Valéria Gama Fully Bressan

Investigating the Solvency of Brazilian Credit Unions Using a Proportional Hazard Model

Due to high interest rates and bank spreads, the number of credit unions in Brazil has increased over recent years. As financial institutions, these cooperatives need tools to signal impending financial problems. This paper focuses on one tool that can be used to evaluate credit union solvency: the Cox Proportional Hazards Model. A sample of 80 credit unions from the Brazilian state of Minas Gerais was selected to supply data. The analysis period is between December 2001 and June 2003. The results indicate that the relevant indicators for insolvency prediction are, in descending order of predictive ability, General Liquidity, Salary and Benefit Expenses, and the LoansEquity Ratio. In general, results produced using the delineated theoretical model were in consonance with international literature. Copyright CIRIEC, 2006.

Sistemas de equações de demanda por carnes no Brasil: especificação e estimação

We use alternative specifications of the Almost Ideal Demand System (AIDS) to estimate the aggregate demand in Brazil for beef, pork, chicken, other consumption goods, and their elasticities. We detect the need for using time trend variables in models’ equations so that we found an upward trend for the demand of each type of meat and a downward trend for other consumption goods. The dummy variable for the prices stabilization macroeconomic Real Plan indicated it has not changed demands. According to Marshallian own-price elasticities, meat demands are inelastic and demand for other consumption goods is elastic. Cross-price Marshallian and Hicksian elasticities confirm beef, pork and chicken are substitutes. Expenditure elasticities show that all goods are normal, except for pork, which is an inferior good. As personal consumption expenditure is likely to increase over time, ceteris paribus, meat consumption will lose importance to other consumption goods, beef consumption will lose importance to chicken and pork consumption will lose importance to the other two types of meat.

Análise do risco de insolvência pelo modelo de cox: uma aplicação prática

Insolvency prediction is an important issue for the banking sector and, for this reason, has been studied by many researchers. Aiming to corroborate these studies, this paper evaluates the financial profile of the agricultural credit cooperatives in the State of Minas Gerais, Brazil, between 1998 and 2001, trying to verify if the changes that affected the banking sector in Brazil after the Real plan in 1994 had also affected the analyzed cooperatives. The proportional hazard model of Cox (Cox, 1972) was applied to evaluate the insolvency risk. The definition of insolvency adopted is associated to the failure of the cooperative, negative equity and/or 40% of negative final results. The estimates indicate that the most important indicators to evaluate the relative risk of insolvency were the “general liquidity”, “short-term liquidity” and “personnel fees”. Only 1 cooperative, between the 107 analyzed, was in the insolvency risk range determined by the model.

Brazilian Credit Union Member Groups: Borrower-dominated, Saver-dominated or Neutral Behavior?

Abstract Theoretical models concerning Credit Unions (CUs) suggest that the type of CU domination determines the way it allocates the monetary value it generates. A borrower- (saver-) dominated CU benefits borrower (saver) members at the expenses of saver (borrower) members, and a neutral CU equally benefits its member groups. This paper applies direct measure of monetary benefits to each member group (Patin & McNiel, 1991a) to test for the existence of dominated behavior in Brazilian CUs, and is the first to apply panel data regressions to identify the determinants of CUs behavior. We use a unique panel data with 40,664 observations taken from 533 CUs affiliated with the largest Brazilian cooperative network. Results indicate Brazilian CUs are dominated by borrowers, but behave close to neutrality. Panel regression estimates show that common or multiple bond type, size and overdue loans of a CU have no effect on its behavior, the greater the total amount of loans over social capital and adjusted equity over total assets are the more likely a CU is borrower dominated, and the greater the age and current operational expenses over total asset of a CU are the more likely a CU is saver dominated.

O seguro depósito induz ao risco moral nas cooperativas de crédito brasileiras?: um estudo com dados em painel

Conflicting interests and imperfect monitoring can induce financial institutions covered by the deposit insurance to run into more risk than the level aimed by its fund administrator. We test if the establishment of the deposit insurance (FGS) of the Brazilian Cooperative Credit System (Sicoob) did not induce moral hazard. We use a panel composed of monthly data for 180 credit unions (61.43% of cooperatives affiliated to Sicoob). Panel data models’ estimates using the Basel index as proxy for the risk exposure of cooperatives indicate that the FGS induced the moral hazard problem.

Fundos de pensão como formadores de poupança interna: uma alternativa para o financiamento da atividade econômica

The production of domestic savings and the amplification of the productive investment are the conditions to reach and to maintain rates of economical growth compatible with social development. The pension funds, with the available resources to invest, make possible to leverage the development of a nation, as they channel these resources for the countrys productive sector. At this perspective, this study intends to analyze the performance of the investments in variable income of these funds, here considered productive investments, through the Capital Asset Pricing Model (CAPM). This model is predisponent to explain the behavior of the prices of the titles and to supply mechanisms of evaluation of the investment accomplished - in relation to the risk and return of the portfolio. Starting from the proposed methodology, it was verified that the investments in stocks incurred in superior returns than the expected ones, generating, by one hand, a larger aggregated value to the fund, and by the other, an increment of the intern savings of the country, backed by the application of resources in the productive section.

