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Assessing the First Shocks of Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Emerging Markets

Assis de Salles, Andre (2021): Assessing the First Shocks of Covid-19 Pandemic on the Idiosyncratic Risk in the Brazilian and the Emerging Markets.

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Abstract

The Covid-19 Pandemic affects social and economic relations in all national economies and the world economy, and their financial markets. Investment and production financing in economies takes place through these markets, in particular in the capital market. The idiosyncratic risk represents the risk associated only with a specific productive project, with an economic sector, or with a specific national economy. This work aims to estimate the idiosyncratic risk of the Brazilian economy, through heteroscedastic conditional models, to verify the initial impact of the Covid-19 Pandemic on the risk associated with productive projects developed in the Brazilian and emerging economies, and to their financing and investments. Daily data in US$, covers the period from June 30, 2017 to July 1, 2020, were used.

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