Stress financeiro e crise de liquidez: evidências recentes
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2014
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Este trabalho tem o objetivo de estudar o conceito de liquidez considerando os diferentes aspectos que interlaçam o risco de financiamento às falhas de liquidez nos mercados, estudando as causas que contribuíram à infecção da saúde no sistema financeiro.
A metodologia consiste no desenvolvimento de um Índice de Stress Financeiro (FSI), onde o mesmo é construído a partir de um dataset de variaveis ajustadas ao mercado estadunidense, que permitem estudar e prever o andamento dos mercados financeiros internacionais, avaliando as tensões manifestadas nos mercados. A finalidade de estudo dessa dissertação é a revisão e a análise de 3 episódios de crises de liquidez (Crise Russa e falência LTCM em 1998, explosão da bolha dot.com em 2000 e crise dos mútuos sub prime em 2007) ao fim de utilizar o FSI para extrair e identificar num prazo de 17 anos casos de crises de liquidez, ligados as bancarrotas dos organismos de investimento. Segundo a análise desenvolvida no trabalho, estas quebras registradas foram o resultado da subestimação do risco sistémico e do fracasso dos market makers em fornecer liquidez como serviço financeiro no longo prazo.
This paper deals with the issue of liquidity within the financial markets: the aim of this dissertation is to study the different aspects of asset and financial liquidity with the development of a Financial Stress Index (FSI), which consists of a dataset of variables that according to the contribute of USA data markets, permits to watch the financial trends and observe the tension within the markets. The core of this project pretends to review and analyze 3 episodes of liquidity crises (Russian Crisis and LTCM default in 1998, dot.com bubble in 2000 and the subprime crisis in 2007) and use the FSI to pull out and identify in a 17 years time range, situations of liquidity crisis linked to the bankruptcy of investment institutes. According to the results of my analysis, those bankruptcies were a result from a crack of investment banks which failed to provide a financial service in a long term and whose underestimate the financial risk. Finally, I will assess the relations of information asymmetry and moral hazard within market players and institutions, which have contributed to harm the market health before the Europe’s fund crisis in 2010.
This paper deals with the issue of liquidity within the financial markets: the aim of this dissertation is to study the different aspects of asset and financial liquidity with the development of a Financial Stress Index (FSI), which consists of a dataset of variables that according to the contribute of USA data markets, permits to watch the financial trends and observe the tension within the markets. The core of this project pretends to review and analyze 3 episodes of liquidity crises (Russian Crisis and LTCM default in 1998, dot.com bubble in 2000 and the subprime crisis in 2007) and use the FSI to pull out and identify in a 17 years time range, situations of liquidity crisis linked to the bankruptcy of investment institutes. According to the results of my analysis, those bankruptcies were a result from a crack of investment banks which failed to provide a financial service in a long term and whose underestimate the financial risk. Finally, I will assess the relations of information asymmetry and moral hazard within market players and institutions, which have contributed to harm the market health before the Europe’s fund crisis in 2010.
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Orientação: Paulo Fernando de Sousa Pereira Alves
Palavras-chave
GESTÃO, GESTÃO FINANCEIRA, MERCADOS FINANCEIROS, CRISES ECONÓMICAS, MANAGEMENT, FINANCIAL MANAGEMENT, FINANCIAL MARKETS, ECONOMIC CRISIS, MESTRADO EM GESTÃO DE EMPRESAS, GESTÃO DE EMPRESAS, BUSINESS MANAGEMENT