Análise de episódios extremos e da volatilidade dos fluxos de capitais no brasil nos anos 2000

Abstract

With the consolidation of financial globalization, international capital flows have begun to exhibit increasing complexity and volatility, further intensified as they take on a speculative character. To explain this dynamic, the push (external) and pull (internal) factor framework is widely used, as it captures most of the primary determinants of capital flows. However, there remains a debate in the literature regarding which of these factors are most decisive and which specific variables best explain capital movements, leaving this as an open question among researchers. This study aims to identify the occurrence of extreme episodes in Brazil's capital flows during the 2000s, linking these events to potential prevailing external and internal factors at the time. To this end, capital flows are analyzed with a focus on the subaccounts of the Financial Account – Direct Investment, Portfolio Investment, and Other Investments – starting from the identification of extreme episodes based on the methodology of Forbes and Warnock (2021), adapted for monthly time series. Additionally, it seeks to assess how the Financial Account subaccounts have shown changes in their volatility, with a focus on external liabilities that reflect the behavior of foreign investors. This volatility analysis was conducted using the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, allowing for the observation of volatility variations over time.