Coleção Insper Business and Economics Working Papers
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740
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Resultados da Pesquisa
Working Paper Liquidity and Exchange Rates(2013) Rossi Júnior, José LuizThis paper studies the predictive power of several proxies for liquidity in forecasting exchange rates for a set of countries from January 2001 to April 2013. The results indicate that changes in funding liquidity of U.S. financial intermediaries impact exchange rates around the globe; however, the type of funding and its relevance in explaining exchange rate movements vary across time. Public liquidity represented by U.S. monetary aggregates is not robustly significant in forecasting exchange rate changes across time, countries or forecasting horizons. By contrast, the long-term interest rate and risk taking indicators have robust in-sample and out-of-sample predictive power with respect to exchange rates. Finally, the paper confirms that dynamic factors extracted from a panel of several liquidity indicators are useful in predicting exchange rate movements.Working Paper Common factors and the exchange rate: results from the Brazilian case(2013) Felício, Wilson Rafael de Oliveira; Rossi Júnior, José LuizO Trabalho estuda a utilidade de modelos fatoriais na análise da dinâmica da taxa de câmbio Real / Dólar Norte-Americano no período de Janeiro de 1999 a Agosto de 2011. O trabalho verifica que a inclusão dos fatores contidos nos movimentos comuns da taxa de câmbio de um conjunto de países melhora significantemente o poder preditivo dentro e fora da amostra dos modelos que contêm unicamente variáveis macroeconômicas comumente utilizadas na literatura para prever a trajetória da taxa de câmbio. O trabalho liga a informação contida nos fatores estimados a choques globais como a demanda por dólares – “Efeito dólar”, volatilidade e liquidez do mercado financeiro global.Working Paper Corporate Financial Policies and the Exchange Rate Regime: Evidence from Brazil(2008) Rossi Júnior, José LuizEste trabalho analisa o relacionamento entre a política financeira das empresas e o regime cambial para uma amostra de empresas brasileiras não-financeiras no período de 1996 a 2006. Os resultados indicam que, além de reduzir a proporção da dívida expressa em moeda estrangeira e aumentar a utilização de derivativos, a adoção de um regime de câmbio flutuante leva a um maior casamento monetário entre a ativo e o passivo das firmas. O trabalho mostra que esta melhora no gerenciamento de risco das firmas dá-se, principalmente, nas firmas mais expostas ao risco cambial. Os resultados confirmam que o regime cambial exerce um papel importante na determinação da vulnerabilidade externa das firmas.Working Paper What is the Value of Corporate Social Responsibility? An answer from Brazilian Sustainability Index(2008) Rossi Júnior, José LuizThis paper analyzes using a sample of non-financial Brazilian companies from 2005 to 2007 whether corporate social responsibility has an impact on firm value. Using companies’ Tobin’s Q as a proxy for their market value, the paper finds that firms that compose the Bovespa Corporate Sustainability Index (ISE) are traded with a premium compared to the other publicly traded firms. The result is robust to the inclusion of a set of control variables and the method of estimation. In addition, after controlling for self-selectivity, the results confirm that policies that focus corporate sustainability add value to the firm. The paper indicates that the benefits of corporate social responsibility policies surpass the possible costs implied by the adoption of such policies, leading corporate social responsibility to exert a positive impact on firm value.Working Paper Exchange Rate Exposure, Foreign Currency Debt and the Use of Derivatives: Evidence from Brazil(2008) Rossi Júnior, José LuizThis paper studies the exchange rate exposure and its determinants for a sample of non-financial Brazilian companies from 1996 to 2006. The results show that more than 25% of the firms in the sample have significant exchange rate exposure. Moreover, the results indicate that the number of firms exposed is higher in periods of crisis and under a fixed exchange rate regime. In addition, the results point out that although companies’ international activities, operational hedging and financial policies are important determinants of firms’ foreign exposure, the changes in companies’ exposure that took place when the country moved from a fixed to a floating exchange rate regime were mainly driven by changes in companies’ foreign currency borrowing and the use of derivatives that occurred in the period.Working Paper Nonlinear Foreign Exchange Exposure: Evidence from Brazilian Companies(2009) Rossi Júnior, José LuizThe paper analyzes the exchange rate exposure of a sample of non-financial Brazilian companies from 1999 to 2009 using a smooth transition autoregressive model (STAR). The results confirm the importance of using nonlinear models to address companies’ exchange rate exposure. The results indicate that when compared to the linear model commonly used in literature, the nonlinear model leads to an increase in the number of firms exposed to exchange rate fluctuations, which allows a more accurate analysis of the impact of exchange rate fluctuations on the value of firms.