Brazil: main macro-financial indicators (31.01.2023)

(1)

BRAZIL: MAIN MACRO-FINANCIAL INDICATORS

International Economics and Euro Area

Department

(2)

SOURCES:IMF, Thomson Reuters and national statistics.

a Percentage of population with income of less than $3.2 (purchasing power parity) per day.

b Drawing on the IMF's calculations for assessing reserve adequacy, which take into account the level of reserves relative to different aggregates and the related opportunity cost.

c Difference between the actual level and the trend in credit to the private sector as a percentage of GDP.

d Return on Assets (ROA) is deﬁned as proﬁt as a percentage of assets in the banking sector portfolio.

e Return on Equity (ROE) is deﬁned as proﬁt as a percentage of capital in the banking sector.

f Defined as the ratio of net income from financial intermediation to operating income. Provisioning expenses are not included in the numerator. Operating income comprises income from financial intermediation, income from services, income from shares and other operating income/expenditure, except for administration expenses.

Brazil: main economic and social indicators

Table 1

2021 2020

1 . 6 7 )

s r a e y ( y c n a t c e p x e e fi L 9

0 5 , 8 )

$ t n a t s n o c ( a ti p a c r e p P D G

3 . 5 )

a ( ) n o it a l u p o p e h t f o

% ( e t a r y t r e v o P 1

5 2 , 4 1 )

P P P ( a ti p a c r e p P D G

9 . 8 4 )i

n i G ( y ti l a u q e n I 9 0 6 , 1 )

n b

$ ( P D G

) p p 5 . 1

± (

% 5 2 . 3 )

3 2 0 2 ( t e g r a t n o it a lf n I 6 . 2 1 2 )

n o ill i m ( n o it a l u p o P

Monetary and real sector and prices 2000-2004 average

2005-2009 average

2010-2014 average

2015-2019

average 2020 2021

9 . 4 2

. 4 - 5

. 0 - 4

. 3 7

. 3 1

. 3 )

e t a r r a e y - n o - r a e y ( P D G

3 . 8 2

. 3 7

. 5 9

. 5 1

. 5 7

. 8 )

e t a r r a e y - n o - r a e y ( I P C

1 . 5 2

. 2 5

. 5 9

. 5 1

. 5 2

. 8 )

e t a r r a e y - n o - r a e y ( I P C g n i y lr e d n U

3 . 9 0

. 2 2

. 9 2

. 0 1 0

. 3 1 8

. 8 1 )

% ( e t a r t s e r e t n i y c il o P

5 . 3 1 5

. 3 1 3

. 1 1 1

. 7 6

. 8 6

. 1 1 )

% ( e t a r t n e m y o l p m e n U

4 . 4 - 6

. 3 1 - 9

. 7 - 2

. 3 - 0

. 3 - 3

. 5 - )

P D G f o

% ( e c n a l a b t e g d u B

8 . 0 4

. 9 - 7

. 1 - 8

. 1 1

. 3 5

. 2 )

P D G f o

% ( e c n a l a b y r a m ir P

3 . 0 8 6

. 8 8 7

. 1 7 9

. 2 5 1

. 7 5 9

. 0 6 )

P D G f o

% ( t b e d c il b u P

External sector

2 . 9 3 9

. 2 3 7

. 6 2 6

. 4 2 4

. 5 2 4

. 7 2 )

P D G f o

% ( s s e n n e p o e d a r T

8 . 1 - 6

. 1 - 3

. 2 - 5

. 3 - 1

. 0 - 4

. 1 - )

P D G f o

% ( e c n a l a b t n u o c c a t n e r r u C

Foreign direct investment received (% of GDP) 3.4 2.3 3.6 3.8 2.6 2.9

3 . 1 1

. 0 - 3

. 0 - 7

. 1 6

. 1 2

. 0 )

P D G f o

% ( s w o lf n i l a ti p a c o il o ft r o P

3 . 6 1 2

. 3 2 6

. 5 2 1

. 8 1 3

. 3 1 1

. 9 )

s t r o p m i f o s h t n o m ( s e v r e s e R

0 . 2 2 1

. 4 2 1

. 9 1 1

. 4 1 3

. 0 1 0

. 7 )

