87f. / Submitted by Suelen Reis (suziy.ellen@gmail.com) on 2013-03-04T16:14:33Z No. of bitstreams: 1 Alex%20Gama%20Queiroz%20dos%20Santosseg.pdf: 791110 bytes, checksum: ceff4cb69013f40ab5cff92508c8fd07 (MD5) / Approved for entry into archive by Vania Magalhaes(magal@ufba.br) on 2013-03-06T11:52:54Z (GMT) No. of bitstreams: 1 Alex%20Gama%20Queiroz%20dos%20Santosseg.pdf: 791110 bytes, checksum: ceff4cb69013f40ab5cff92508c8fd07 (MD5) / Made available in DSpace on 2013-03-06T11:52:54Z (GMT). No. of bitstreams: 1 Alex%20Gama%20Queiroz%20dos%20Santosseg.pdf: 791110 bytes, checksum: ceff4cb69013f40ab5cff92508c8fd07 (MD5) Previous issue date: 2009 / Este estudo tem como propósito testar a eficiência informacional no mercado acionário brasileiro, através do comportamento de curto e longo prazo entre variáveis macroeconômicas, representadas por taxa de câmbio, taxa de juros, inflação, risco país, atividade econômica e oferta monetária, em comparação ao Índice da Bolsa de Valores de São Paulo (IBOVESPA), que representa o mercado de ações brasileiro. O período de análise compreende os meses de janeiro de 1995 a dezembro de 2007. Utilizou-se o modelo VAR com Mecanismo de Correção de Erros (VMCE), assim como testes de cointegração e causalidade. Na análise de longo prazo foi encontrado comportamento positivo da inflação e da atividade econômica, e negativo do risco país, com o IBOVESPA. Os testes de causalidade indicam que a taxa de câmbio, inflação e risco país apresentam relação de curto prazo com o IBOVESPA. Também foram estimados os modelos GARCH-M, que confirmaram a causalidade das volatilidades dessas variáveis com a volatilidade do retorno do IBOVESPA. Estes resultados evidenciam que o mercado acionário brasileiro não pode ser considerado eficiente, no que diz respeito à divulgação de informações sobre variáveis macroeconômicas. / Salvador

Submitted by Marilene Donadel (marilene.donadel@unioeste.br) on 2018-06-04T17:18:50Z No. of bitstreams: 1 Erivelto_Hoc_2017.pdf: 1551646 bytes, checksum: 5caa1e5c67d76220b03002578c8d0efb (MD5) / Made available in DSpace on 2018-06-04T17:18:50Z (GMT). No. of bitstreams: 1 Erivelto_Hoc_2017.pdf: 1551646 bytes, checksum: 5caa1e5c67d76220b03002578c8d0efb (MD5) Previous issue date: 2017-06-06 / Agriculture is a sector that has been presenting a significant importance for the Brazilian economy, since it has contributed significantly to the generation of employment and income to the country. However, the internal economic difficulties caused by high interest rates, exchange rate volatility, low volumes of credit in addition to the inflationary process and the lack of fiscal control seen in some periods, provided great challenges for Brazilian agriculture, mainly during the 1980s and 1990s. The performance of this sector has always been linked to a wide range of factors, such as investments in research, the adoption of new technologies, rural entrepreneurship and government support through some economic policies, such as fiscal, monetary / credit and exchange policies - in addition to the specific conditions of the sector itself. Before this scenario, in order to understand some of the macroeconomic factors that influenced the performance of Brazilian agriculture, the relations between rural credit, exchange rate, interest rate, price index received by rural producers and agriculture and livestock farming GDP between 1995 and 2015. In order to obtain empirical answers, a Vector Auto Regressive (VAR) model was used, which demonstrated that rural credit, the price index and the interest rate were the variables that influenced the performance of this sector during the analyzed period. / A agropecuária é um setor que vem apresentando significativa importância para a economia brasileira, pois tem contribuído expressivamente com a geração de emprego e renda ao país. No entanto, as dificuldades econômicas internas ocasionadas pelas elevadas taxas de juros, pela volatilidade cambial, pelos baixos volumes de crédito além do processo inflacionário e o descontrole fiscal visto em alguns períodos, proporcionaram grandes desafios para a agropecuária brasileira, principalmente durante as décadas de 1980 e 1990.O desempenho deste setor sempre esteve ligado aos mais diversos fatores – como os investimentos em pesquisas, a adoção de novas tecnologias, ao empreendedorismo rural e o apoio governamental por meio de algumas políticas econômicas, tais como políticas fiscais, monetárias/creditícias e cambiais – além das condições específicas do próprio setor. Diante desse cenário, com objetivo de compreender alguns dos fatores macroeconômicos que influenciaram no desempenho da agropecuária brasileira, foram analisadas as relações entre o crédito rural, a taxa de câmbio, a taxa de juros, o índice de preços recebidos pelos produtores rurais e o PIB da agropecuária entre os anos de 1995 a 2015.Visando obter respostas empíricas, utilizou-se um modelo de Vetor Auto Regressivo (VAR), o qual demonstrou que o crédito rural, o índice de preços e a taxa de juros foram as variáveis que mais influenciaram o desempenho deste setor durante o período analisado.

