Jiang, J. (2021). The Impact of COVID-19 pandemic on emerging country stock markets: Evidence of the value effect. Emerging Markets Finance and Trade, https://doi.org/10.1080/1540496X.2021.1973423 Zavadska, M., Morales, L., & Coughlan, J. (2020). Brent crude oil prices volatility during major crises. Finance Research Letters, 32(C). https://doi.org10.1016/j.frl.2018.12.026 |
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Sánchez Arévalo, Jorge Luis523452ba-bac4-46af-add4-af7c597dc830Ferreira de Andrade, Alisson Maxwell4c6b36dc-7964-4926-a83d-b9377f02bef0de Oliveira Vendramin, Elisabeth3d1f4d9e-a573-4649-8b20-4bf281677c8c2023-03-23 00:00:002023-03-23 00:00:002023-03-23El riesgo sistémico causado por el COVID-19 afectó a todos los sectores de la economía y con ello se denotó la vulnerabilidad de algunos sectores en comparación con otros. En este contexto, llamó la atención el choque de oferta experimentado por el sector minero, que, en consecuencia, se tradujo en una alta apreciación de los precios. Vinculado a esto, y con efectos negativos, se produjo en este periodo la devaluación de los precios del petróleo, explicada, entre otros factores, por la guerra de precios entre los países productores. En este sentido, el presente estudio analiza la volatilidad del indicador bursátil brasileño considerando los precios de los productos antes mencionados y la cotización del dólar. Los resultados muestran la importancia de la formación de precios de estos mercados en la variación del indicador de la Bolsa de Brasil, y la apreciación de los precios del petróleo y el mineral Brent cotizados en el mercado de minerales básicos de Dalian (China) deriva en que el indicador Ibovespa vaya en la misma dirección. Además, en términos estadísticos, el estudio destaca la gran importancia del precio de la moneda extranjera como determinante en la variación del indicador de Ibovespa y, consecuentemente, con efectos en la intención de inversión.The systemic risk caused by COVID-19 affected all sectors of the economy, thus showing the vulnerability of some sectors in comparison to others. In this context, the supply shock experienced by the iron ore sector has drawn attention and resulted in a price increase. Linked to this, and in a negative way, oil prices fell due, among other factors, to the price war between producing countries. In this sense, this study analyses the volatility of the Brazilian stock market indicator in relation to the prices of the aforementioned products and the price of the dollar. The results show the importance of the price formation in these markets for the variation of the indicator. The appreciation of Brent oil and iron ore prices on the Dalian Commodity Exchange (DCE), in China, caused the Ibovespa indicator to move in the same direction. In addition, in statistical terms, the study highlights the great importance of the exchange rate as a determinant in the variation of the indicator and, consequently, affecting the intention to invest.text/htmlapplication/pdftext/xml10.14718/revfinanzpolitecon.v15.n1.2023.22011-76632248-6046https://doi.org/10.14718/revfinanzpolitecon.v15.n1.2023.2engUniversidad Católica de Colombiahttps://revfinypolecon.ucatolica.edu.co/article/download/4406/4665https://revfinypolecon.ucatolica.edu.co/article/download/4406/4532https://revfinypolecon.ucatolica.edu.co/article/download/4406/4669Núm. 1 , Año 20234312115Revista Finanzas y Política EconómicaArevalo, J. L. S., de Souza, G. M., & Meurer, R. M. (2020). The Brazilian stock market indicator: Determinants to measure variation and direction. International Journal of Science and Management Studies (IJSMS), 3(5), 48-59. https://doi.org/10.51386/25815946/ijsms-v3i5p105Arevalo, J. L. S., & Meurer, R. M. (2021). O papel do indicador de liberdade econômica e corrupção na atração de investimento: uma abordagem para países de América do Sul. Revista de Globalización, Competitividad y Gobernabilidad, 15(1). https://doi.org/10.3232/GCG.2021.V15.N1.01Banco Central do Brasil (BACEN) (2021). Informações estatísticas. https://www.bcb.gov.brBanco