Análise dos determinantes dos spreads soberanos dos países emergentes

O objetivo deste trabalho é estimar os efeitos da crise financeira recente sobre os spreads dos títulos soberanos dos países emergentes. Os resultados corroboram a visão de que a atual crise financeira teve um impacto significativo sobre a percepção de risco dos países emergentes, elevando o prêmio de risco. A taxa de crescimento da economia, a taxa de câmbio real, as reservas internacionais, as dívidas interna e externa e o VIX também afetaram significativamente os spreads soberanos. Por fim, mostramos que a percepção de risco do Brasil foi menos afetada pela crise que nos demais países emergentes.

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.

Sovereign wealth funds: a comparative analysis

Num contexto de mudanças no cenário econômico mundial, novas formas de investimento emergem, delineando o papel do Estado nas relações internacionais. Atores políticos que não tinham histórico como investidores passam a ganhar relevância no mercado financeiro mundial. A ambiguidade sobre o volume de recursos e intenções de investimento dos fundos da riqueza soberana de algumas nações, especialmente de países em desenvolvimento, tem causado desconforto junto às autoridades monetárias dos países ricos. Tal preocupação com o fluxo de capital e possível transferência de poder às economias antes periféricas suscitou uma onda de neonacionalismo. Para se esclarecer o entendimento sobre Fundos Soberanos, este trabalho organiza sua definição e principais características, uma vez que esta discussão é ainda midiática e controversa, dada a novidade do tema no meio acadêmico de pesquisa. Além disso, este estudo compara dados macroeconômicos de alguns poucos países, cujos governos detêm fundos já bem estabelecidos. Esta informação é essencial para a compreensão sobre o que justifica a efetividade na criação de um fundo deste tipo. Enfim, quer-se, também, à luz da análise qualitativa de diferentes tipos de fundos, discutir a configuração do Fundo Soberano do Brasil.

Determinantes de spreads de ativos securitizados : uma avaliação de fundos de investimento em direitos creditórios

O objetivo deste trabalho é avaliar os fatores que afetam a determinação de spread de ativos securitizados no Brasil. Para tanto, optou-se pela análise de emissões de Fundos de Investimento em Direitos Creditórios (FIDC). Através da análise de 101 emissões realizadas entre 2004 e 2011, verificou-se que a remuneração desses fundos é determinada pelo rating e por condições de mercado; características dos prestadores de serviço do fundo também se mostraram relevantes. Procurou-se avaliar, também, se características do cedente são relevantes para definição dos spreads, mas não se obteve resultados conclusivos para essas variáveis. Abordaram-se, ainda, os fatores determinantes do rating dessas emissões. Observou-se que o nível de subordinação, a concentração de cedentes e o fato dos créditos serem performados são variáveis importantes para definição da nota atribuída pelas agências de risco. A relação negativa entre o rating e o percentual de cotas subordinadas indica que os emissores definem a subordinação para obter boas avaliações.

Estudo sobre o efeito de variáveis macro econômico e do spread de credit default swap no risco de evento de crédito soberano

Este trabalho explora a realização de default soberano em função da estrutura de spreads de CDS (Credit Default Swap). Pode-se dizer que os spreads revelam a probabilidade de default de um país. Aplicamos a metodologia proposta neste trabalho para Argentina, Coreia, Equador, Indonésia, México, Peru, Turquia, Ucrânia, Venezuela e Rússia. Nós mostramos que um modelo de um único fator seguindo um processo lognormal captura a probabilidade de default. Também mostramos que as variáveis macro econômicas inflação, desemprego e crescimento não explicam a variável dependente do estudo (probabilidade de default). Cada país reage de maneira diferente a crise econômica que a leva a não honrar seus compromissos com as dívidas contraídas.

Financial disruption as a cost of sovereign default

This dissertation analyses quantitatively the costs of sovereign default for the economy, in a model where banks with long positions in government debt play a central role in the financial intermediation for private sector's investments and face financial frictions that limit their leverage ability. Calibration tries to resemble some features of the Eurozone, where discussions about bailout schemes and default risk have been central issues. Results show that the model captures one important cost of default pointed out by empirical and theoretical literature on debt crises, namely the fall in investment that follows haircut episodes, what can be explained by a worsening in banks' balance sheet conditions that limits credit for the private sector and raises their funding costs. The cost in terms of output decrease is though not significant enough to justify the existence of debt markets and the government incentives for debt repayment. Assuming that the government is able to alleviate its constrained budget by imposing a restructuring on debt repayment profile that allows it to cut taxes, our model generates an important difference for output path comparing lump-sum taxes and distortionary. For our calibration, quantitative results show that in terms of output and utility, it is possible that the effect on the labour supply response generated by tax cuts dominates investment drop caused by credit crunch on financial markets. We however abstract from default costs associated to the breaking of existing contracts, external sanctions and risk spillovers between countries, that might also be relevant in addition to financial disruption effects. Besides, there exist considerable trade-offs for short and long run path of economic variables related to government and banks' behaviour.

Spreads bancários e informalidade : efeitos redistributivos e de bem-estar em um modelo de agentes heterogêneos com escolha ocupacional

Este trabalho busca identificar os efeitos de mudanças nos spreads bancários sobre as distribuições de renda, riqueza e consumo, bem como o bem-estar da economia. Para tal, é desenvolvido um modelo de agentes heterogêneos com mercados incompletos e escolha ocupacional, no qual a informalidade de firmas e trabalhadores é um canal de transmissão relevante. O principal resultado encontrado é que reduções no spread para pessoa jurídica aumenta a proporção de empreendedores e trabalhadores formais na economia, de forma que o tamanho do setor informal diminui. Os efeitos sobre a desigualdade, no entanto, são ambíguos, e dependerão da dinâmica salarial e das transferências do governo. Reduções no spread para pessoa física levam a uma redução nos indicadores de desigualdade, em detrimento do consumo e bem-estar agregados. Calibrando o modelo para o Brasil para 2003-2012, é possível encontrar resultados em linha com a recente queda na informalidade e no diferencial salarial entre trabalhadores formais e informais.

