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Abstract(s)
O presente estudo investiga o impacto das alterações da taxa de juro interbancária, Euribor, no risco dos activos bancários.
Com a recente crise financeira, o efeito da turbulência no mercado interbancário criou uma necessidade de explorar as forças que foram causa de vários fenómenos incomuns nesse mercado. Por um lado, a Euribor testemunhou valores anormalmente baixos, chegando mesmo a atingir valores negativos. Por outro lado, os spreads dos activos bancários dispararam.
Tendo como base a vasta revisão da literatura, foram utilizados dados da Euribor a três meses retirados da Thomson Datastream entre 2000 e 2015 e dados do índice iTraxx fornecidos pela Markit de forma a construir um modelo auto-regressivo com a possibilidade de quebras de estrutura (Bai e Perron, 1998; 2003a).
Concluiu-se que (i) a Euribor não é o principal instrumento de explicação para o comportamento dos spreads nos mercados financeiros; e que (ii) com o nosso modelo econométrico, não é possível obter inferência estatística sobre a previsão da Euribor adicionando a componente do risco bancário, iTraxx. É evidenciado na nossa análise o problema de co-breaking.
This study investigates how Euribor rate affects the risk on banks’ assets. With the recent financial crisis, the effect of turbulence on interbank markets has created a need to explore forces that have caused multiple uncommon phenomena in markets. On the one hand, Euribor rate witnessed drastic values, specifically reached values below zero. On the other hand, the volatility of banks’ risk spreads soared. Considering the vast literature review, we use three-month Euribor dataset from Thomson Datastream between 2000 and 2015, and iTraxx dataset from Markit to construct an autoregressive model, addressing the possibility of structural breaks (Bai and Perron, 1998; 2003a). We concluded that (i) the Euribor is not the main instrument to explain the behavior of spreads in the financial markets; and (ii) with our econometric model we are unable to obtain statistical inference to draw conclusions about Euribor predictions based on iTraxx series. The co-breaking problem stands out in our analysis.
This study investigates how Euribor rate affects the risk on banks’ assets. With the recent financial crisis, the effect of turbulence on interbank markets has created a need to explore forces that have caused multiple uncommon phenomena in markets. On the one hand, Euribor rate witnessed drastic values, specifically reached values below zero. On the other hand, the volatility of banks’ risk spreads soared. Considering the vast literature review, we use three-month Euribor dataset from Thomson Datastream between 2000 and 2015, and iTraxx dataset from Markit to construct an autoregressive model, addressing the possibility of structural breaks (Bai and Perron, 1998; 2003a). We concluded that (i) the Euribor is not the main instrument to explain the behavior of spreads in the financial markets; and (ii) with our econometric model we are unable to obtain statistical inference to draw conclusions about Euribor predictions based on iTraxx series. The co-breaking problem stands out in our analysis.
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Keywords
Euribor Activo bancário Políticas monetárias Crise financeira iTraxx Co-breaking Banks’ assets Monetary policies Financial crisis