Paulo Rogério Faustino Matos

A NOTE ON THE FORWARD AND THE EQUITY PREMIUM PUZZLES: TWO SYMPTOMS OF THE SAME ILLNESS?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

Forward-premium puzzle: is it time to abandon the usual regression?

ABSTRACT The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term is missing from the equation if speculation in foreign exchange markets is risky. We deal with this issue following the literature which assumes that discounted returns on foreign government bonds are log-normal, so we can linearize the Euler pricing equations (in level) and obtain a modified UIP system for which the risk adjustment term is obtained by applying to the pricing kernel-based relations a generalized autoregressive conditional heteroscedasticity-in-mean model. However, here we innovate by adopting a methodology which differs from all these related works. We construct and use a stochastic discount factor that does not depend on a specific model, by residing in the space of returns which we extract from the data by simply imposing the orthogonality restrictions represented by the Euler equations. So, we devise a purely statistical pricing kernel that performs well in in-sample level equations. Somewhat disappointingly, the risk premium inclusion in the conventional regression changes neither the significance nor the magnitude of the forecasting power of the forward premium for most currencies we study. The contrasting performance of the tests in level and in logs suggests that linearization may be to blame.

Análise de causalidade da mortalidade das pequenas empresas no Brasil

Este artigo tem como objetivo geral discutir sobre o tema Qualidade de Vida no Trabalho e a sua relacao com a motivacao dentro da empresa Comagro Pecas e Servicos LTDA, fazendo uma abordagem sobre a importância da motivacao como um fator que contribui para Qualidade de Vida no Trabalho e uma maior produtividade dentro da organizacao, visando sempre manter os seus colaboradores bem capacitados para exercer as funcoes.A apicultura vem ganhando cada vez mais espaco no agronegocio brasileiro por apresentar manejo simples e pratico e demandar baixo investimento inicial em relacao as demais atividades agropecuarias. Esta atividade tem contribuido significativamente para o desenvolvimento local tanto na microrregiao do Cariri quanto no municipio de Moreilândia, que constituem as areas de estudo deste trabalho, garantindo renda aos apicultores, proporcionando geracao de postos de trabalho e preservacao ambiental.

Uma Nota sobre o Impacto da Corrupção no Endividamento dos Estados Brasileiros

Este artigo propoe a estimacao de cinco distintas abordagens utilizadas na literatura internacional recente sobre o endividamento publico de paises, com o objetivo especifico de modelar a Divida Consolidada Liquida (DCL) como razao do Produto Interno Bruto (PIB) dos entes federativos subnacionais brasileiros. A principal inovacao consiste na incorporacao a restricao orcamentaria intertemporal sugerida em Bohn (1998) nao somente de variaveis especificas de controle de natureza economica e fiscal seguindo a vertente de tax smoothing , mas principalmente de uma proxy de corrupcao. A evidencia mais relevante do estudo, obtida a partir da estimacao de um painel balanceado dinâmico, e a mensuracao pela primeira vez na literatura nacional do impacto do aumento de 1% da corrupcao nos estados nas suas relacoes DCL/PIB, o qual e significativo a 1% e oscila entre 0,015% e 0,023%. Evidencia-se de forma robusta que a capacidade de se reduzir o endividamento atraves do combate a corrupcao e maior quando este e aliado a austeridade fiscal do que quando combinado com politicas economicas. Segundo as estimacoes do arcabouco de Benfratello, Del Monte e Pennacchio (2015) para os estados brasileiros, um aumento da corrupcao em 1% anula o efeito que o aumento de 0,54% do PIB real per capita anual poderia exercer sobre a reducao do endividamento dos estados. A relevância do estudo se deve a conjuntura atual, caracterizada pela adocao de politicas economicas inocuas, estados com fragilidade fiscal e corrupcao crescente no pais.

What drives the inequality of Brazilian cross-states household credit?

According to Matos et al. (2013) the credit policy in Brazil has been discriminatory and strongly characterized by regional aspect. We address the discussion about credit drivers in Brazil, following methodologically Hansen and Sulla (2013). We propose a contemporaneous panel model to estimate a relationship between real per capita Brazilian household credit and a set of main social, economic, labor market and financial variables. Our main findings considering all federal subnational entities during the period from 2004 to 2013 suggest that demand for credit plays a more relevant role then supply side. We claim that if Brazilian policy makers want to use financial system as growth catalyzer against the recent deep crises, than it should care about household’s levels of human capital and real income, besides providing a society less unequal. Our evidences can be useful to write theoretical models dealing with credit patterns in Brazil.

