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Abstract(s)
Com este trabalho pretendemos avaliar a eficácia e a necessidade da regulação “Short Selling and Certain Aspects of Credit Default Sawps” da União Europeia, a qual proíbe os naked sovereign CDS, nomeadamente no que respeita ao comportamento explosivo dos spreads dos SCDSs e bonds de países da Área Económica Europeia, após estes experienciarem situações de grande stress financeiro.
Fazendo uso do teste PSY, teste de comportamentos exuberantes de mercado, ou de excesso de reação nos spreads dos CDSs que assenta na nova metodologia desenvolvida por Phillips, Shi e Yu (2015), observamos a existência de bolhas financeiras, ou seja, de comportamentos explosivos nos spreads, antes e após a introdução do novo quadro regulatório em Chipre, Grécia e Portugal no período compreendido entre Janeiro de 2008 e Março de 2012. Sendo que, o objetivo da regulação era evitar o comportamento explosivo dos spreads em situações de grande stress financeiro, como as experienciadas pelos países escolhidos para análise, de forma a evitar espirais de preço negativas das sovereign bonds, concluímos pela ineficácia do tipo de regulação adotado pela União Europeia e questionamos a necessidade da mesma, face aos resultados obtidos.
With this thesis we intend to evaluate the effectiveness and the need for a European Union´s regulation called "Short Selling and Certain Aspects of Credit Default Sawps", which prohibits naked sovereign CDS, in particular with regard to the explosive behavior of SCDS spreads and bonds spreads of countries within the European Economic Area, after these experienced situations of great financial disstress. Making use of PSY test, a test to observe exuberant behavior in the market, or a test to observe excess reaction in CDS spreads which is based on a new methodology developed by Phillips, Shi and Yu (2015), we observed the existence of financial bubbles, ie explosive spreads behavior, before and after the introduction of the new regulatory framework in Cyprus, Greece and Portugal in the window period between January 2008 and March 2012. Since the purpose of the regulation was to avoid the explosive behavior of spreads in situations of great financial disstress, as the ones experienced by the countries chosen for analysis, in order to prevent negative price spirals of sovereign bonds, we concluded for the ineffectiveness of the type of regulation adopted by the European Union and questioned the need for it, given the results obtained.
With this thesis we intend to evaluate the effectiveness and the need for a European Union´s regulation called "Short Selling and Certain Aspects of Credit Default Sawps", which prohibits naked sovereign CDS, in particular with regard to the explosive behavior of SCDS spreads and bonds spreads of countries within the European Economic Area, after these experienced situations of great financial disstress. Making use of PSY test, a test to observe exuberant behavior in the market, or a test to observe excess reaction in CDS spreads which is based on a new methodology developed by Phillips, Shi and Yu (2015), we observed the existence of financial bubbles, ie explosive spreads behavior, before and after the introduction of the new regulatory framework in Cyprus, Greece and Portugal in the window period between January 2008 and March 2012. Since the purpose of the regulation was to avoid the explosive behavior of spreads in situations of great financial disstress, as the ones experienced by the countries chosen for analysis, in order to prevent negative price spirals of sovereign bonds, we concluded for the ineffectiveness of the type of regulation adopted by the European Union and questioned the need for it, given the results obtained.
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Keywords
Regulação União Europeia Sovereign CDS Spreads Bonds PSY Bolhas financeiras Ineficácia Regulatory framework European Union Financial bubbles Ineffectiveness