P D G f o

% ( s e v r e s e R

6 . 1 6

. 1 7

. 1 5

. 1 1

. 1 7

. 0 )

b ( ) F M I(

s c ir t e m A R A

1 . 5 3 3

. 7 3 4

. 9 2 1

. 8 1 2

. 6 1 1

. 9 3 )

P D G f o

% ( t b e d l a n r e t x E

Domestic debt held by non-residents (% of total) — 7.7 14.5 12.9 9.2 10.6

Financial markets

4 . 6 9

. 5 0

. 4 6

. 2 9

. 2 7

. 2 o

r u e e h t t s n i a g a e t a r e g n a h c x E

4 . 5 2

. 5 5

. 3 0

. 2 4

. 2 6

. 2 r

a ll o d e h t t s n i a g a e t a r e g n a h c x E

7 . 9 1

. 7 8

. 0 1 6

. 1 1 3

. 2 1 6

. 2 1 )

% ( d l e i y t b e d t n e m n r e v o g r a e y - 0 1

Average government debt maturity (months) 34 34 46 51 41 44

1 9 1 9

0 2 1

4 2 0

4 1 8

6 1

— )

s t n i o p s i s a b ( S D C n g i e r e v o S

4 2 2 0

0 3 0

1 4 5

9 1 0

7 1

— )

s t n i o p s i s a b ( S D C s a r b o r t e P

Banking sector

9 . 3 2 2 6

. 3 3 2 9

. 3 0 2 7 . 6 8 1 9

. 9 3 1 2

. 9 0 1 )

P D G f o

% ( r o t c e s e h t f o e z i S

Credit to the private sector (% of GDP) 28.9 40.2 60.7 62.3 70.0 71.4

6 . 4 7

. 7 0

. 5 3

. 7 9

. 3

— )

c ( p a g P D G - o t - ti d e r c l e s a B

3 . 0 3

. 4 4

. 5 - 0

. 8 5

. 1 1 1

. 1 - )r

a e y - n o - r a e y ( s e c ir p g n i s u o H

5 . 6 1 9

. 6 1 0

. 7 1 6

. 6 1 3

. 7 1 3

. 6 1 s

A W R /l a ti p a c y r o t a l u g e R

4 . 4 1 6

. 4 1 6

. 3 1 9

. 2 1 1

. 4 1

— 1

r e i T

2 . 4 6 5

. 0 6 1

. 8 6 3

. 5 8 3

. 1 8

— s

t e s s a l a t o t / s A W R

3 . 2 8

. 2 2

. 3 8

. 3 4

. 4 6

. 6 )

o il o ft r o p f o

% ( s n a o l g n i m r o fr e p - n o N

5 . 1 2

. 1 5

. 1 6

. 1 3

. 2 3

. 1 )

d ( A O R

0 . 5 1 3

. 2 1 2

. 4 1 7

. 4 1 2

. 1 2 9

. 2 1 )

e ( E O R

8 . 1 9

. 2 2

. 2 8

. 1

—

— o

it a r y ti d i u q i L

Primary expenditure (% of total revenues) — 56.8 53.1 50.8 49.2 50.6

Net interest income (% of gross revenues) (f) — 78.0 76.3 71.1 60.8 69.6

(3)

SOURCE:Irma Alonso and Luis Molina. (2021). "A GPS navigator to monitor risks in emerging economies: the vulnerability dashboard". Documentos Ocasionales - Banco de España, 2111. https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/PublicacionesSeriadas/DocumentosOcasionales/21/Files/do2111e.pdf.

a The risk level is indicated with shades of green (associated with lower levels of vulnerability), yellow (medium vulnerability) and red (variables in the highest risk percentiles).

