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Measuring complexity in Brazilian economic crises

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  • Letícia P D Mortoza
  • José R C Piqueira

Abstract

Capital flows are responsible for a strong influence on the foreign exchange rates and stock prices macroeconomic parameters. In volatile economies, capital flows can change due to several types of social, political and economic events, provoking oscillations on these parameters, which are recognized as economic crises. This work aims to investigate how these two macroeconomic variables are related with crisis events by using the traditional complex measures due to Lopez-Mancini-Calbet (LMC) and to Shiner-Davison-Landsberg (SDL), that can be applied to any temporal series. Here, Ibovespa (Bovespa Stock Exchange main Index) and the “dollar-real” parity are the background for calculating the LMC and SDL complexity measures. By analyzing the temporal evolution of these measures, it is shown that they might be related to important events that occurred in the Brazilian economy.

Suggested Citation

  • Letícia P D Mortoza & José R C Piqueira, 2017. "Measuring complexity in Brazilian economic crises," PLOS ONE, Public Library of Science, vol. 12(3), pages 1-12, March.
    • Handle: RePEc:plo:pone00:0173280
    DOI: 10.1371/journal.pone.0173280
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    References listed on IDEAS

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    2. Tim Chapman, 2003. "Father of fractal complexity," Quantitative Finance, Taylor & Francis Journals, vol. 3(5), pages 88-90.
    3. Liu, T & Granger, C W J & Heller, W P, 1992. "Using the Correlation Exponent to Decide whether an Economic Series is Chaotic," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(S), pages 25-39, Suppl. De.
    4. Benjamin M. Tabak, 2006. "The Dynamic Relationship Between Stock Prices And Exchange Rates: Evidence For Brazil," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(08), pages 1377-1396.
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