Ciclo financeiro global, fluxos de capitais e ciclo de crédito nas economias emergentes

Abstract

The aim of this work is to assess the comovement called Global Financial Cycle within international financial variables and to interpret its impacts for a sample of 26 emerging market economies on the period 1990 – 2018 with quarterly data. Chapter 1 presents and defines the concept of GFC, showing its transmission channels, its relationship with measures of global risk aversion and the United States’ rate of monetary policy. Chapter 2 presents empirical evidence of the existence of a GFC for our sample of emerging market economies, using the Principal Component Analysis (PCA) approach to capture the comovement between variable of international credit and capital flows. The objective of Chapter 3 is to asses the measures of global risk aversion and USA’s monetary policy (commonly utilized as proxies for the GFC) in estimations whose dependent variables are related to international supply of credit and capital flows. The main results are a) there is a comovement among international flow of credit and capital flows and this comovement is captured by global risk aversion measures, which works as an indicator of expansion/contraction of credit supply and inflows and outflows of capital for the domestic economies; b) this comovement is statistically significant for a large part of the estimations, i.e, shows an important impact on average for the 26 emerging market economies in the sample; c) global financial integration leads to the necessity of a greater attention for comovements of international financial flows, once these are associated to surges and retrenchments on capital flows at the domestic economies and expansion/contraction of the domestic supply of credit, these factors cause exogenous financial vulnerability independent of the domestic macroeconomic conditions.