Fernando Nascimento Oliveira

Eficácia das intervenções do Banco Central do Brasil sobre a volatilidade da taxa de câmbio nominal

This paper analyzes the effectiveness of instruments of intervention used by the Central Bank of Brazil over the conditional volatility of the nominal exchange rate. Central Bank of Brazil used as intervention instruments, standard instruments of the literature – such as interest rate and interventions in the spot market, and unusual instruments – such as public bonds indexed to the dollar and foreign exchange rates swaps. The conditional volatility of the exchange rate was modeled using an E-GARCH model, Nelson e CAo (1992). We used daily data of nominal exchange rate and the interventions for the period from January of 1999 to September of 2006. Our results showed that in all sample periods we study, including the ones with currency crisis, some instrument of intervention affected the conditional volatility of the nominal exchange rate.

Is Inflation Persistence Over

We analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies. Our sample period is comprised of quarterly data and starts in the first quarter of 1995. Our results show that inflation persistence is low and stable for all countries in our sample. It seems to be lower in industrial relative to emerging countries. Finally, even countries that have had “hyperinflation” experience in the recent past showed low levels of inflation persistence, albeit apparently higher than the other countries in our sample.

An Empirical Analysis of the Determinants of IPO in Brazil

UMA ANALISE EMPIRICA DOS DETERMINANTES DO IPO NO BRASIL OBJETIVO O artigo discute quais os fatores que conduzem as empresas privadas para fazer um IPO no Brasil. METODOLOGIA Construimos um banco de dados original com dados confidenciais obtidos de SERASA, contendo balanco e informacoes financeiras de 4.729 empresas privadas no Brasil entre 1998-2007. Foi usado um modelo de resposta binaria de valor extremo, uma vez que as empresas privadas que realizaram um IPO em nossa amostra sao uma grande minoria, 80 de 4.729 empresas. Nossa amostra e organizada em um conjunto de cortes transversais e em painel. RESULTADOS E CONCLUSOES Encontramos evidencias de que a alavancagem, a rentabilidade, os investimentos e as despesas financeiras sao as variaveis que sao mais relevantes para explicar as decisoes de negocios de IPO no Brasil. Consideramos nossos resultados intuitivos e esperados, dado que as empresas no Brasil tanto privadas quanto publicas predominantemente tem controle familiar e preferem nao diluir capital apos o IPO. IMPLICACOES PRATICAS O trabalho e relevante para investidores do mercado acionario Brasileiro por que analisa de forma detalhada os fatores que determinam a abertura de capital no Brasil. Isto vai permitir que estes investidores consigam alocar de forma mais eficiente seus recursos. PALAVRAS CHAVES IPO, Fatores Determinantes, Empresas Privadas Brasileiras   AN EMPIRICAL ANALYSIS OF THE DETERMINANTS OF IPO IN BRAZIL OBJETIVO The article discusses about what factors determine private firms to do an IPO in Brazil. METODOLOGIA We build an original database of confidential data obtained at SERASA, containing balance sheet and financial information of 4.729 private firms in Brazil from 1998 to 2007. We use an extreme value binary response model, since the private firms that held an IPO in our sample are a large minority, 80 out of 4,729 firms. Our sample is organized into a pool of cross-sections as well as panel data. RESULTADOS E CONCLUSOES We found evidence that leverage, profitability, CAPEX and financial expenses are the variables that are most relevant to explain business decisions of IPO in Brazil. We consider our results intuitive and expected, as firms in Brazil both private and public are most family owned and do not want to dilute capital after the IPO. IMPLICACOES PRATICAS Our paper is relevant for investors in the stock Market in Brazil because it studies in a detailed manner the factors that determine IPO in Brazil. This will allow these investors to allocate their resources in more efficient ways. PALAVRAS CHAVES IPO, Determinant Factors, Brazilian Private Firms

Do Financial Crises Erode Potential Output? a cross country analysis of industrial and emerging economies

Our objective in this paper is to analyze empirically if financial crises have decreased potential output for a selected group of economies. We estimate different stylized Phillips curves to verify if inflationary pressures were stronger on the recovery periods after financial crises, relative to the recovery periods after recessions. Our results, in general, do not show any clear empirical evidence that financial crises erode potential output. Moreover, there are no apparent differences in terms of the effects of financial crises over potential output between emerging and industrial economies

