Emissões de eurobonds tem impacto no cupom cambial?
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/8346 |
Resumo: | The purpose of this study is to estimate the impact of brazilian corporate issues in USD on Cupom Cambial. We can view Cupom Cambial, under Cover Interest Parity (CIP), as a result of two components: Risk-free rate (Libor) and Country Risk. Additional deviations from CIP can be explained by several factors such as transactions costs, liquidity, arbitrage flows from financial and non-financial companies, etc. In this context, the arbitrage occurs when it becomes possible for a brazilian company to issue external debt and bring this resources to Brazil, finding a final rate in BRL lower than local loans (via debêntures, loans, CD’s, etc), all in. Given the necessary conditions for this type of trade, the effect can be seen in Cupom Cambial market via abnormal flow of sellers. Non-parametric tests (Wilcoxon-Mann-Whitney, Kruskal-Wallis e Van der Waerden) and event study methodology found abnormal behavior in FRA of Cupom Cambial (FRC) market during the event window, where the events are the issues of external debt of Brazilian companies, excluding country risk and Libor from FRC changes. To estimate the impact of corporate issues through FRA of cupom cambial, we used two econometric models, AR-GARCH and OLS with Newey-West correction. The results are that brazilian corporate issues cause tightening of 2-5 bps in FRC, depending on the maturity of the issue and the model used. Using the same methodology we concluded that each USD 100 million issue are responsible, on average, for 1 bps tightening in FRC. |
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Vargas, Fabíola MariaEscolas::EESPRochman, Ricardo RatnerMaciel, MarcoTenani, Paulo Sérgio2011-06-03T19:25:28Z2011-01-11VARGAS, Fabíola Maria. Emissões de eurobonds tem impacto no cupom cambial?. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011.http://hdl.handle.net/10438/8346The purpose of this study is to estimate the impact of brazilian corporate issues in USD on Cupom Cambial. We can view Cupom Cambial, under Cover Interest Parity (CIP), as a result of two components: Risk-free rate (Libor) and Country Risk. Additional deviations from CIP can be explained by several factors such as transactions costs, liquidity, arbitrage flows from financial and non-financial companies, etc. In this context, the arbitrage occurs when it becomes possible for a brazilian company to issue external debt and bring this resources to Brazil, finding a final rate in BRL lower than local loans (via debêntures, loans, CD’s, etc), all in. Given the necessary conditions for this type of trade, the effect can be seen in Cupom Cambial market via abnormal flow of sellers. Non-parametric tests (Wilcoxon-Mann-Whitney, Kruskal-Wallis e Van der Waerden) and event study methodology found abnormal behavior in FRA of Cupom Cambial (FRC) market during the event window, where the events are the issues of external debt of Brazilian companies, excluding country risk and Libor from FRC changes. To estimate the impact of corporate issues through FRA of cupom cambial, we used two econometric models, AR-GARCH and OLS with Newey-West correction. The results are that brazilian corporate issues cause tightening of 2-5 bps in FRC, depending on the maturity of the issue and the model used. Using the same methodology we concluded that each USD 100 million issue are responsible, on average, for 1 bps tightening in FRC.Este estudo tem por objetivo estimar o impacto do fluxo de emissões corporativas brasileiras em dólar sobre o cupom cambial. Podemos entender o cupom cambial, sob a ótica da Paridade Coberta da Taxa de Juros, como resultado de dois componentes: Taxa de juros externa (Libor) e Risco País. Desvios adicionais sobre a Paridade podem ser explicados por diversos fatores como custos de transação, liquidez, fluxos em transações de arbitragem de empresas financeiras ou não-financeiras, etc. Neste contexto, os fluxos de arbitragem ocorrem quando é possível para uma empresa brasileira captar recursos no mercado externo e internar estes recursos no Brasil encontrando uma taxa final de captação em reais inferior à de sua captação local (via debêntures, notas financeiras, empréstimos, CDB’s, etc) incluindo todos os custos. Quando há condições necessárias a este tipo de operação, o efeito pode ser visto no mercado de FRA de cupom cambial da BM&F, através de um fluxo anormal de doadores de juros. Testes não-paramétricos (Wilcoxon-Mann-Whitney, Kruskal-Wallis e Van der Waerden) e a metodologia de estudo de eventos detectaram comportamento anormal no mercado de FRA de cupom cambial frente aos eventos aqui considerados como emissões de eurobonds de empresas brasileiras, excluindo o efeito do risco soberano, medido pelo CDS Brasil e considerando nulo o risco de conversibilidade no