O Quantive Easing influenciou no retorno do mercado financeiro brasileiro? Uma análise por estudo de eventos e testes lineares e não lineares

Abstract

Facing the subprime crisis, central banks of many countries deployed Quantitative Easing (QE) to stimulate the economy. Our paper uses daily data of thirteen Brazilian market indicators from February 2007 to July 2015, employing an event study approach together with diverse linear and nonlinear tests to evaluate QE’s influence in the returns of these indicators. Results suggest that, regardless of the tests performed, there are strong evidences that QE had an influence in the assets return. However, the first phase had a greater effect on the returns compared to the rest.