Brazil: situation of vulnerability (a)

Table 2

With respect to other emerging market economies 2022 Latest ﬁgure

H1 H2 H1 H2 H1 H2 H1 H2 H1 H2 H1

Sovereign spread (bp) 0.456 0.405 0.401 0.485 0.4 0.314 0.501 0.545 0.486

Stock market (quarterly change) 0.555 0.409 0.486 0.494 0.479 0.459 0.659 0.346 0.4 0.766 0.571 0.834 Exchange rate (quarterly change) 0.445 0.553 0.675 0.57 0.596 0.605 0.842 0.491 0.419 0.596

Sovereign spread (quarterly change) 0.443 0.491 0.685 0.53 0.57 0.521 0.248 0.527 0.757 0.508 0.2

GDP (year-on-year) 0.572 0.641 0.625 0.671 0.661 0.899 0.891 0.319 0.448 0.477 0.693

Inﬂation 0.108 0.009 0.044 0.15 0.168 0.08 0.068 0.123 0.572 0.892 0.914 0.615

Industrial output 0.802 0.539 0.33 0.456 0.662 0.785 0.892 0.517 0.102 0.5 0.885

Currency overvaluation 0.454 0.366 0.285 0.25 0.273 0.241 0.092 0.035 0.05 0.073 0.184 0.269

Budget balance (% of GDP) 0.925 0.846 0.798 0.778 0.667 0.834 1 0.877 0.642 0.525 0.654

Gross public sector debt (% of GDP) 1 1 1 0.981 0.994 0.945 1 1 0.966 0.939 0.918 0.961

Credit (real, year-on-year) 0.929 0.782 0.755 0.584 0.454 0.462 0.417 0.406 0.475 0.506 0.231

Deposits (real, year-on-year) 0.453 0.534 0.592 0.645 0.613 0.525 0.548 0.45 0.809 0.874 0.808

Net foreign assets of banks (% of GDP) 0.533 0.579 0.525 0.665 0.767 0.815 0.952 0.963 0.93 0.908

Non-performing loans (% of portfolio) 0.623 0.575 0.583 0.561 0.496 0.46 0.264 0.007 0.033 0.028 0.156 0.615

Loan-to-deposit ratio 0.487 0.453 0.378 0.382 0.378 0.415 0.48 0.457 0.512 0.594

Banks' equity index (quarterly change) 0.499 0.428 0.478 0.423 0.503 0.603 0.825 0.416 0.467 0.566 0.417

Banks' external debt spread 0.324 0.27 0.469 0.493 0.381 0.393 0.624 0.048 0.252 0.426 0.524 0.944

Interbank interest rate 0.448 0.181 0.104 0.114 0.123 0.1 0.08 0.001 0.063 0.221 0.525 0.846

Net interest income 0.699 0.488 0.353 0.187 0.29 0.254 0.152 0.094 0.117 0.126 0.154 1

Banking risk (BICRA) 0.788 0.662 0.613 0.571 0.534 0.503 0.474 0.448 0.425 0.405 0.391

Banking risk (IHS) 0.752 0.682 0.624 0.575 0.533 0.497 0.466 0.438 0.413 0.391 0.371 0.583

Current account balance (% of GDP) 0.29 0.296 0.445 0.561 0.59 0.764 0.8 0.434 0.357 0.393 0.411 0.5

Foreign direct investment (% of GDP) 0.338 0.443 0.661 0.391 0.368 0.388 0.444 0.607 0.231

External debt (% of GDP) 0.678 0.796 0.844 0.788 0.94 0.948 0.904 0.889 0.752 0.269

Short-term external debt (% of reserves) 0.89 0.859 0.896 0.821 0.938 0.951 0.906 0.844 0.954 0.895 0.995 0.884

Reserves (% of GDP) 0.091 0.129 0.09 0.056 0.055 0.101 0.018 0.018 0.057 0.073 0.225 0.539

External debt service (% of exports) 0.525 0.469 0.425 0.471 0.795 0.794 0.799 0.641 0.441 0.419 0.384 0.846

Portfolio investment (% of GDP) 0.918 0.793 0.784 0.764 0.861 1 0.851 0.193 0.249 0.611 0.539