Economic development and growth in West Africa: a multiple case study analysis of sovereign wealth funds’ investments and performance

Durante a recente crise da dívida soberana europeia, os fundos soberanos demonstraram seu peso na esfera financeira global. Contribuíram para salvar o sistema financeiro dos países desenvolvidos, distribuindo créditos que as entidades financeiras tradicionais do Norte não podiam mais providenciar. Em 2012, os ativos totais desses fundos atingiram USD 4.620 bilhões, comparado aos USD 3.355 bilhões de antes da crise, no final de 2007 (Preqin, 2012). Sendo quase todos criados por economias em desenvolvimento ou subdesenvolvidas, os fundos soberanos podem então ser vistos como o símbolo de um recente reequilíbrio do poder a favor desses países (Santiso, 2008). Além disso, em um futuro próximo, espera-se que os fundos soberanos afastem-se dos países desenvolvidos para investir mais em países em desenvolvimento. Nesse contexto, os países africanos estão cada vez mais alvos de investimentos dos fundos (Triki & Faye, 2011). O estudo subjacente analisa dois fundos, o IFC ALAC e o Mubadala Development Company, para entender como, de acordo com as percepções dos seus gestores, os fundos soberanos podem ajudar no desenvolvimento dos países beneficiários. Mais precisamente, trata-se definir, através de um estudo de casos múltiplos, quais são os mecanismos pelos quais os fundos soberanos podem impactar o desenvolvimento da África ocidental. Os resultados sugerem que, segundo os gestores, os fundos soberanos podem desempenhar um papel significativo no desenvolvimento dos países beneficiários. Eles investem em alguns setores-chave da economia (bancos, infraestruturas etc.), criando condições favoráveis ao desenvolvimento local. Além disso, através de um efeito multiplicador, os investimentos dos fundos soberanos alavancam novos investimentos do setor privado local ou global, fortalecendo o tecido industrial e produtivo do país beneficiário. Porém, parece que as empresas beneficiárias não ajudam nas transferências de conhecimento e de tecnologia, embora sejam essenciais para o desenvolvimento econômico, e se limitam a programas de treinamento específico e de RSE. Além disso, apesar dos investimentos de fundos soberanos impulsionarem o crescimento da região, eles também podem agravar a dependência dessas economias à exportação de commodities. Finalmente, os impactos positivos dos fundos soberanos sobre a economia regional são muitas vezes reduzidos devido a conflitos políticos e barreiras estruturais exigindo reformas profundas e de longo prazo.

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

A pricing model for sovereign bonde

Similar to the modeling used to evaluate ccnporate boncls, where it is a put optioo. 011 corporate assets, we modeled sovereign bonds. Instead of company's assets as underlining assets, we used foreign excbange reserves. The results show a fundamental pricing model for sovereign bond and an optimum relation between the debt size, term, mix between floating and fixed interest payments, and size of reserves. The model is tested with a Brazilian BradyBond.

Informational spillovers in the pre-1914 London sovereign debt market

We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a major informational role to investors, most likely because of the absence of international monitoring agencies and the substantial agency costs. Using two events of financial distress – the Brazilian Funding Loan of 1898 and the Greek Funding Loan of 1893 – as quasi-natural experiments, we document that, following the crises, the bond prices of countries with no meaningful economic links to the distressed countries, but shared the same financial intermediary, suffered a reduction relative to the rest of the market. This result is true for the mean, median and the whole distribution of bond prices, and robust to an extensive sensitivity analysis. We interpret it as evidence that the identity of the financial intermediary was informative, i.e, investors extracted information about the soundness of a debtor based on the existence of financial relationships. This spillover, informational in essence, arises as the flip-side of the relational lending coin: contagion arises for the same reason why relational finance, in this case, underwriting, helps alleviate informational and incentive problems.

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.

Inglorious revolution : sovereign debt, tropical credibility, and financial underdevelopment in imperial Brazil

In 1824 the creation of institutions that constrained the monarch’s ability to unilaterally tax, spend, and debase the currency put Brazil on a path toward a revolution in public finance, roughly analogous to the financial consequences of England’s Glorious Revolution. This credible commitment to honor sovereign debt resulted in successful long-term funded borrowing at home and abroad from the 1820s through the 1880s that was unrivalled in Latin America. Some domestic bonds, denominated in the home currency and bearing exchange clauses, eventually circulated in European financial markets. The share of total debt accounted for by long-term funded issues grew, and domestic debt came to dominate foreign debt. Sovereign debt yields fell over time in London and Rio de Janeiro, and the cost of new borrowing declined on average. The market’s assessment of the probability of default tended to decrease. Imperial Brazil enjoyed favorable conditions for borrowing, and escaped the strong form of “original sin” stressed by recent work on sovereign debt. The development of vibrant private financial markets did not, however, follow from the enhanced credibility of government debt. Private finance in Imperial Brazil suffered from politicized market interventions that undermined the development of domestic capital markets. Private interest rates remained high, entry into commercial banking was heavily restricted, and limited-liability joint-stock companies were tightly controlled. The Brazilian case provides a powerful counterexample to the general proposition of North and Weingast that institutional changes that credibly commit the government to honor its obligations necessarily promote the development of private finance. The very institutions that enhanced the credibility of sovereign debt permitted the systematic repression of private financial development. In terms of its consequences for domestic capital markets, the liberal Constitution of 1824 represented an “inglorious” revolution.