Submitted by Roberta Lorenzon (roberta.lorenzon@fgv.br) on 2011-05-30T14:26:15Z No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel(gisele.hannickel@fgv.br) on 2011-05-30T14:47:36Z (GMT) No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Approved for entry into archive by Gisele Isaura Hannickel(gisele.hannickel@fgv.br) on 2011-05-30T14:48:59Z (GMT) No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) / Made available in DSpace on 2011-05-31T15:39:00Z (GMT). No. of bitstreams: 1 63080100015.pdf: 781749 bytes, checksum: 32dd660d87d63789ab4a0ee0600ce50d (MD5) Previous issue date: 2010-05-28 / The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables. / The present work aims to study the macroeconomic factors influence in credit risk for installment autoloans operations. The study is based on 4.887 credit operations surveyed in the Credit Risk Information System (SCR) hold by the Brazilian Central Bank. Using Survival Analysis applied to interval censured data, we achieved a model to estimate the hazard function and we propose a method for calculating the probability of default in a twelve month period. Our results indicate a strong time dependence for the hazard function by a polynomial approximation in all estimated models. The model with the best Akaike Information Criteria estimate a positive effect of 0,07% for males over de basic hazard function, and 0,011% for the increasing of ten base points on the operation annual interest rate, toward, for each R$ 1.000,00 on the installment, the hazard function suffer a negative effect of 0,28% , and an estimated elevation of 0,0069% for the same amount added to operation contracted value. For de macroeconomics factors, we find statistically significant effects for the unemployment rate (-0,12%) , for the one lag of the unemployment rate (0,12%), for the first difference of the industrial product index(-0,008%), for one lag of inflation rate (-0,13%) and for the exchange rate (-0,23%). We do not find statistic significant results for all other tested variables.

Submitted by João Paulo Linhares (jplinhares@yahoo.com.br) on 2013-08-29T13:38:47Z No. of bitstreams: 1 Dissertacao_Joao_Paulo_Martins_Linhares.pdf: 794952 bytes, checksum: 1261bfeec451e67fee91682262045dda (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-08-29T13:46:05Z (GMT) No. of bitstreams: 1 Dissertacao_Joao_Paulo_Martins_Linhares.pdf: 794952 bytes, checksum: 1261bfeec451e67fee91682262045dda (MD5) / Made available in DSpace on 2013-08-29T14:19:03Z (GMT). No. of bitstreams: 1 Dissertacao_Joao_Paulo_Martins_Linhares.pdf: 794952 bytes, checksum: 1261bfeec451e67fee91682262045dda (MD5) Previous issue date: 2013-07-29 / O presente estudo teve por objetivo examinar a influência dos fatores macroeconômicos (câmbio, inflação e diferença das taxas de financiamento) e risco político na estrutura de capital das Subsidiárias das Multinacionais Estrangeiras no Brasil (SME) comparando-as com as Empresas Brasileiras Locais (EBL). Durante o período analisado (1998 – 2008) verificou-se que a média de alavancagem das SME foi superior ao das EBL. Foi possível também notar que existiu uma mudança de tendência na qual as EBL passaram a ser mais alavancadas do que as SME a partir de 2003, mesmo quando pareadas pelo tamanho aproximado. A variação cambial possui uma associação positiva com a alavancagem evidenciando a hipótese de hedge das receitas no contexto de exposição estrangeira da matriz. Contrapondo a hipótese inicial, o risco político representado pela corrupção diminui a alavancagem das SME. Por fim, a diferença as taxas de financiamento entre o Brasil e país da matriz da SME teve relação negativa com a alavancagem externa (dívida com terceiros). No entanto, a associação positiva com alavancagem intercompany (com a matriz) ocorreu apenas após 2003. / The present study aimed to examine the influence of macroeconomics factors (rates, inflation and difference between rates of financing) and political risk in capital structure of Multinational Foreign Subsidiaries in Brazil (MFS) comparing them with Brazilian Local Companies (BLC). During the analyzed period (1998 - 2008) it was found that the average leverage of MFS was higher than the BLC. It can be also noted a trend which BLC became more leveraged than the MFS after 2003, even when matched by proxy size. The exchange rate has a positive association with the leverage, showing that the hypothesis of hedge revenues in the context multinational parent foreign exposure. Contradicting the initial hypothesis, the political risk represented by corruption reduces the leverage of MFS. Finally, the difference between financing rates in Brazil and in the parent country of MFS had negative relationship with the external leverage (external debt). However, the positive association with intercompany leverage (parent debt) occurred only after 2003.