Temperatura e precificação de ativos: um ensaio para o Brasil
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/6975 |
Resumo: | We examinate the relationship between temperature anomalies and direct insurance claims from brazilian insurance market, as well as their effect on a consumption asset pricing model. To accomplish this, we have studied the effect of the claims and temperature anomalies in the opportunities of future investments. We tested a consumption asset pricing model using brazilian time series. Two consumption, two direct insurance claims and four temperature anomalies series were used in these tests. All series belongs to the interval between september 1996 and december 2007, in a quarterly frequency, two years after the beginning of Real plan and one year before the beggining of the credit crisis of 2008. In some cases we used monthly series. We observed positive and significative correlation between direct claims and temperature anomalies. Two models were better than CCAPM. The first with the growth rate of direct claims and the second with the temperature anomalies series elaborated by Goddard Institute of Space Sciences (GISS/NASA). As a result we observed that GISS temperature anomaly series elaborated by GISS is able to affect the future investment opportunities in brazilian capital market |
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Silva, Ricardo Ferraro Gilaberte daEscolas::EPGEFGVFerreira, Pedro Cavalcanti GomesSilva, André Luiz Carvalhal daMaia, Marcelo Verdini2010-09-02T17:54:20Z2010-09-02T17:54:20Z2010-05-28SILVA, Ricardo Ferraro Gilaberte da. Temperatura e precificação de ativos: um ensaio para o Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010.https://hdl.handle.net/10438/6975We examinate the relationship between temperature anomalies and direct insurance claims from brazilian insurance market, as well as their effect on a consumption asset pricing model. To accomplish this, we have studied the effect of the claims and temperature anomalies in the opportunities of future investments. We tested a consumption asset pricing model using brazilian time series. Two consumption, two direct insurance claims and four temperature anomalies series were used in these tests. All series belongs to the interval between september 1996 and december 2007, in a quarterly frequency, two years after the beginning of Real plan and one year before the beggining of the credit crisis of 2008. In some cases we used monthly series. We observed positive and significative correlation between direct claims and temperature anomalies. Two models were better than CCAPM. The first with the growth rate of direct claims and the second with the temperature anomalies series elaborated by Goddard Institute of Space Sciences (GISS/NASA). As a result we observed that GISS temperature anomaly series elaborated by GISS is able to affect the future investment opportunities in brazilian capital marketExaminamos a relação entre anomalias de temperatura e séries de sinistros diretos do mercado segurador brasileiro, bem como seu efeito sobre um modelo de precificação de ativos de consumo. Nossa metodologia consistiu na análise da correlação das anomalias de temperatura com a série de sinistros e no efeito dessas séries nas oportunidades futuras de investimento. Testamos um modelo de precificação de ativos de consumo (CCAPM) condicional com as séries temporais brasileiras. Duas séries de consumo, duas séries de sinistros diretos e quatro séries de anomalias de temperatura foram utilizadas na realização dos testes. Todas as séries pertenceram ao período de setembro de 1996 a dezembro de 2007, com freqüência trimestral, dois anos posteriores ao início do plano Real e um ano antes da crise de crédito de 2008. Em alguns casos utilizamos séries mensais. Observamos a existência de correlação positiva e significativa entre as séries de sinistro direto e as anomalias de temperatura. Dois modelos se apresentaram melhores que o CCAPM clássico. O primeiro com a taxa de crescimento da série de sinistros, com pontos que poderíamos considerar como outliers, e o segundo com a série de anomalias de temperatura do hemisfério sul elaborada pelo Goddard Institute of Space Sciences (GISS/NASA). Como resultado observamos que a série de anomalias de temperatura elaborada pelo GISS é capaz de afetar as oportunidades futuras