GDP per capita (change) 0.429 0.429 0.637 0.637 0.957 0.957 0 0 — 0.308

Political risk (IHS) 0.972 0.992 0.977 0.931 0.85 0.83 0.865 0.907 0.831 0.835 0.823 0.653

Geopolitical risk (GPR) 0.265 0.344 0.538 0.788 0.952 0.972 0.904 0.514 0.417 0.473

Sovereign rating 0.584 0.595 0.629 0.641 0.65 0.658 0.667 0.674 0.682 0.689 0.696

Stability/Absence of violence (percentile) 1 1 0.942 0.942 1 1 0.843 0.843 0.95 0.95 — 0.5

Time series

2017 2018 2019 2020 2021

(4)

SOURCES:IMF, OECD, Eurostat, BIS and national statistics.

a With respect to euro area and Spanish ﬁgures.

b With respect to Brazilian ﬁgures.

Spain and euro area exposure to Brazil (2021 unless otherwise stated)

Table 3

Euro area Spain Euro area Spain Euro area Spain Euro area Spain 9 1 8

2 8

. 0 7 . 0 2

. 0 3 . 0 1

. 3 3 . 6 3 s

d o o g f o s t r o p x E

6 1 8

2 2

. 1 6 . 0 3

. 0 2 . 0 0

. 4 1 . 6 2 )

0 2 0 2 ( s d o o g f o s t r o p m I

5 1 5

2 2

. 1 8 . 0 1

. 0 1 . 0 1

. 1 6 . 2 1 )

0 2 0 2 ( s e c i v r e s f o s t r o p x E

9 1 9

3 7

. 0 3 . 0 0

. 0 0 . 0 4

. 0 5 . 5 )

0 2 0 2 ( s e c i v r e s f o s t r o p m I

International Investment Position:

Foreign direct investment. Assets (2020) 294.5 48.4 2.3 3.8 1.8 8.3 14 3

Foreign direct investment. Liabilities (2020) 19.0 4.8 0.1 0.4 0.1 0.6 48 20

Portfolio investment. Assets (December 2021) 74.9 2.3 0.5 0.2 0.3 0.2 30 24

Portfolio investment. Liabilities (December 2021) 10.5 2.1 0.1 0.1 0.1 0.2 49 25

Credit exposure to Brazil of BIS reporting

banks (a) (March 2022) 233.3 184.1 1.6 12.9 2.0 9.1 14 4

Claims of Brazilian banks vis-à-vis residents

of the euro area or Spain (March 2022) 4.7 0.8 0.0 0.1 0.1 0.2 21 17

Debt of Brazilian residents to banks from the euro area or Spain (b)

(March 2022) 233.3 184.1 14.5 11.4 59.1 46.6 — 1

Percentage of GDP Percentageoft otal Ranking n

b

$

(5)

SOURCES:OECD and IMF. DOWNLOAD

Brazil: structural economic data

Chart 1

Rest of the world Rest of Latin America

Rest of the euro area Spain

China United States

Manufacturing Oil and other fuels Agriculture, forestry and ﬁshing

China United States Manufacturing

Oil and other fuels Agriculture, forestry and ﬁshing

Net exports Investment

Government consumption Private consumption

Other services Financial services Public administration and health Trade, repairs, transportation, accommodation, food Other industry Construction Manufacturing Mining

Agriculture, forestry and ﬁshing

Other Peru Mexico Colombia Chile Brazil Argentina

Rest of the world Rest of Latin America Rest of the euro area

Spain China United States Brazil 2.3

15.7

18.6

1.4

5.4 10.1 46.5

1.a Share of global GDP (%) (2021)

9.8

32.2

4.7 25.3 7.5

4.2 16.2

1.b Share of Latin American GDP (%) (2021)

8.1 5.5

11.3

2.7 2.6

19.1 16.5

6.1 28.1

1.c Breakdown of GDP: supply (%) (2021)

61.0

19.1

18.9 1.0

1.d Breakdown of GDP: demand (%) (2021)

25.6

18.7 55.8

1.e Exports of goods, by sector (%) (2021)