Fundos de pensão como financiadores da atividade econômica

The production of domestic savings and the amplification of the productive investment are the conditions to reach and to maintain rates of economical growth compatible with the social development. The pension funds, with the available resources to invest, make possible to leverage the development of a nation, as they channel these resources for the country’s productive sector. At this perspective, this study intends to analyze the performance of the investments in variable income of these funds, here considered productive investments, through the Capital Asset Pricing Model (CAPM), Sharpe Index and M2 Measure. Those models are rendered to evaluate the investment accomplished - in relation to the risk and return of the portfolio. Starting from the proposed methodology, it was verified that the investments in stocks incurred in superior returns to the expected ones and obtained efficient reward-to-risk, generating, by one hand, a larger aggregated value to the fund, and by the other, an increment of the intern savings of the country - backed by the application of resources in the productive section.

Diversification and Performance of Credit Unions

This chapter evaluates the impact of revenue diversification with expanding products and services upon the financial performance of credit unions. The diversification effect on credit union performance was verified through dynamic panel data models estimated by two-stage system Generalized Method of Moments. Semiannual information (spanning 2009 to 2014) of 525 unique credit unions informed the study. The analysis revealed that nine models estimated with proxies for performance based on profitability indicators showed that diversification does not affect the return of credit unions. However, in three other models, using the growth of adjusted shareholders’ equity as a proxy for performance, it was possible to capture the effects of the diversification of revenues. These divergent results may indicate that credit union diversification strategies do not aim to increase dividends or profitability. But it may also suggest that this strategy helps cooperatives meet primary obligations by providing extra resources, maintaining their financial market positions, or even their survival.

The influence of some factors about the earnings response coefficient (ERC) from the perspective earnings management (GR)

Este estudo teve por objetivo avaliar no contexto brasileiro, como determinantes, previamente citados pela literatura, influenciam o Coeficiente de Resposta de Ganhos (ERC) das empresas listadas no IBrX 100 dado a perspectiva do gerenciamento de resultados (GR). O periodo de analise se deu entre os anos de 2005 e 2010 por compreender um periodo marcado pela convergencia as normas internacionais de contabilidade, alem disso a amostra final englobou 28 empresas dado a exclusao de algumas por apresentarem dados faltantes e de empresas financeiras. O presente estudo possui caracteristica descritiva, classificada como uma pesquisa documental, e abordagem quantitativa, com tratamento estatistico de regressao de dados em painel. A analise do modelo permitiu verificar que a constante e as variaveis TAM e EC foram significativas ao nivel de 1%, 5% e 10%. Desse modo, dentre as tres variaveis abordadas neste estudo, duas: Tamanho e Estrutura de Capital apresentaram influencia significativa sobre o ERC, de forma semelhante, ou seja, influencia negativa permitindo aceitar as hipoteses 1 e 3 levantadas no trabalho. Enquanto a outra determinante Oportunidade de Crescimento, nao demonstrou ser um fator significativo do ERC para a amostra estudada, o que levou a rejeicao da hipotese 2. Alem disso, dado o periodo de convergencia as normas internacionais de contabilidade e o ambiente mais propicio ao gerenciamento de resultados e possivel que o ERC possa ter sofrido alguma distorcao.

Evitar Divulgar Perdas: Foi Uma Estratégia Utilizada na Última Década pelas Cooperativas de Crédito Filiadas ao Sicredi?

Este estudo avaliou se as cooperativas de credito filiadas ao Sistema de Credito Cooperativo (SICREDI) utilizaram da estrategia de gerenciamento de resultado para evitar divulgar perdas. O tema de gerenciamento de resultados se apresenta eminente tanto na literatura internacional quanto na nacional, e se mostra ainda mais notavel no caso das instituicoes financeiras, ja que o gerenciamento de resultados nestas pode impactar negativamente toda a estrutura do sistema financeiro. A amostra foi composta por 118 cooperativas singulares, perfazendo um total de 99,16% da populacao no periodo de 2000 a 2010. Os resultados indicaram que ha evidencias de gerenciamento de resultados para nao divulgar perdas nas cooperativas filiadas ao Sicredi, em periodos semestrais, e especialmente em periodos anuais. Notou-se que 76% destas cooperativas buscaram evitar divulgar resultados negativos, pois os resultados, divididos pelo volume de operacoes de credito, concentram-se em torno do resultado zero, na faixa positiva do histograma. Os resultados desta pesquisa corroboram com a percepcao dos analistas do Banco Central do Brasil, e com os resultados para o Sicoob encontrados por Maia et al. (2013).