Ensaios em Finanças

Esta tese se dedica a estudos na área de finanças. Os estudos se subdividem nas subáreas de microestrutura e apreçamento de ativos, mas há uma inserção do trabalho em finanças corporativas, uma vez que trato da governança corporativa das empresas. No primeiro capítulo estimo o coeficiente de assimetria de informação embutido no spread de compra e venda de ações brasileiras. Além disso, verifico se há padrões para esse coeficiente e para o próprio spread em relação ao tamanho da transação e à hora de negociação. No capítulo dois, eu investigo quais características ligadas às empresas têm relação com as variáveis estimadas no capítulo 1, o coeficiente de assimetria de informação embutido no spread de compra e venda de ações brasileiras e o próprio spread. A governança corporativa das empresas é uma das características examinadas. No terceiro capítulo, eu observo quais mecanismos de governança corporativa fazem com que haja uma relação antagônica entre os retornos das ações brasileiras e o índice de governança corporativa, conforme mostrado por Carvalhal e Nobili (2011). Nesta investigação, dou ênfase à concentração acionária das empresas brasileiras que, em comparação com países mais desenvolvidos, é extremamente alta.

Credit shocks and monetary policy in Brazil: a structural FAVAR approach

This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external nance premium and the bank balance sheet channel produce large and persistent uctuations in in ation and economic activity accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. The central bank seems to incorporate developments in credit markets especially variations in credit spreads into its reaction function, as impulse-response exercises show the Selic rate is declining in response to wider credit spreads and a contraction in the volume of new loans. Counterfactual simulations also demonstrate that the credit channel ampli ed the economic contraction in Brazil during the acute phase of the global nancial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed.

Essays on the credit channel of monetary policy: a case study for Brazil

The onset of the financial crisis in 2008 and the European sovereign crisis in 2010 renewed the interest of macroeconomists on the role played by credit in business cycle fluctuations. The purpose of the present work is to present empirical evidence on the monetary policy transmission mechanism in Brazil with a special eye on the role played by the credit channel, using different econometric techniques. It is comprised by three articles. The first one presents a review of the literature of financial frictions, with a focus on the overlaps between credit activity and the monetary policy. It highlights how the sharp disruptions in the financial markets spurred central banks in developed and emerging nations to deploy of a broad set of non conventional tools to overcome the damage on financial intermediation. A chapter is dedicated to the challenge face by the policymaking in emerging markets and Brazil in particular in the highly integrated global capital market. This second article investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term “structural” comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external finance premium and the credit volume produce large and persistent fluctuations in inflation and economic activity – accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. Counterfactual simulations demonstrate that the credit channel amplified the economic contraction in Brazil during the acute phase of the global financial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed. In the third articles, I make use of Bayesian estimation of a classical neo-Keynesian DSGE model, incorporating the financial accelerator channel developed by Bernanke, Gertler and Gilchrist (1999). The results present evidences in line to those already seen in the previous article: disturbances on the external finance premium – represented here by credit spreads – trigger significant responses on the aggregate demand and inflation and monetary policy shocks are amplified by the financial accelerator mechanism. Keywords: Macroeconomics, Monetary Policy, Credit Channel, Financial Accelerator, FAVAR, DSGE, Bayesian Econometrics

Sovereign debt with adverse selection : a quantitative approach

We construct a dynamic equilibrium model to quantitatively study sovereign debt with contingent services and country risk spreads such that the benefits of defaulting are tempered by higher interest rates in the future. For a wide range of parameters, the only equilibrium of the model is one in which the sovereign defaults in all states, unless defaulting incurs additional costs. Due to the adverse selection problem, some countries choose to delay default in order to reduce reputation loss. Although equilibria with no default imply in greater welfare levels, they are not sustainable in the highly indebted and volatile countries.

A risk management approach to emerging market's sovereign debt sustainability with an application to Brazilian data

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is expanded to studying the stochastic properties of the debt dynamics. We illustrate the methodology by studying the Brazilian case. We find that even though the debt could be sustainable in the absence of risk, there are paths in which it is clearly unsustainable. Furthermore, we show that properties of the debt dynamics are closely related to the spreads on sovereign dollar denominated debt.