Análise das Políticas de Financiamento de Firmas Públicas e Privadas Utilizando Filtro de Kalman

OBJETIVO Nosso objetivo nesse artigo e testar quais das teorias de politicas de financiamento, estaticas POT ou STT, descrevem melhor as decisoes de estrutura de capital das empresas brasileiras. METODOLOGIA Construimos a estrutura otima de capital das firmas, que e uma variavel nao observada, usando um filtro de Kalman suavizado obtido a partir da estimacao de um modelo espaco-estado utilizando uma amostra original e confidencial de 5.026 firmas publicas e privadas. RESULTADOS E CONCLUSOES Os resultados obtidos foram favoraveis a teoria de que os gestores financeiros, ao decidirem por uma nova captacao no mercado, levam em consideracao o atual nivel de endividamento de suas firmas, a fim de nao comprometerem custos indiretos como custos de falencia e agencia. Em outras palavras, os resultados indicaram que as firmas da amostra adotam a teoria STT. IMPLICACOES PRATICAS A teoria de endividamento otimo parece influenciar de forma mais incisiva a politica de financiamento das firmas. Para empresas negociadas em bolsa de valores, o aumento do endividamento a niveis considerados acima do otimo, leva diretamente a um rebaixamento da classificacao de risco pelas agencias classificadoras. Em consequencia, imediatamente cai o valor das acoes e a emissao de novas dividas fica mais cara. Cabe ao administrador financeiro buscar alternativas de financiamento que, devido a estrutura financeira, nao fique caracterizado como divida no balanco patrimonial (ex. sale-lease-back, antecipacao de recebiveis e project finance). PALAVRAS-CHAVE Estrutura de capital, Pecking Order Theory (POT) e Static Tradeoff Theory (STT), Filtro de Kalman.  ANALYSIS OF FINANCING POLICIES OF PUBLIC AND PRIVATE COMPANIES USING KALMAN FILTER OBJECTIVE Our goal in this article is to test which of the theories of static funding policies POT or STT best describes the capital structure decisions of Brazilian companies. METHODOLOGY We construct the optimal capital structure of firms, which is an unobserved variable, using a smooth Kalman filter obtained from the estimation of a state-space model using a unique, original and confidential database of 5,026 public and private firms. RESULTS AND CONCLUSIONS The results were favorable to the theory that financial managers, to decide for new funds in the market, take into account the current level of indebtedness of their firms in order not to compromise indirect costs such as bankruptcy and agency costs. In other words, the results indicated that the sample firms adopt STT theory. PRACTICAL IMPLICATIONS For companies that trade in the stock exchange, increased indebtedness to the levels considered above the optimal leads directly to a downgrading of the credit rating by the rating agencies. As a result, immediately drops the value of the shares and the issuance of new debt is more expensive. KEYWORDS Capital Structure, Pecking Order Theory (POT) and Static Tradeoff Theory (STT), Kalman Filter.

Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models

We examine the usefulness of various financial and real sector variables to forecast recessions in Brazil between one and eight quarters ahead. We estimate probabilistic models of recession and select models based on their out-of-sample forecasts, using the Receiver Operating Characteristic (ROC) function. We find that the predictive out-of-sample ability of several models vary depending on the numbers of quarters ahead to forecast and on the number of regressors used in the model specification. The models selected seem to be relevant to give early warnings of recessions in Brazil.

Exchange rate exposure of firms and the demand for foreign exchange derivatives in Brazil: did hedge or speculatiom matter?

Este artigo analisa empiricamente como a demanda de derivativos de câmbio por firmas brasileiras esta relacionada as suas exposicoes cambiais. Coma ajuda de umbanco de dados original de 74.567 contratos entre firmas e instituicoes financeiras de 1999 a 2002, somos capazes de identificar que empresas especularam e que empresas fizeram hedge durante o periodo. Nossos resultados mostram que a exposicao operacional cambial das firmas esta positivamente relacionada com a exposicao cambial das firmas que especularam e negativamente relacionada com as firmas que fizeram hedge em 2002. Para os outros anos do periodo amostral, a especulacao ou hedge nao afetaram a relacao entre a exposicao operacional cambial e a exposicao operacional das firmas brasileiras.