Leonardo Bornacki de Mattos

Demanda residencial de energia elétrica em Minas Gerais: 1970-2002

The objective of this study was to obtain an estimate for residential electricity demand in Minas Gerais in the period from 1970 to 2002. Specifically, the goal was to estimate price and income elasticities. After determining that the series under study were non-stationary, we chose to use the Co-integration approach, estimating a Vector Error Correction Model (VEC Model). The results obtained show that the demand studied is more sensible to variations in the income than to the price of the electricity, although both elasticities are inferior to the unit. It was also concluded that price-elasticity is higher in Minas Gerais than it is for Brazil as a whole, suggesting differentiated usage of this energy among the different states in the Country.

Determinantes dos investimentos diretos estrangeiros no Brasil, 1980-2004

Este trabalho teve o objetivo de investigar em que medidas o ingresso dos Investimentos Diretos Estrangeiros (IDE) no Brasil respondeu as mudancas nos niveis de seus principais determinantes no periodo de 1980 a 2004. Apos identificar que as series estudadas eram nao estacionarias, optou-se pela utilizacao do conceito de co-integracao, sendo estimado um Modelo de Correcao de Erros Vetorial (Vec Model). Os coeficientes estimados foram estatisticamente significativos e apresentaram os sinais esperados. Constatou-se que as variaveis as quais o ingresso de IDE apresentou maior sensibilidade sao o risco-Brasil, o grau de abertura comercial da economia e a taxa de inflacao brasileira.

Integração espacial de mercados na presença de custos de transação: um estudo para o mercado de boi gordo em Minas Gerais e São Paulo

The analysis of market integration of agricultural commodities based on price information are limited because the effects of transaction costs are not considered in the adjustment process. The main objective of this paper was to estimate the possible transaction costs impacts on market integration of beef cattle between the states of Minas Gerais and SA£o Paulo. It was estimated a Threshold Vector Error Correction Model (TVEC model) using monthly price data for the period from January 1972 to August 2005. The results indicated the presence of threshold cointegration implying that transaction costs have important effect on the price adjustment process.

The Contagion Effect of the Subprime Crisis in the Brazilian Stock Market

Abstract Oscillations in the financial market during the subprime crisis brought about a rise in volatility and fall of the prices of assets, in addition to increasing the degree of common movements among markets. This paper surveyed the contagion effect of the international financial crisis on the indices of Brazils stock market, from the study of the pattern of alterations of the correlations estimated between indices of Brazilian and American stock market. The empirical analysis was based on the multivariate GARCH - BEKK models. The results showed that the structure of the estimated correlations between the years 2007 and 2010, showed clear evidence of contagion in the indices at issue. In the period of the international financial crisis, there was an increase of the correlation between the indices of the U.S. and Brazilian markets, such a result being corroborated by the structural break test. The Financial Index presented the greatest percent rise in the correlation between the pre - crisis and crisis periods, reflecting the scarcity of domestic and foreign credit during the period of financial instability.

Modelos de cointegração com um ou dois limiares: uma aplicação para o preço do frango inteiro resfriado em mercados atacadistas no Brasil

A maioria dos estudos de integracao de mercados que utiliza a tecnica de cointegracao com threshold nao se preocupa em testar qual o numero de regimes de ajustamento de precos e o mais adequado. Neste estudo, utiliza-se um procedimento para determinar o numero de regimes estatisticamente indicado para diferentes mercados regionais de carne de frango no Brasil, no periodo de janeiro de 1998 a junho de 2007. Os resultados mostram que, para um grupo de mercados, o modelo com dois regimes e o mais indicado, enquanto para os demais mercados, o modelo com tres regimes e o que melhor se ajusta. Constata-se a presenca de significativas barreiras a transmissao de choques de precos entre os mercados, o que provavelmente resulta de custos de transacao nao despreziveis na comercializacao da carne de frango......Most studies about market integration that use threshold cointegration do not usually test the number of regimes of price adjustment. In this study, we use a testing procedure to determine the number of statistically significant regimes for regional markets of poultry in Brazil in the period of January 1998 to June 2007. Results show that, for some markets, two regimes are adequate, whereas for others, the model should have three regimes. We also conclude that there are important barriers to price transmission among the markets which may come from the existence of high transaction costs regarding trades involving poultry.

VOLATILIDADE DA TAXA DE CÂMBIO E SEUS EFEITOS SOBRE O FLUXO DE COMÉRCIO DOS PAÍSES DA AMÉRICA DO SUL

Due to the importance of the exchange rate in foreign trade and given that fluctuations in the exchange rate can modify the scale of prices among countries, this research aimed to identify the impact of the volatility of bilateral real exchange rate on trade flows among the South American countries. For that purpose, a gravity model was estimated using a sample of nine countries for a period between 1997 and 2011. The method used in the estimation of equations was the Poisson-Pseudo Maximum Likehood (PPML) model. The results showed that instability in exchange rates is detrimental to trade relations among the countries of South America, since greater exchange rate uncertainty pushes economic agents, in the long run, towards reducing their international trade activities due to high exposure to risk. Another important result was that Mercosul member countries have indeed benefited from the advantages offered by the block, such as the reduction of trade tariffs. Regarding the variable used to detect the effect of the subprime crisis in 2008, it was found an increase in the trade flow by South American countries in this period.

VIABILIDADE DE IMPLANTAÇÃO DO CONTRATO FUTURO DE TRIGO NA BM&FBOVESPA

This study evaluates the feasibility of implementing the wheat futures contract by the Brazilian commodities and futures exchange (BM&FBOVESPA). It use the Theory of Success and Failure of Futures Contracts as theoretical and methodological support for this research, which presents characteristics considered necessary for the viability of launching a new futures contract. This theory is subdivided into two complementary evaluations, which are called micro approach and macro approach. The first seeks to identify whether the wheat grain market in Brazil is appropriate to negotiate the commodity’s futures contract, while the second approach evaluates the profile of agents in the wheat supply chain, which are the potential users of this contract. In general, it is evident that the physical market for wheat meets a large portion of the attributes considered necessary for the establishment of a futures contract. Nonetheless, the small size of the physical market and strong government intervention weigh against the release of this contract, making the launch of the wheat futures contract in Brazil a precipitated movement.

TRANSMISSÃO DE PREÇOS ENTRE MERCADOS REGIONAIS DE CARNE DE FRANGO NO BRASIL

Custos de transacao nao-despreziveis restringem a transmissao de choques de precos entre mercados. O objetivo deste trabalho foi analisar os efeitos desses custos sobre o processo de transmissao de precos no mercado brasileiro de carne de frango inteiro resfriado, no periodo de 1998 a 2007, por meio da tecnica Threshold Cointegration. Os resultados indicam presenca de significativas barreiras a transmissao de precos entre os mercados, as quais, provavelmente, surgem em decorrencia dos custos de transacao. Periodo relativamente longo de tempo e necessario para que os choques de precos sejam eliminados. Constatou-se, tambem, que o processo de transmissao de precos era assimetrico.