Luiz Alberto Bertucci

Previsão da volatilidade no mercado interbancário de câmbio

This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements.

Impactos da adesão aos níveis diferenciados de governança corporativa sobre a estrutura de capital das empresas brasileiras

The Substitution Hypothesis assumes that both debt as Corporate Governance can reduce agency conflicts, allowing the manager to choose one of these options. In this sense, the aim of this research was to verify if the adherence to the Corporate Governance practices reduces the leverage of the Brazilian companies. In addition, we analyzed other variables such as profitability, size, and depreciation, whose influence on decision-making process about the leverage of the organizations has been tested in several studies. The statistical method employed, after the tests required, was the Generalized Least Square (GLS). Regarding to the variables of the Corporate Governance, the results of levels 1 and 2 were not statistically significant. Already the New Market indicated a inverse relations with the debt, confirming the hypothesis presented in this paper, and its coefficient was statistically significant. Concerning the profitability, the result achieved was also consistent with the proposition presented, in which, the higher the profitability of a company, the lower will be its indebtedness. The coefficient of the variable Depreciation contradicted the initial hypothesis, indicating a direct relationship between it and leverage. Despite the inconsistency, such a result has support in other studies published. The size factor did not reveal statistically significant and, therefore, there has been no further inference about the same.

AS DISPONIBILIDADES DE CAIXA INVESTIDAS PELO SETOR PÚBLICO: O ESTADO GARANTE O VALOR DO SEU DINHEIRO NO TEMPO?

O presente trabalho analisa a garantia do interesse publico, materializado na gestao dos recursos financeiros arrecadados e nao gastos, ante a presenca da inflacao como fator de deterioracao do poder de compra estatal. Na analise, realizada atraves de Simulacao de Monte Carlo, foram utilizados retornos de diferentes investimentos possiveis, bem como diferentes indicadores de inflacao, amplos e setoriais. Os resultados apontaram, majoritariamente, possibilidades significativas de perda de valor dos recursos ante aos indices de inflacao. Verifica-se, portanto, a necessidade de uma adequada gestao para o melhor atendimento do interesse publico no tocante a manutencao do valor do dinheiro no tempo.

The impact of the corporate ownership in the market value of Brazilians companies

Diversas pesquisas foram desenvolvidas sobre as implicacoes da separacao entre controle e propriedade das firmas que, em sua maior parte, estiveram associadas aos efeitos dos niveis de concentracao da propriedade e da presenca de acionistas insiders. Mais recentemente, as pesquisas foram direcionadas para a identificacao do impacto da presenca de investidores institucionais no desempenho das firmas. A discussao sobre a governanca das empresas emerge de uma preocupacao dos investidores em geral quanto a gestao dos ativos das firmas e, consequentemente, quanto as perspectivas de retorno de seus investimentos. Como as pesquisas no Brasil tem-se concentrado em verificar caracteristicas das empresas que contam com investidores institucionais em seu quadro societario, neste trabalho procurou-se ampliar o escopo e identificar, por meio da utilizacao da metodologia proposta por Markowitz (1952), se a presenca de outros segmentos exercendo controle sobre as companhias abertas promove impacto detectavel nas condicoes de retorno e risco de suas acoes. Os resultados do estudo apontam para uma predominância dos portfolios constituidos por empresas cujo controle e exercido por grupos familiares quando comparados a portfolios de empresas controladas por investidores institucionais, governos ou sem uma estrutura de controle bem definida.

O impacto do acordo da Basiléia sobre instituições financeiras brasileiras

Among the problems usually attributed to the banking regulation, two are clearly more demanding, because of their intrinsic nature and by the frequency which they are cited: the contingency of credit due to the reduction in the loans and lending volumes, and the excessive growth of government bonds in banks assets composition. The current study is based on data of the five major Brazilian retail banks, and investigates the changes in their assets and capital structures in the last years, due to the regulation of capital requirements in the context of The 1998 Basel Accord. Data from 1990 to 2002 accounting reports have been collected, and the study was build using time series analysis and linear regressions. The results suggest new evidences about the effective influence of regulatory measures on the capital and assets structures of banks.