Financial stress in the Brazilian economy during an inflation targeting regime

Abstract Financial crises that have occurred in recent decades brought new challenges for policymakers in developed and developing countries in order to include issues related to financial stability. This paper aimed to build a Financial Stress Index (FSI) to identify and characterize episodes of financial stress that affected the Brazilian economy during an inflation targeting regime. Five episodes of stress with a duration of greater or equal to three months were identified. Four of them were associated with crises that impacted the Brazilian economy: the economic confidence crisis (2002); crisis of subprime (2008); crisis in the euro zone (2011) and the political and economic crisis (2014). The instability in the foreign exchange and stock market enhanced the impact of major episodes of financial stresses on the Brazilian economy. Results showed that the F.S.I. can be a useful tool for the Brazilian Central Bank to identify such episodes which generate financial stress in the economy.摘要 近数十年来爆发的金融危机，给发达国家与发展中国家的政策制定者带来了新的挑战，要求其将金融稳定相关议题纳入政策考量范畴。本文旨在构建金融压力指数（Financial Stress Index, FSI），以识别并刻画通胀目标制框架下冲击巴西经济的金融压力事件。研究共识别出5起持续时长不少于3个月的金融压力事件，其中4起与冲击巴西经济的危机存在关联：2002年经济信心危机、2008年次贷危机、2011年欧元区危机以及2014年政治经济危机。外汇与股票市场的不稳定态势，放大了重大金融压力事件对巴西经济的冲击影响。研究结果显示，该金融压力指数可作为巴西中央银行识别此类引发经济金融压力事件的实用工具。