Exposição cambial : um estudo não paramétrico
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Tipo
Dissertação
Data de publicação
2019-02-05
Periódico
Citações (Scopus)
Autores
Brandão, Caio Canuto Martins
Orientador
Basso, Leonardo Fernando Cruz
Título da Revista
ISSN da Revista
Título de Volume
Membros da banca
Hadad Junior, Eli
Kimura, Herbert
Kimura, Herbert
Programa
Administração de Empresas
Resumo
This dissertation studies quantitative nonparametric methods applied in the nancial metric
of companies exchange rate risk exposure. The primary objective aims to draw statistical
and economic comparisons between models of xed functional forms (parametric) and
distribution-free models (nonparametric) in a latin american context. This essay is mainly
based on the study published by Aysun e Guldi (2011), with two innovations: the shift in
the eld of analysis to regional economics and the proposition of a diferent measurement
of kernel bandwidths for regression smoothing. The secondary database consists in non-
nancial public companies from the following countries: Argentina, Brazil, Chile, Colombia,
Mexico and Peru, within a 18 years long time-line (2000-2018). The model's statistical
results produce qualitative resemblance, with nonparametric methodology's nding larger
proportion of rms exposed to currency risk. However, the regression's slopes mean
(economic exposure) do not appear to have a clear positive or negative prone. In absolute
means, the rm's economic exposure in nonparametric models are far more smooth for
currency movements. The exchange rate exposure metric is the starting point for a number
of applications in corporate nance, such as: the investigation of determinants for exchange
rate exposure, nancial hedging strategies eficiency (derivatives), operational currency
hedge (foreign currency debt, import/export) and market's multinationality studies. This
study expects to contribute to quantitative methods applied to nance with the possibility
of using distribution-free methods in the investigation of administrative phenomenons.
Descrição
Palavras-chave
exposição cambial , métodos quantitativos , modelos não paramétricos , economia regional , América Latina
Assuntos Scopus
Citação
BRANDÃO, Caio Canuto Martins. Exposição cambial : um estudo não paramétrico. 2019. 100 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo, 2019.