Opções reais em projetos de investimentos: o caso de uma planta de liquefação de gás natural com flexibilidade de troca de mercado e de troca de produto

O objetivo deste trabalho é revisar os principais aspectos teóricos para a aplicação de Opções Reais em avaliação de projetos de investimento e analisar, sob esta metodologia, um caso real de projeto para investir na construção de uma Planta de Liquefação de gás natural. O estudo do caso real considerou a Opção de Troca de Mercado, ao avaliar a possibilidade de colocação de cargas spot de GNL em diferentes mercados internacionais e a Opção de Troca de Produto, devido à flexibilidade gerencial de não liquefazer o gás natural, deixando de comercializar GNL no mercado internacional e passando a vender gás natural seco no mercado doméstico. Para a valoração das Opções Reais foi verificado, através da série histórica dos preços de gás natural, que o Movimento Geométrico Browniano não é rejeitado e foram utilizadas simulações de Monte Carlo do processo estocástico neutro ao risco dos preços. O valor da Opção de Troca de Mercado fez o projeto estudado mais que dobrar de valor, sendo reduzido com o aumento da correlação dos preços. Por outro lado, o valor da Opção de Troca de Produto é menos relevante, mas também pode atingir valores significativos com o incremento de sua volatilidade. Ao combinar as duas opções simultaneamente, foi verificado que as mesmas não são diretamente aditivas e que o efeito do incremento da correlação dos preços, ao contrário do que ocorre na Opção de Troca de Mercado, é inverso na Opção de Troca de Produto, ou seja, o derivativo aumenta de valor com uma maior correlação, apesar do valor total das opções integradas diminuir.

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.

High-growth SMEs and the availability of private equity and venture capital in Brazil

This chapter discusses private equity and venture capital (PE/VC) in Brazil. Firstly, it is shown that PE/VC has a strong impact in the Brazilian capital markets, with PE/VC-backed companies representing close to half the amount raised by initial public offerings (IPOs) in the stock exchanges. By examining two of these deals, which involved small and mediumsized enterprises (SMEs), it is argued that PE/VC managers have acted as catalysts of the impressive growth rates experienced before these companies entered the stock markets. Indeed, PE/VC firms represent an important segment of the capital market, with specialization to invest in high-growth innovative SMEs. PE/VC managers exercise superior selection, monitoring and governance that mitigate the uncertainty and risks of investing in such companies. Despite its successes in Brazil, PE/VC is still very much restrained by the challenging local economic and institutional environment. Thus, changes in the legal and fiscal system, simplification in bureaucratic procedures, and other such improvements will most likely result in a sensible growth in the Brazilian PE/VC industry, with positive impact in the SME access to finance in Brazil. Since most countries in Latin America share similar economic and institutional traits with Brazil, the path followed by the local PE/VC industry can serve as an example for other countries to learn with its successes and failures.

Economic Survey of Latin America and the Caribbean 2009-2010: The distributive impact of public policies

Includes bibliography

Pulse treatments to extend the postharvest life of Ctenanthe setosa cut foliage

Marantaceae leaves have a contrasting color pattern and a decorative design which are interesting traits for its use as cut foliage. No postharvest research has been carried out on the potential as cut foliage for species of Ctenanthe, a member of the Marantaceae. Grey-maranta (Ctenathe setosa) is an herbaceous ornamental plant native of Brazil whose cut foliage has potential to be used as new crop product for local and international ornamental markets. The objective of this study was to evaluate pulse treatments to extend the longevity of foliage. The experiment was conducted in a complete randomized design with three replications and eight treatments: distilled water; pulsing cut petioles-ends in citric acid (pH = 2.8/1h); 2% sucrose (4h); 1% sucrose plus 200 mg L-1 citric acid (4h); 0.01% Tween® 20 (4h); 100 mg L -1 benzyladenine plus 0.01% Tween® 20 (4h); 100 mg L-1 gibberellic acid plus 0.01% Tween® 20 (4h); and maintenance of cut petiole in holding solution with commercial sodium hypochlorite (0.5 mL L-1). The senescence symptoms were mainly characterized by leaf rolling and by a decrease in the angle formed between leaf and petiole as a response to water deficit stress. Gibberellic acid or benzyladenine pulse treatments significantly extended longevity (6 days compared to control) and maintained leaves' green coloration and brightness for a longer time compared to control. However, only the benzyladenine plus Tween® 20 pulse maintained leaves in an erect form for a longer time, showing a significantly higher angle between leaf and petiole compared to control. Also, foliage pulsed with benzyladenine plus Tween® 20 showed a significant smallest loss of accumulated fresh mass percentage compared to control by the T test as to parallelism of treatments lines.

Finance for development: Latin America in comparative perspective

Includes bibliography

Financiamiento para el desarrollo: América Latina desde una perspectiva comparada

Incluye Bibliografía

Review of Caribbean economic and social performance in the 1980's and 1990's

Includes bibliography

Multilateral banking and development financing in a context of financial volatility

Includes bibliography

From hard-peg to hard landing?: recent experiences of Argentina and Ecuador

Includes bibliography

A new approach to development banking in Jamaica

Includes bibliography

A summary of the experiences of Chile and Colombia with unremunerated reserve requirements on capital flows during the 1990's

Incluye Bibliografía