Exposição cambial : um estudo não paramétrico

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Brandão, Caio Canuto Martins
Basso, Leonardo Fernando Cruz
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Hadad Junior, Eli
Kimura, Herbert
Administração de Empresas
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.
exposição cambial , métodos quantitativos , modelos não paramétricos , economia regional , América Latina
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.