Redes bayesianas: Um método para avaliação de interdependência e contágio em séries temporais multivariadas

Abstract

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 financial crises that occurred between the years 1996 and 2009, involving countries in which it was possible to evaluate their effects and objects of similar studies in the literature. The results pointed to various evidence of contagion in times of crisis, with well-defined cause. Finally, it was found that after several crises, markets were much more interconnected than in the initially assumed.