On the relative performance of consumption models in foreign and domestic markets

We revisit the literature that explores the relationship between domestic and foreign markets asset pricing puzzles, by evaluating the relative performance of different consumption-based models. We estimate and test the overidentifying restrictions of Euler equations associated with the consumption capital asset pricing model, in its canonical and main reference level versions. Our main findings are: 1) similar, however unreasonable, values for the parameters are obtained for most of the models in both equity and foreign exchange markets; 2) rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for each model takes place in the other market. We also compare the consumption-based pricing kernel with a preference-free pricing kernel built in da Costa et al. (2015) and perform in-sample predictions exercises. Our work provides empirical grounds to believe that progresses on preference-based solutions to puzzles in domestic financial markets will shed light on puzzles in foreign exchange market as, for example, recent work by Verdelhan (2010).

On the Latin American Credit Drivers

ABSTRACT We add to the literature about credit in Latin America by assessing what has been driving the recent and heterogeneous expansion of credit to gross domestic product based on supply and demand variables. We chose working with these emerging economies due to the low levels of human capital, the divergent patterns of evolution of economic variables and the vulnerability of credit expansion. According to balanced panel estimations, our main findings in terms of public policy suggest that credit reflects a financial deepening characterized by a higher bank concentration and by a policy able to stimulate saving even practicing lower deposit interest rates.

Análise de Integração Financeira na América do Sul

Este artigo agrega a discussao sobre integracao financeira nos paises da America do Sul, os quais, apesar de possuirem raizes historicas e padroes de crescimento economico comuns, apresentam diversidade nos fundamentos macroeconomicos, financeiros e sociais. A partir dos resultados obtidos com a metodologia proposta por Vahid & Engle (1993) aplicada aos principais indices de mercado sul-americanos durante o periodo compreendido entre janeiro de 1998 e novembro de 2010, evidencia-se que ao longo do periodo de estabilidade economica mundial, as bolsas dessas economias parecem ser mais influenciadas pelas tendencias individuais, sinalizando serem os fundamentos economicos determinantes, enquanto nos periodos de crise, ha uma maior heterogeneidade nas reacoes aos choques, as quais passam a ter maior representatividade na decomposicao do retorno. E possivel identificar cinco tendencias comuns, todas associadas a cenarios otimistas no longo prazo para o continente, sendo o indice peruano o unico que se mostra previsivel por tendencias comuns, no sentido da causalidade de Granger, enquanto os indices dos mercados financeiros brasileiro, argentino, venezuelano e colombiano parecem ser os mais representativos em termos preditivos das tendencias comuns ao bloco de emergentes. A analise de ciclos sugere que o indice peruano seja o unico capaz de prever o ciclo comum, caracterizando o mercado financeiro deste pais como relevante nos estudo das reacoes a choques transitorios na America do Sul.

Análise de solvência do Regime Geral da Previdência Social no Brasil

This article contributes to the debate on the solvency of the General Social Security System (RGPS) in Brazil, a simple distribution system whose parameters differ from international standards in terms of population, economy and social aspects. Following mainly the methodology of Bohn (1998, 2007), we can evidence that, during the period from January 1990 to December 2010, the RGPS social welfare balance has four distinct regimes, with only one of them characterized as insolvent, during April 1994 and October 1997, associated with the effects of the enactment of Law No. 8.213/91. Unlike several studies argue about the situation of the RGPS, the results suggest a recent non-explosive trend for Brazilian social security system, especially the period after October 2006, in response to the closure of the first phase of the census and the creation of Super Simple. Thus, despite the concern of society regarding the successive monthly deficits, the government participation in the scheme has represented smaller shares of GDP, a relevant signaling solvency to implementing public policies associated with social welfare reform. However, this conclusion does not invalidate the need for adjustments to the system, since reaction from the government are effective in order to control the deficit of the social security.

Previsão do câmbio real-dólar sob um arcabouço de apreçamento de ativos

We use principal components to extract a time series for the Stochastic Discount Factor based on returns on Brazilian mutual funds that invest in fixed-income securities and foreign currency. This factor is then used to model the Brazilian Real/American Dolar Exchange rate using a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-in-Mean (GARCH-M). Our empirical exercise based on asset pricing theory follows the methodology used in Chong, Chung and Ahmad (2002) and Da Costa et alii 2010). Our foreign currency depreciation forecasting error is 5,27% and we are able to say the correct variation sign in 57,5% of the time, during the January 2000 - December 2009 period. These results suggest to the literature that one should not omit the time varying second order conditional moments.