Efeito spillover: uma análise do contágio da economia americana sobre a economia brasileira entre 2008 a 2022

Abstract

The following study aims to analyze the spillover effect from economic shocks experienced by the economy of the United States, especially in economic uncertainty contexts, over Brazilian monetary policies and its autonomy in a global financial integration conjecture. For such ends, a theoretical and empirical base was established from the present bibliography, with emphasis on shock transference from central economies to emergent countries, especially Brazil, credit and capital flow throughout the global economy, financial integration under the optics of the Macroeconomic Trilemma and the institutional paper in risk perception by economic agents. Once the study’s theoretical framework was defined, a database with 15 variables, including financial markets performance indicators, risk and uncertainty perception indicators and macroeconomic identities was built, with quarterly observations during the period between January 2008 and December 2022. The Augmented Dickey-Fuller and Phillips-Perron Unitary Root tests were applied over the obtained time series in order to identify its stationarity or instability for the elaboration of a multivariate Vector Autoregressive Model based on the differentiated series. Once the model was estimated, the Impulse Response Functions were analyzed for shocks in each of the integrated time series, with the intent of understanding the interaction between variables by analyzing direction, way and intensity of each answer to a shock in a certain observed indicator. The model’s results indicate that the response to a positive shock in the risk and uncertainty indicators, in special the CBOE Volatility Index, is composed of short-term reductions in financial market activity, implied expansionary monetary policy indicated by cuts in risk-free rates and reduction in gross fixed capital formation. Impacts over the Indicador de Incerteza da Economia Brasileira and EMBI Brasil indicators follow a similar pattern and can be interpreted as a reflection of the global economy’s uncertainty, while a positive shock on the Bovespa Index has proven to be a significant indicator of greater global capital and credit flow stability and an improved performance reported by the analyzed financial markets as a whole.