11.2

31.4

1.9 10.1

13.0 32.4

1.f Exports of goods, by destination (%) (2021)

2.5

13.2

84.2

1.g Imports of goods, by sector (%) (2021)

18.1

21.7

1.5

13.6 17.4

27.6

1.h Imports of goods, by origin (%) (2021)

SOURCES:OECD and IMF. DOWNLOAD

Brazil: structural economic data

Chart 1

China United States

Manufacturing Oil and other fuels Agriculture, forestry and ﬁshing

China United States Manufacturing

Oil and other fuels Agriculture, forestry and ﬁshing

Net exports Investment

Government consumption Private consumption

Other services Financial services Public administration and health Trade, repairs, transportation, accommodation, food Other industry Construction Manufacturing Mining

Agriculture, forestry and ﬁshing

Other Peru Mexico Colombia Chile Brazil Argentina

Rest of the world Rest of Latin America Rest of the euro area

Spain China United States Brazil 2.3

15.7

18.6

1.4

5.4 10.1 46.5

1.a Share of global GDP (%) (2021)

9.8

32.2

4.7 25.3 7.5

4.2 16.2

1.b Share of Latin American GDP (%) (2021)

8.1 5.5

11.3

2.7 2.6

19.1 16.5

6.1 28.1

1.c Breakdown of GDP: supply (%) (2021)

61.0

19.1

18.9 1.0

1.d Breakdown of GDP: demand (%) (2021)

25.6

18.7 55.8

1.e Exports of goods, by sector (%) (2021)

11.2

31.4

1.9 10.1

13.0 32.4

1.f Exports of goods, by destination (%) (2021)

2.5

13.2

84.2

1.g Imports of goods, by sector (%) (2021)

18.1

21.7

1.5

13.6 17.4

27.6

1.h Imports of goods, by origin (%) (2021)

(6)

SOURCES:Banco Central de Brasil and Banco de España.

a Credit and other claims on households and non-ﬁnancial corporations, excluding public entities and ﬁnancial institutions.

b 1% of any of the types of exposure. DOWNLOAD

Brazil: structure of the banking sector and relevance for Spain

Chart 2

Materiality threshold (b) Defaulted

Original Risk-weighted 2.c Exposures to material third countries, by type of exposure (June 2022) (a)

Foreign-owned private banks Domestic private banks Public (development) banks 2.b Breakdown of the banking sector (March 2022): deposits

Foreign-owned private banks Domestic private banks Public (development) banks 2.a Breakdown of the banking sector (March 2022): loans

Caixa Federal:

21.00

Itaú: 11.00

Banco de Brasil:

16.23 Bradesco: 11.41

BNDES: 6.40 Other domestic

private banks:

17.68 Santander: 6.40

Other foreign- owned private

banks: 6.14

Other public banks: 3.23

Banco Safra: 2.03

Rabobank: 0.51

% of the total

Other domestic private banks: 19.98

Itaú: 16.44

Banco de Brasil:

15.00 Bradesco: 13.93

Caixa Econômica Federal: 13.39 Santander: 9.01

Other foreign-owned private banks: 4.93

Other public banks:

3.79 BTG Pactual: 2,25

Citibank: 1.30

% of the total

0 2 4 6 8 10 12 14 16 18

United

Kingdom United

States Mexico Brazil Turkey Chile Peru Colombia

% of the total

SOURCES:Banco Central de Brasil and Banco de España.

a Credit and other claims on households and non-ﬁnancial corporations, excluding public entities and ﬁnancial institutions.

b 1% of any of the types of exposure. DOWNLOAD

Brazil: structure of the banking sector and relevance for Spain

Chart 2

Materiality threshold (b) Defaulted

Original Risk-weighted 2.c Exposures to material third countries, by type of exposure (June 2022) (a)

Foreign-owned private banks Domestic private banks Public (development) banks 2.b Breakdown of the banking sector (March 2022): deposits

Foreign-owned private banks Domestic private banks Public (development) banks 2.a Breakdown of the banking sector (March 2022): loans

Caixa Federal:

21.00

Itaú: 11.00

Banco de Brasil:

16.23 Bradesco: 11.41

BNDES: 6.40 Other domestic

private banks:

17.68 Santander: 6.40

Other foreign- owned private

banks: 6.14

Other public banks: 3.23

Banco Safra: 2.03

Rabobank: 0.51

% of the total

Other domestic private banks: 19.98

Itaú: 16.44

Banco de Brasil:

15.00 Bradesco: 13.93

Caixa Econômica Federal: 13.39 Santander: 9.01

Other foreign-owned private banks: 4.93

Other public banks:

3.79 BTG Pactual: 2,25

Citibank: 1.30

% of the total

0 2 4 6 8 10 12 14 16 18

United

Kingdom United

States Mexico Brazil Turkey Chile Peru Colombia

% of the total

(7)

SOURCES:Banco de España, Moody's, Standard and Poor's and Fitch, in addition to: Dario Caldara and Matteo Iacoviello. (2021). "Measuring Geopolitical Risk". International Finance Discussion Papers - Board of Governors of the Federal Reserve System; Corinna Ghirelli, Javier J. Pérez and Alberto Urtasun. (2021). "The spillover effects of economic policy uncertainty in Latin America on the Spanish economy". Latin American Journal of Central Banking, 2(2); and Erik Andres-Escayola, Corinna Ghirelli, Luis Molina, Javier J. Pérez and Elena Vidal. (2022). "Using newspapers for textual indicators: which and how many?". Documentos de Trabajo - Banco de España, 2235. https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/

PublicacionesSeriadas/DocumentosTrabajo/22/Files/dt2235e.pdf.

a The Economic Policy Uncertainty (EPU) index is constructed drawing on the local and international press using words related to uncertainty over economic policies, based on the following methodology: Scott R. Baker, Nicholas Bloom and Steven J. Davis. (2016). "Measuring economic policy uncertainty". Quarterly Journal of Economics, 131(4), pp. 1593-1636.

b The Geopolitical Risk (GPR) Index is a measure of adverse geopolitical events based on a survey of newspaper articles in the English-speaking

press covering geopolitical unrest. ^DOWNLOAD

Brazil: Uncertainty and geopolitical risk indicators and sovereign ratings

Chart 3

Investment grade Fitch

Standard and Poor's Moody's

3.b Sovereign ratings

Brazil - GPR (right-hand scale) (b) Brazil - EPU, all press (a) 3.a News-based indicators

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Jan-22 B / B2

B+ / B1 BB- / Ba3 BB / Ba2 BB+ / Ba1 BBB- / Baa3 BBB / Baa2 BBB+ / Baa1

B- / B3

0. 0 0.1 0.1 0.2 0.2 0.3

0 50 100 150 200 250 300 350

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Jan-22

SOURCES:Banco de España, Moody's, Standard and Poor's and Fitch, in addition to: Dario Caldara and Matteo Iacoviello. (2021). "Measuring Geopolitical Risk". International Finance Discussion Papers - Board of Governors of the Federal Reserve System; Corinna Ghirelli, Javier J. Pérez and Alberto Urtasun. (2021). "The spillover effects of economic policy uncertainty in Latin America on the Spanish economy". Latin American Journal of Central Banking, 2(2); and Erik Andres-Escayola, Corinna Ghirelli, Luis Molina, Javier J. Pérez and Elena Vidal. (2022). "Using newspapers for textual indicators: which and how many?". Documentos de Trabajo - Banco de España, 2235. https://www.bde.es/f/webbde/SES/Secciones/Publicaciones/

PublicacionesSeriadas/DocumentosTrabajo/22/Files/dt2235e.pdf.

a The Economic Policy Uncertainty (EPU) index is constructed drawing on the local and international press using words related to uncertainty over economic policies, based on the following methodology: Scott R. Baker, Nicholas Bloom and Steven J. Davis. (2016). "Measuring economic policy uncertainty". Quarterly Journal of Economics, 131(4), pp. 1593-1636.