período, após análise do diferencial entre NDF onshore e offshore. Para estimação do impacto das emissões sobre o FRA de cupom cambial foram utilizados dois modelos, AR-GARCH e OLS com correção de Newey-West, e os resultados mostraram que as emissões causam fechamento de 2 a 5 bps no FRA de cupom cambial, dependendo do vencimento da emissão e do modelo avaliado. Sob a mesma metodologia, concluímos de cada USD 100 milhões de emissões são responsáveis por, em média, 1 bps de fechamento no FRA de cupom cambial, tudo mais constante.porCDSEurobondsLiborEvent StudyFRA of Cupom CambialEstudo de eventosFRA de Cupom CambialEconomiaMercado de eurobônusTítulos (Finanças)Taxas de jurosCâmbioEmissões de eurobonds tem impacto no cupom cambial?info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisforever10000-01-01reponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINAL66080100276.pdf66080100276.pdfapplication/pdf780580https://repositorio.fgv.br/bitstreams/0ff89c8b-968d-4c9f-9bab-7eeb2ec4b5d5/download59e34371f81f676e674a30d3b513d3d8MD51LICENSElicense.txtlicense.txttext/plain; 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|
dc.title.por.fl_str_mv |
Emissões de eurobonds tem impacto no cupom cambial? |
title |
Emissões de eurobonds tem impacto no cupom cambial? |
spellingShingle |
Emissões de eurobonds tem impacto no cupom cambial? Vargas, Fabíola Maria CDS Eurobonds Libor Event Study FRA of Cupom Cambial Estudo de eventos FRA de Cupom Cambial Economia Mercado de eurobônus Títulos (Finanças) Taxas de juros Câmbio |
title_short |
Emissões de eurobonds tem impacto no cupom cambial? |
title_full |
Emissões de eurobonds tem impacto no cupom cambial? |
title_fullStr |
Emissões de eurobonds tem impacto no cupom cambial? |
title_full_unstemmed |
Emissões de eurobonds tem impacto no cupom cambial? |
title_sort |
Emissões de eurobonds tem impacto no cupom cambial? |
author |
Vargas, Fabíola Maria |
author_facet |
Vargas, Fabíola Maria |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Rochman, Ricardo Ratner Maciel, Marco |
dc.contributor.author.fl_str_mv |
Vargas, Fabíola Maria |
dc.contributor.advisor1.fl_str_mv |
Tenani, Paulo Sérgio |
contributor_str_mv |
Tenani, Paulo Sérgio |
dc.subject.por.fl_str_mv |
CDS Eurobonds Libor Event Study FRA of Cupom Cambial Estudo de eventos FRA de Cupom Cambial |
topic |
CDS Eurobonds Libor Event Study FRA of Cupom Cambial Estudo de eventos FRA de Cupom Cambial Economia Mercado de eurobônus Títulos (Finanças) Taxas de juros Câmbio |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Mercado de eurobônus Títulos (Finanças) Taxas de juros Câmbio |
description |
The purpose of this study is to estimate the impact of brazilian corporate issues in USD on Cupom Cambial. We can view Cupom Cambial, under Cover Interest Parity (CIP), as a result of two components: Risk-free rate (Libor) and Country Risk. Additional deviations from CIP can be explained by several factors such as transactions costs, liquidity, arbitrage flows from financial and non-financial companies, etc. In this context, the arbitrage occurs when it becomes possible for a brazilian company to issue external debt and bring this resources to Brazil, finding a final rate in BRL lower than local loans (via debêntures, loans, CD’s, etc), all in. Given the necessary conditions for this type of trade, the effect can be seen in Cupom Cambial market via abnormal flow of sellers. Non-parametric tests (Wilcoxon-Mann-Whitney, Kruskal-Wallis e Van der Waerden) and event study methodology found abnormal behavior in FRA of Cupom Cambial (FRC) market during the event window, where the events are the issues of external debt of Brazilian companies, excluding country risk and Libor from FRC changes. To estimate the impact of corporate issues through FRA of cupom cambial, we used two econometric models, AR-GARCH and OLS with Newey-West correction. The results are that brazilian corporate issues cause tightening of 2-5 bps in FRC, depending on the maturity of the issue and the model used. Using the same methodology we concluded that each USD 100 million issue are responsible, on average, for 1 bps tightening in FRC. |
publishDate |
2011 |
dc.date.accessioned.fl_str_mv |
2011-06-03T19:25:28Z |
dc.date.issued.fl_str_mv |
2011-01-11 |
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 |
VARGAS, Fabíola Maria. Emissões de eurobonds tem impacto no cupom cambial?. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/8346 |
identifier_str_mv |
VARGAS, Fabíola Maria. Emissões de eurobonds tem impacto no cupom cambial?. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2011. |
url |
http://hdl.handle.net/10438/8346 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
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MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
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1802749832452898816 |