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Medidas regulatórias, volatilidade e contágio: Um estudo dos casos da energia elétrica e das telecomunicações no Brasil

de Bragança, Gabriel G. Fiuza; Pessoa, Marcelo de Sales; … - 2015

This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market. Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two...

Persistent link: https://www.econbiz.de/10011372325

Uma avaliação do efeito da redução da taxa de juros sobre a alocação de ativos de renda fixa na previdência complementar Brasileira

Pessoa, Marcelo de Sales; Schlittler, João Gabriel … - 2014

Persistent link: https://www.econbiz.de/10011372357

Reservas internacionais revisitadas: Novas estimativas de patamares ótimos

Vonbun, Christian - 2013

This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the optimal holdings of this asset are calculated...

Persistent link: https://www.econbiz.de/10010330480

Depósitos em moeda estrangeira como hedge para investidores brasileiros de longo prazo: Uma aplicação da teoria da escolha estratégica de portfólio

dos Santos, Carlos Eduardo Meyer; da Silveira, Marcos … - 2010

The home bias is observed in the composition of portfolios of different classes of financial assets. The literature offers conflicting arguments about the rationality of this behavior in the case of the portfolios invested in short-term securities, commonly known as currency deposits. In the...

Persistent link: https://www.econbiz.de/10010330501

Alocação de portfólio da poupança para aposentadoria no Brasil: Um estudo de caso para fundos fechados de pensão

da Silveira, Marco Antonio C.; Coimbra Castello Branco, … - 2011

This paper contributes for an initial study on the empirical determinants of the portfolio allocation of retirement … advances in the theory of portfolio allocation to long-term investors, according to which the allocation of financial wealth …

Persistent link: https://www.econbiz.de/10010330539

Determinantes da alocação de portfólio dos investidores brasileiros: Uma análise empírica com dados de fundos de investimentos

Bragança, Guilherme Lima; da Silveira, Marcos Antonio … - 2011

portfolio of risky assets depends only on the degree of risk aversion of the investor. However, recent theoretical advances … conditions are consistent with the argument that the portfolio allocation is influenced by the presence of human capital and the … the risk free asset and the tangent portfolio of risky assets depends only on the degree of risk aversion of the investor …

Persistent link: https://www.econbiz.de/10010330708

Eficiência alocativa da política de investimentos do regime próprio de previdência social dos entes federativos brasileiros

da Silveira, Marcos Antonio Coutinho - 2013

The paper investigates the allocative efficiency of the investment policy of pension funds established within the Welfare and Social Security System of the Brazilian federal entities. For that, it develops a model of strategic asset allocation for a pension fund whose resources fund a...

Persistent link: https://www.econbiz.de/10010330724

Reservas internacionais para o Brasil: Custos fiscais e patamares ótimos

Vonbun, Christian - 2008

This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 1998 and the same trimester of 2008, by applying the Jeanne e Ranciére (2006) framework, using different scenarios. We also estimate the fiscal costs of holding this asset, as well as the...

Persistent link: https://www.econbiz.de/10010330830

Os fundos brasileiros de previdência complementar: Segmentações analíticas e estudos preliminares sobre a alocação de seus recursos

De Conti, Bruno - 2016

Brazilian pension funds hold together a portfolio that exceeds R$ 1 trillion. This volume of resources justifies …

Persistent link: https://www.econbiz.de/10011444810

Evolução recente do mercado de debêntures no Brasil: As debêntures incentivadas

de Bragança, Gabriel G. Fiuza; Pessoa, Marcelo de Sales; … - 2015

In 2011, the Brazilian government granted an income tax benefit to corporate bonds issued with the specific purpose of financing long-term infrastructure investments (Law 12.431/2011). The financial bonds favored by this policy have become known as "incentivized bonds". This paper describes the...

Persistent link: https://www.econbiz.de/10011444837