b The Geopolitical Risk (GPR) Index is a measure of adverse geopolitical events based on a survey of newspaper articles in the English-speaking

press covering geopolitical unrest. ^DOWNLOAD

Brazil: Uncertainty and geopolitical risk indicators and sovereign ratings

Chart 3

Investment grade Fitch

Standard and Poor's Moody's

3.b Sovereign ratings

Brazil - GPR (right-hand scale) (b) Brazil - EPU, all press (a) 3.a News-based indicators

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Jan-22 B / B2

B+ / B1 BB- / Ba3 BB / Ba2 BB+ / Ba1 BBB- / Baa3 BBB / Baa2 BBB+ / Baa1

B- / B3

0. 0 0.1 0.1 0.2 0.2 0.3

0 50 100 150 200 250 300 350

Jan-04 Jan-06 Jan-08 Jan-10 Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Jan-22

(8)

SOURCES:Banco de España and Reﬁnitiv.

a Ratio of export prices to import prices.

Brazil: exchange rates, stock market, sovereign spreads, long-term interest rates, ﬁnancial conditions and ﬁnancial stress

Chart 4

Bovespa

EMBI+

Terms of trade (a) Nominal effective Real effective Against the euro Against the dollar 4.a Exchange rates of the Brazilian real

30 40 50 60 70 80 90 100 110 120

Jan-12 Jan-14 Jan-16 Jan-18 Jan-20 Jan-22

January 2012 = 100 (↓ depreciation)

60 80 100 120 140 160 180 200 220 240

January 2012 = 100

4.b Stock exchange index

50 150 250 350 450 550 650

bp

4.c Sovereign spread (EMBI+)

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a Ratio of export prices to import prices.

Brazil: exchange rates, stock market, sovereign spreads, long-term interest rates, ﬁnancial conditions and ﬁnancial stress

Chart 4

Bovespa

EMBI+

Terms of trade (a) Nominal effective Real effective Against the euro Against the dollar 4.a Exchange rates of the Brazilian real

30 40 50 60 70 80 90 100 110 120

January 2012 = 100 (↓ depreciation)

60 80 100 120 140 160 180 200 220 240

January 2012 = 100

4.b Stock exchange index

50 150 250 350 450 550 650

bp

4.c Sovereign spread (EMBI+)

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(9)

a Prepared using a principal component methodology drawing on changes in the stock market, short and long-term interest rates, the price of commodities and exchange rate ﬂuctuations.

b Prepared on the basis of the volatilities and spreads of six market segments, standardised and grouped discounting any cross-correlations.

Brazil: exchange rates, stock market, sovereign spreads, long-term interest rates, ﬁnancial conditions and ﬁnancial stress (cont'd)

Chart 4

4.d Long-term interest rate in reais

10-year rate

FCI (a)

FSI (b)

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6 8 10 12 14 16 18

%

-4 -2 0 2 4 6 8 10

Jan-02 Jan-05 Jan-08 Jan-11 Jan-14 Jan-17 Jan-20 Jan-23

Historical average = 0 4.e Financial conditions index

Tightening of ﬁnancial conditions

0 0,1 0,2 0,3 0,4 0,5 0,6 0,7

0-1

4.f Financial stress index

Increase in ﬁnancial market stress

a Prepared using a principal component methodology drawing on changes in the stock market, short and long-term interest rates, the price of commodities and exchange rate ﬂuctuations.

b Prepared on the basis of the volatilities and spreads of six market segments, standardised and grouped discounting any cross-correlations.

Brazil: exchange rates, stock market, sovereign spreads, long-term interest rates, ﬁnancial conditions and ﬁnancial stress (cont'd)

Chart 4

4.d Long-term interest rate in reais

10-year rate

FCI (a)

FSI (b)

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6 8 10 12 14 16 18

%

-4 -2 0 2 4 6 8 10

Historical average = 0 4.e Financial conditions index

Tightening of ﬁnancial conditions

0 0,1 0,2 0,3 0,4 0,5 0,6 0,7

0-1

4.f Financial stress index

Increase in ﬁnancial market stress