Exposição cambial : um estudo não paramétrico

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dc.contributor.advisorBasso, Leonardo Fernando Cruz
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/1866154361601651por
dc.contributor.authorBrandão, Caio Canuto Martins
dc.creator.Latteshttp://lattes.cnpq.br/2198726243106283por
dc.date.accessioned2019-10-30T21:34:19Z
dc.date.accessioned2020-05-28T18:04:36Z
dc.date.available2020-05-28T18:04:36Z
dc.date.issued2019-02-05
dc.description.abstractThis 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.eng
dc.description.sponsorshipCoordenação de Aperfeiçoamento de Pessoal de Nível Superiorpor
dc.description.sponsorshipInstituto Presbiteriano Mackenziepor
dc.formatapplication/pdf*
dc.identifier.citationBRANDÃO, Caio Canuto Martins. Exposição cambial : um estudo não paramétrico. 2019. 100 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo, 2019.por
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23668
dc.keywordsexchange rate exposureeng
dc.keywordsquantitative methodseng
dc.keywordsnonparametric modelseng
dc.keywordsregional economicseng
dc.keywordsLatin Americaeng
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectexposição cambialpor
dc.subjectmétodos quantitativospor
dc.subjectmodelos não paramétricospor
dc.subjecteconomia regionalpor
dc.subjectAmérica Latinapor
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS::ADMINISTRACAO FINANCEIRApor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/20133/CAIO%20CANUTO%20MARTINS%20BRAND%c3%83O.pdf.jpg*
dc.titleExposição cambial : um estudo não paramétricopor
dc.typeDissertaçãopor
local.contributor.board1Hadad Junior, Eli
local.contributor.board2Kimura, Herbert
local.publisher.countryBrasilpor
local.publisher.departmentCentro de Ciências Sociais e Aplicadas (CCSA)por
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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