Redes Bayesianas: um método para avaliação de interdependência e contágio em séries temporais multivariadas

Abstract

ConteúdoO objetivo deste trabalho consiste em identificar a existência de contágio financeiro utilizando a inovadora metodologia de Redes Bayesianas, executando-se uma análise sequencial. A análise da interdependência de mercados internacionais é realizada em períodos de crises financeiras, ocorridas entre os anos 1996 e 2009, envolvendo países nos quais foi possível avaliar seus efeitos e objetos de estudos similares na literatura. Os resultados apontaram para diversas evidências de contágio em períodos de crise, com causadores bem definidos. Por fim, verificou-se que, após as diversas crises, os mercados estavam muito mais interligados do que no período inicialmente adotado. This work aims to identify the existence of financial contagion using the innovative metodology of Bayesian networks, executing a sequential analysis. The analysis of the interdependence of international markets is performed in periods of

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