Business cycles in emerging economies : the role of interest rates

This paper documents the empirical relation between the interest rates that emerging economies face in international capital markets and their business cycles. It shows that the patterns observed in the data can be interpreted as the equilibrium of a dynamic general equilibrium model of a small open economy, in which (i) firms have to pay for a fraction of the input bill before production takes place, and (ii) preferences generate a labor supply that is independent of the interest rate. In our sample, interest rates are strongly countercyclical, strongly positively correlated with net exports, and they lead the cycle. Output is very volatile and consumption is more volatile than output. The sample includes data for Argentina during 1983-2000 and for four other large emerging economies, Brazil, Mexico, Korea, and Philippines, during 1994-2000. The model is calibrated to Argentina’s economy for the period 1983-1999. When the model is fed with actual US interest rates and the actual default spreads of Argentine sovereign interest rates, interest rates alone can explain forty percent of output fluctuations. When simulated technology shocks are added to the model, it can account for the main empirical regularities of Argentina’s economy during the period. A 1% increase in country risk causes a contemporaneous fall in output of 0.5 ’subsequent recovery. An increase in US rates causes output to fall by the same on impact and by almost 2% two years after the shock. The asymetry in the effect of shocks to US rates and country risk is due to the fact that US interest rates are more persistent than country risk and that there is a significant spillover effect from US interest rates to country risk.

Investment-specific technological change and the Brazilian macroeconomy

We studied the effects of changes in banking spreads on distributions of income, wealth and consumption as well as the welfare of the economy. This analysis was based on a model of heterogeneous agents with incomplete markets and occupational choice, in which the informality of firms and workers is a relevant transmission channel. The main finding is that reductions in spreads for firms increase the proportion of entrepreneurs and formal workers in the economy, thereby decreasing the size of the informal sector. The effects on inequality, however, are ambiguous and depend on wage dynamics and government transfers. Reductions in spreads for individuals lead to a reduction in inequality indicators at the expense of consumption and aggregate welfare. By calibrating the model to Brazil for the 2003-2012 period, it is possible to find results in line with the recent drop in informality and the wage gap between formal and informal workers.

Financial frictions, informality and income inequality

We studied the effects of changes in banking spreads on distributions of income, wealth and consumption as well as the welfare of the economy. This analysis was based on a model of heterogeneous agents with incomplete markets and occupational choice, in which the informality of firms and workers is a relevant transmission channel. The main finding is that reductions in spreads for firms increase the proportion of entrepreneurs and formal workers in the economy, thereby decreasing the size of the informal sector. The effects on inequality, however, are ambiguous and depend on wage dynamics and government transfers. Reductions in spreads for individuals lead to a reduction in inequality indicators at the expense of consumption and aggregate welfare. By calibrating the model to Brazil for the 2003-2012 period, it is possible to find results in line with the recent drop in informality and the wage gap between formal and informal workers

O endividamento direto e o spread bancário ao longo dos ciclos econômicos: o caso das firmas brasileiras e a crise de 2009

A concessão de crédito bancário demanda esforço do agente credor que se dedica de forma ativa na obtenção de informações relativas à firma, até então não disponíveis ao público. Dado o hold up power do banco detentor de informações não públicas, este deveria poder cobrar spreads mais altos do que seria justificado unicamente pelo risco de crédito do tomador ao longo dos ciclos econômicos, sendo tal dinâmica mais acentuada em cenários de crise. Testa-se aqui esta hipótese e para isso são comparadas as variações do spread bancário médio da dívida de empresas brasileiras com diferentes composições de endividamento, levando-se em conta sua dependência do crédito bancário. Foram criadas: i) uma variável dummy identificando o acesso ao crédito direto para que se pudesse avaliar o seu efeito nos spreads; ii) outra dummy identificando cenários de recessão que permite avaliar o impacto do ciclo econômico nos spreads e iii) dummy interação que viabilizou o estudo do efeito combinado das duas variáveis anteriores. Fatores de risco individuais da firma, tais como tamanho, nível de alavancagem e sua natureza em termos de restrição a crédito foram controlados na análise. Os dados foram organizados em painel com os quais foi montada regressão linear valendo-se da técnica Estimated Generalized Least Squares (EGLS), alternativa ao Least Squares (LS) clássico. Encontrou-se evidência estatística de que em cenários de recessão econômica o acesso ao mercado direto de crédito traz efeito benéfico sobre os spreads bancários pagos pelas firmas.

