Abstract
This research aims, through a risk analysis, to estimate how the distress caused by Covid-19 affected the relationship between Brazilian sectors and the stock market as a whole, by the CoVaR Model. Daily data of sectors indices of [B]3 and the Ibovespa were collected. It should be noted that almost all sectors showed a significant increase in the contribution at risk in the first year of the crisis, showing a significant impact in all sectors. In relation to the financial sector, it was found that its systemic risk was controlled in the second year of the pandemic. The results indicate that regardless of times of crisis, there must be constant monitoring of the financial and non-financial sectors regarding their systemic risk, since this type of risk, despite not occurring frequently, generates a relevant impact in the economy.
Keywords: Systemic risk; Brazilian sectors; Stock markets; CoVaR; Covid-19