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Impacto na volatilidade das principais moedas transacionadas nos mercados cambiais durante o período da guerra na Ucrânia
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Abstract(s)
A guerra entre Rússia e Ucrânia tem gerado impactos diretos e substanciais nos mercados financeiros globais, sobretudo a nível das oscilações nas taxas de câmbio internacional das principais moedas negociadas. A amplitude das flutuações de preços neste tipo de ativos, durante um período específico, pode ser explicada pela volatilidade, que é um dos conceitos fundamentais nos mercados financeiros e na análise económica. Neste sentido, a presente dissertação compromete-se em analisar o efeito deste conflito na volatilidade presente das dependências cambiais do EUR e das cinco moedas GBP, JPY, RUB, UAH, USD no período de fevereiro 2020 a fevereiro 2024. Para tal propósito será efetuada uma pesquisa quantitativa que presume a recolha de 1.045 dados diários efetivos dos preços para cada taxa de câmbio EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD selecionados em conformidade com o período estudado. A realização desta pesquisa tem como foco compreender o fundamental acerca do comportamento do mercado cambial e dos ativos financeiros, perante uma variedade de fatores, bem como determinar a volatilidade condicionada das taxas de cambio de EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD, através da utilização de modelo de heterocedasticidade condicionada (GARCH). Como o resultado, confirmou-se o aumento da volatilidade condicionada nas taxas de cambio de EUR/GBP, EUR/JPY, EUR/UAH, EUR/USD devido a guerra Russo-Ucraniana. A única exceção é a taxa de câmbio EUR/RUB, cuja volatilidade diminuiu durante o período da guerra.
The war between Russia and Ukraine has had a direct and substantial impact on the global financial markets, especially in terms of fluctuations in the international exchange rates of the main traded currencies. The extent of price fluctuations in this type of asset over a specific period can be explained by volatility, which is one of the fundamental concepts in financial markets and economic analysis. In this sense, this dissertation undertakes to analyze the effect of this conflict on the present volatility of the exchange rate dependencies of the EUR and the five currencies GBP, JPY, RUB, UAH, USD in the period from February 2020 to February 2024. For this purpose, quantitative research will be carried out that assumes the collection of 1,045 actual daily price data for each exchange rate EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD selected in accordance with the period studied. The focus of this research is to understand the fundamentals of the behavior of the foreign exchange market and financial assets in the face of a variety of factors, as well as to determine the conditional volatility of the EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD exchange rates through the use of a conditional heteroscedasticity model (GARCH). As a result, the increase in conditional volatility in the EUR/GBP, EUR/JPY, EUR/UAH, and EUR/USD exchange rates due to the Russian-Ukrainian war was confirmed. The only exception is the EUR/RUB exchange rate, whose volatility decreased during the war period.
The war between Russia and Ukraine has had a direct and substantial impact on the global financial markets, especially in terms of fluctuations in the international exchange rates of the main traded currencies. The extent of price fluctuations in this type of asset over a specific period can be explained by volatility, which is one of the fundamental concepts in financial markets and economic analysis. In this sense, this dissertation undertakes to analyze the effect of this conflict on the present volatility of the exchange rate dependencies of the EUR and the five currencies GBP, JPY, RUB, UAH, USD in the period from February 2020 to February 2024. For this purpose, quantitative research will be carried out that assumes the collection of 1,045 actual daily price data for each exchange rate EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD selected in accordance with the period studied. The focus of this research is to understand the fundamentals of the behavior of the foreign exchange market and financial assets in the face of a variety of factors, as well as to determine the conditional volatility of the EUR/GBP, EUR/JPY, EUR/RUB, EUR/UAH, EUR/USD exchange rates through the use of a conditional heteroscedasticity model (GARCH). As a result, the increase in conditional volatility in the EUR/GBP, EUR/JPY, EUR/UAH, and EUR/USD exchange rates due to the Russian-Ukrainian war was confirmed. The only exception is the EUR/RUB exchange rate, whose volatility decreased during the war period.
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Keywords
Guerra Russo-Ucraniana Mercado cambial Taxas de câmbio Volatilidade GARCH IPL/IDI&CA2024/CRYPTORISK_ISCAL Russia-Ukraine war Exchange market Exchange rates Volatility