Strategic options development and analysis: the case of the brazilian railways

Judging by their success in Europe, Asia and North America, passenger and cargo railways are appreciated as the key to infrastructural development in Brazil. The issues are complex and steeped in uncertainty, as well as political and economic agendas, and a wide array of intersecting issues such as business and unionized interests, agricultural and industrial geographical spreads, as well as the emergence of alternative power sources. Not only are the issues systemic, but railway development itself always comes as a physical network structure. The situation under consideration, in other words, is systemic from both the soft and hard systems point of view, thus promising a rich context for systems studies. As an initial attempt in understanding the situation at hand, the research reported here applied the problem structuring approach known as Strategic Options Development and Analysis (SODA) in order to map and analyze issues facing the Brazilian railways. Strategic options for the future development of the railways were identified and analyzed, and ways forward for future research are proposed. In addition, the report serves as an initial knowledge base that can guide future systemic planning studies in the industry.

Creditor's protection and bank loans: lack of competition hamprers bankruptcy reform's effects

This dissertation investigates how credit institutions’ market power limits the effects of creditor protection rules on the interest rate and the spread of bank loans. We use the Brazilian Bankruptcy Reform of June/2005 (BBR) as a legal event affecting the institutional environment of the Brazilian credit market. The law augments creditor protection and aims to improve the access of firms to the credit market and to reduce the cost of borrowing. Either access to credit or the credit cost are also determined by bank industry competition and the market power of suppliers of credit. We derive a simple economic model to study the effect of market power interacting with cost of lending. Using an accounting and operations dataset from July/2004 to December/2007 provided by the Brazilian Central Bank, we estimate that the lack of competition in the bank lending industry hinders the potential reducing effect of the BBR on the interest rate of corporate loans by approximately 30% and on the spread by approximately 23%. We also find no statistical evidence that the BBR affected the concentration level of the Brazilian credit market. We present a brief report on bankruptcy reforms around the world, the changes in the Brazilian legislation and on some recent related articles in our introductory chapter. The second chapter presents the economic model and the testable hypothesis on how the lack of competition in the lending market limits the effects of improved creditor protection. In this chapter, we introduce our empirical strategy using a differences-in-differences model and we estimate the limiting effect of market power on the BBR’s potential to reduce interest rates and on the spread of bank loans. We use the BBR as an exogenous event that affects collateralized corporate loans (treatment group) but that does not affect clean consumer loans (control group) to identify these effects, using different concentration measures. In Chapter 3, we propose a two-stage empirical strategy to handle the H–Statistics proposed by Panzar and Rosse as a measure of market competition. We estimate the limiting effects of the lack of competition in replacing the concentration statistics by the H–Statistics. Chapter 4 presents a structural break test of the concentration index and checks if the BBR affects the dynamic evolution of the concentration index.

Credit ratings and government bonds evidence before, during and after the european debt crisis

Neste projeto, investigamos se as agências de rating e as taxas de juro de longo prazo da dívida soberana tiveram uma influência recíproca antes, durante e após a crise da dívida soberana Europeia. Esta análise é realizada, estimando a relação existente entre os ratings da dívida soberana ou taxas de juro e factores macroeconomicos e estruturais, através de uma diferente aplicação de metodologias utilizadas para este efeito. Os resultados obtidos demonstram que, no período da crise soberana, os ratings e as taxas de juros tiveram um mútuo impacto, sugerindo que as descidas dos ratings podem ter conduzido a profecias auto-realizáveis, levando países relativamente estáveis a um eventual incumprimento

Intervenções governamentais no mercado de crédito bancário brasileiro: bancos públicos e bancos privados varejistas competem entre si?