Mundial (2021). Dados do PIB dos países. https://data.worldbank.org/country/CN5. B3. Brasil, Bolsa, Balcão (2021). Bolsa de valores oficial do Brasil. Composição da carteira. https://www.b3.com.br/pt_br/market-data-e-indices/indices/indices-amplos/indice-ibovespa-ibovespa-composicao-da-carteira.htmBortoluzzo, M. M., Sakurai, S. N., & Bortoluzzo, A. B. (2021). Allocation of foreign direct investment across brazilian states. Estudos Econômicos, 43(2), 241-269. https://doi.org/10.1590/S0101-41612013000200002Chowdhury, M. A. F., Meo, M. S., & Aloui, C. H. (2021). How world uncertainties and global pandemics destabilized food, energy and stock markets? Fresh evidence from quantile-on-quantile regressions. International Review of Financial Analysis, 76(101759). https://doi.org/10.1016/j.irfa.2021.101759Dathein, R. (2021). Crise econômica e taxa de lucro nos EUA. Revista de Economia Contemporânea, 15(2), 322-341. https://doi.org/10.1590/S1415-98482011000200005Debata, B., & Mahakud, J. (2018). Interdependence between monetary policy and stock liquidity: A panel VAR approach. Margem: The Journal of Applied Economic Research, 12(4), 387-413. https://doi.org/ 10.1177/0973801018786270Dickey, D.A., & Fuller, W.A. (1979). Distribution of the estimator for auto-regressive time series with a unit root. Journal of the American Statistical Association, Alexandria, 74, 427-431. https://doi.org/10.1080/01621459.1979.10482531Dickey, D.A., & Fuller, W.A. (1981). Likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072. https://doi.org/10.2307/1912517Drenik, A., & Perez, J. P. (2021). Domestic price dollarization in emerging economies. Journal of Monetary Economics, 122, 38-55.Economatica (2021). Informações financeiras de empresas e cotações de mercado. https://economatica.comEnergy Information Administration (EIA) (2021). Analise de mercados, petróleo global e outros combustíveis. https://www.eia.gov/outlooks/steo/report/global_oil.phpEnders, W. (2014). Applied Econometric Time Series (4th ed.). Wiley.Escher, F., & Wilkinson, J. (2019). A economia política do complexo Soja- Carne Brasil. Revista de Economia e Sociologia Rural 57(4), 656-678. https://doi.org/10.1590/1806-9479.2019.191017Falato, A., Goldstein, I., & Hortaçsu, A. (2021). Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets. Journal of Monetary Economics, 123, 35-52. https://doi.org/10.1016/j.jmoneco.2021.07.001Fuller, W. A. (1976). Introduction to statistical time series. John Wiley & Sons.Ghazali, M. F., Lean, H. H., & Bahari, Z. (2020). 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Finance Research Letters, 32(C). https://doi.org10.1016/j.frl.2018.12.026Jorge Luis Sánchez Arévalo - 2023info:eu-repo/semantics/openAccesshttp://purl.org/coar/access_right/c_abf2Esta obra está bajo una licencia internacional Creative Commons Atribución-NoComercial-CompartirIgual 4.0.https://creativecommons.org/licenses/by-nc-sa/4.0https://revfinypolecon.ucatolica.edu.co/article/view/4406Supply and demand shockBrazilian marketARDL ModelFinancial marketsEconometricsChoque de oferta y demandamercado brasileñomodelo ARDLmercado financieroEconometríaLa respuesta de Ibovespa al comportamiento de los precios del petróleo y del mineral de hierro durante la crisis internacional causada por el COVID-19Ibovespa’s response to the behavior of oil and ore prices during the international crisis caused by COVID-19Artículo de revistahttp://purl.org/coar/resource_type/c_2df8fbb1http://purl.org/coar/version/c_970fb48d4fbd8a85Textinfo:eu-repo/semantics/articleJournal articlehttp://purl.org/redcol/resource_type/ARTinfo:eu-repo/semantics/publishedVersionPublicationOREORE.xmltext/xml2835https://repository.ucatolica.edu.co/bitstreams/f6384f95-f856-4c40-a193-047276b2dc95/download7f348d737fbc02e000f459ef61bee0eaMD5110983/30191oai:repository.ucatolica.edu.co:10983/301912023-12-19 15:05:56.127https://creativecommons.org/licenses/by-nc-sa/4.0Jorge Luis Sánchez Arévalo - 2023https://repository.ucatolica.edu.coRepositorio Institucional Universidad Católica de Colombia - RIUCaCbdigital@metabiblioteca.com |