de investimento no mercado de capitais brasileiro.porTemperatureAsset pricingInsurance claimsInsuranceReinsurancePrecificação de ativosSinistrosSegurosResseguroTemperaturaEconomiaModelo de precificação de ativosSegurosTemperatura e precificação de ativos: um ensaio para o BrasilAsset pricing and temperature: an essay for Brazilinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALTemperatura_e_Precificacao_EPGE_2010.pdfTemperatura_e_Precificacao_EPGE_2010.pdfPDF 1application/pdf698887https://repositorio.fgv.br/bitstreams/bc1001ac-27f3-4451-82e6-c5743e3cd23b/downloadc2013dd2597e6648fc9d071502dc9825MD55Diss_Temp_Asset_Pricing_EPGE_EN.pdfDiss_Temp_Asset_Pricing_EPGE_EN.pdfPDF 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|
dc.title.por.fl_str_mv |
Temperatura e precificação de ativos: um ensaio para o Brasil |
dc.title.alternative.eng.fl_str_mv |
Asset pricing and temperature: an essay for Brazil |
title |
Temperatura e precificação de ativos: um ensaio para o Brasil |
spellingShingle |
Temperatura e precificação de ativos: um ensaio para o Brasil Silva, Ricardo Ferraro Gilaberte da Temperature Asset pricing Insurance claims Insurance Reinsurance Precificação de ativos Sinistros Seguros Resseguro Temperatura Economia Modelo de precificação de ativos Seguros |
title_short |
Temperatura e precificação de ativos: um ensaio para o Brasil |
title_full |
Temperatura e precificação de ativos: um ensaio para o Brasil |
title_fullStr |
Temperatura e precificação de ativos: um ensaio para o Brasil |
title_full_unstemmed |
Temperatura e precificação de ativos: um ensaio para o Brasil |
title_sort |
Temperatura e precificação de ativos: um ensaio para o Brasil |
author |
Silva, Ricardo Ferraro Gilaberte da |
author_facet |
Silva, Ricardo Ferraro Gilaberte da |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Ferreira, Pedro Cavalcanti Gomes Silva, André Luiz Carvalhal da |
dc.contributor.author.fl_str_mv |
Silva, Ricardo Ferraro Gilaberte da |
dc.contributor.advisor1.fl_str_mv |
Maia, Marcelo Verdini |
contributor_str_mv |
Maia, Marcelo Verdini |
dc.subject.eng.fl_str_mv |
Temperature Asset pricing Insurance claims Insurance Reinsurance |
topic |
Temperature Asset pricing Insurance claims Insurance Reinsurance Precificação de ativos Sinistros Seguros Resseguro Temperatura Economia Modelo de precificação de ativos Seguros |
dc.subject.por.fl_str_mv |
Precificação de ativos Sinistros Seguros Resseguro Temperatura |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Modelo de precificação de ativos Seguros |
description |
We examinate the relationship between temperature anomalies and direct insurance claims from brazilian insurance market, as well as their effect on a consumption asset pricing model. To accomplish this, we have studied the effect of the claims and temperature anomalies in the opportunities of future investments. We tested a consumption asset pricing model using brazilian time series. Two consumption, two direct insurance claims and four temperature anomalies series were used in these tests. All series belongs to the interval between september 1996 and december 2007, in a quarterly frequency, two years after the beginning of Real plan and one year before the beggining of the credit crisis of 2008. In some cases we used monthly series. We observed positive and significative correlation between direct claims and temperature anomalies. Two models were better than CCAPM. The first with the growth rate of direct claims and the second with the temperature anomalies series elaborated by Goddard Institute of Space Sciences (GISS/NASA). As a result we observed that GISS temperature anomaly series elaborated by GISS is able to affect the future investment opportunities in brazilian capital market |
publishDate |
2010 |
dc.date.accessioned.fl_str_mv |
2010-09-02T17:54:20Z |
dc.date.available.fl_str_mv |
2010-09-02T17:54:20Z |
dc.date.issued.fl_str_mv |
2010-05-28 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
SILVA, Ricardo Ferraro Gilaberte da. Temperatura e precificação de ativos: um ensaio para o Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/6975 |
identifier_str_mv |
SILVA, Ricardo Ferraro Gilaberte da. Temperatura e precificação de ativos: um ensaio para o Brasil. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2010. |
url |
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