O presente estudo investiga se há competição entre os bancos públicos e privados varejistas na presença de intervenções governamentais impostas ao mercado de crédito bancário brasileiro, tais como o aumento da oferta de crédito via bancos públicos e a campanha de redução dos spreads bancários capitaneada pelos bancos governamentais. Os resultados encontrados no modelo Diff-in-Diff indicam que os bancos públicos apresentam ritmo de crescimento do estoque de crédito, nível de aprovisionamento, rentabilidade da carteira de crédito, retorno operacional, bem como custo do funding superiores aos bancos privados após o tratamento. Ademais, há evidências de mudanças na estratégia de alocação de recursos dos bancos privados em relação aos pares públicos, tendo as instituições bancárias privadas preferido aumentar a participação de ativos líquidos no balanço em detrimento de operações de crédito após o tratamento. Esses resultados sugerem que os bancos privados não competem com os bancos públicos no segmento de varejo quando estes adotam estratégias de alocação de recursos difusas à maximização do lucro esperado para um dado risco.

The Brazilian real estate securitization market: determinants of pricing

Analisamos os determinantes de precificação de Certificados de Recebíveis Imobiliários (CRIs) com relação ao ativo objeto e níveis de garantias, controlando por variáveis de tamanho, prazo e rating. Verifica-se um prêmio médio adicional em CRIs de 1,0 p.p. quando comparados com debêntures de prazos semelhantes e de mesmo rating. A justificativa desse prêmio é analisada em duas frentes: (a) apesar de CRI seguir relativa padronização, encontramos que o papel pode representar diferentes níveis de risco e ativos-objeto; e (b) essa falta de padronização leva a níveis de precificação diferenciados por suas características específicas de riscos. Os diferentes níveis de risco são percebidos pelas diversas garantias utilizadas sendo que 41% das emissões possuem garantias pessoais de originadores (aval ou fiança). Conclui-se que existe, em geral, uma diferença de retornos positiva (o spread médio na emissão dos CRIs indexados à inflação foi de 321 bps superior à curva de juros de mercado), sendo mais preponderante a depender do segmento (prêmio para os segmentos residencial e loteamentos) e mitigado pelo nível de garantias oferecido. É possível verificar um prêmio médio de 1,4 p.p. para os segmentos residencial e de loteamentos. Algumas características das emissões foram analisadas como controle (tamanho, prazo e, por fim, das notas e origem da agência avaliadora de rating). Os CRIs de maior volume e maior prazo apresentam spreads menores. Quanto ao rating, os CRIs apresentam efeitos diversos a depender do segmento. Para CRIs residenciais, o efeito é positivo (redução de spread) caso a emissão seja avaliada por alguma agência de rating, enquanto que para os CRIs comerciais, o efeito é negativo. O efeito pode ser positivo para os CRIs comerciais (redução de spread) em caso de avaliação por agência de rating internacional ou possuir notas de rating superiores à nota ‘A’.

Determinantes da remuneração do spread de certificados de recebíveis do agronegócio no mercado brasileiro

O objetivo deste trabalho é avaliar os fatores que afetam a determinação dos spreads nas operações de Certificado de Recebível do Agronegócio (CRA). Foram selecionadas na amostra todas as emissões registradas na ANBIMA entre os anos de 2012 e maio de 2016. Verificou-se que a remuneração desse título é influenciada principalmente pela presença de reforço de crédito/garantias, pelo setor originador dos recebíveis e pela companhia securitizadora. Em uma segunda análise mais detalhada e acrescentando as variáveis uma a uma de forma a testar a aderência do modelo, encontraram-se evidências de que o tamanho da emissão e o percentual de subordinação são importantes variáveis de controle na determinação do spread. Ao incluirmos a variável rating, esta passa a ser relevante e da mesma forma acontece com a garantia, demonstrando que o percentual de subordinação reduz o spread do título, mas quando se acrescenta garantia, ele deixa de ser significativo. O sinal da variável garantia é positivo e demonstra que se há a necessidade de incluir garantias na emissão, é porque provavelmente é essencial para que a emissão ocorra. Por fim, a variável securitizadora mostrou-se relevante, indicando que o investidor leva em consideração a qualidade da mesma para a precificação do título.