CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES
Autor(a) principal: | |
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Data de Publicação: | 2022 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Universo Contábil |
Texto Completo: | https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444 |
Resumo: | The dynamics of the functioning of the financial markets have been characterized by external influences resulting from the process of economic, social, political, and cultural integration, especially since 1980. Thus, considering the interrelationships, the systemic risk becomes imminent, and there is a need to manage them. In this context, this article constructed risk management models for the Brazilian economic sectors using accounting and macroeconomic indexes in the CoVaR model, through quantile regression with fixed additive effects. The results point out that, when inserting factors from accounting and economy simultaneously, the explanations for the systemic risk contribution become more appropriate from the economic-financial point of view. In addition, the basic materials sector deserves further study, including the possibility of prudential measures. Therefore, the knowledge of this type of information generated by the models allows the adoption of protection and risk monitoring mechanisms, in addition to the decision on asset allocation. Therefore, by listing the aspects considered innovative, of a theoretical and empirical nature, we can say that the practical contribution of this article consists in identifying potentially riskier sectors, to the point of guiding economic policymakers, in the macro and micro scope, to develop prudential measures applicable to other sectors of the Brazilian stock market. |
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CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXESVALOR CONDICIONAL EN RIESGO: UN ANÁLISIS DE LOS SECTORES ECONÓMICOS BRASILEÑOS A TRAVÉS DE ÍNDICES CONTABLES Y MACROECONÓMICOSVALUE AT RISK CONDICIONAL: UMA ANÁLISE DOS SETORES ECONÔMICOS BRASILEIROS POR MEIO DE ÍNDICES CONTÁBEIS E MACROECONÓMICOSAccounting indexesEconomic sectorsSystemic riskRisk managementMacroeconomic variablesÍndices contablesSectores económicosRiesgo sistémicoGestión del riesgoVariables macroeconómicasÍndices contábeisíndices contábeisSetores econômicossetores econômicosRisco sistêmicorisco sistêmicoGerenciamento de riscogerenciamento de riscoVariáveis macroeconômicasvariáveis macroeconômicas.The dynamics of the functioning of the financial markets have been characterized by external influences resulting from the process of economic, social, political, and cultural integration, especially since 1980. Thus, considering the interrelationships, the systemic risk becomes imminent, and there is a need to manage them. In this context, this article constructed risk management models for the Brazilian economic sectors using accounting and macroeconomic indexes in the CoVaR model, through quantile regression with fixed additive effects. The results point out that, when inserting factors from accounting and economy simultaneously, the explanations for the systemic risk contribution become more appropriate from the economic-financial point of view. In addition, the basic materials sector deserves further study, including the possibility of prudential measures. Therefore, the knowledge of this type of information generated by the models allows the adoption of protection and risk monitoring mechanisms, in addition to the decision on asset allocation. Therefore, by listing the aspects considered innovative, of a theoretical and empirical nature, we can say that the practical contribution of this article consists in identifying potentially riskier sectors, to the point of guiding economic policymakers, in the macro and micro scope, to develop prudential measures applicable to other sectors of the Brazilian stock market.La dinámica del funcionamiento de los mercados financieros se ha caracterizado por influencias externas resultantes del proceso de integración económica, social, política y cultural, especialmente desde 1980. Por lo tanto, una vez que se consideran las interrelaciones, el riesgo sistémico se vuelve inminente y existe la necesidad de gestionarlas. En este contexto, este artículo, utilizando índices contables y variables macroeconómicas en el modelo CoVaR, mediante la estimación cuántica de paneles con efectos aditivos fijos, construyó modelos de gestión de riesgo para los sectores económicos brasileños. Los resultados señalan que, al insertar factores de contabilidad y economía, simultáneamente, las explicaciones de la contribución del riesgo sistémico se vuelven más apropiadas desde el punto de vista económico-financiero. Además, el sector de materiales básicos merece un estudio adicional, incluida la posibilidad de medidas cautelares. Por tanto, el conocimiento de este tipo de información que generan los modelos permite la adopción de mecanismos de protección y seguimiento de riesgos, además de la decisión de asignación de activos. Así, al enumerar los aspectos considerados innovadores, de naturaleza teórica y empírica, se puede afirmar que la contribución práctica de este artículo consiste en identificar sectores potencialmente más riesgosos, hasta el punto de orientar a los responsables de la política económica, en el contexto macro y micro, a desarrollar medidas prudenciales aplicables a otros sectores del mercado de valores brasileño.A dinâmica de funcionamento dos mercados financeiros tem se caracterizado pelas influências externas, decorrentes do processo de integração econômica, social, política e cultural, principalmente a partir de 1980. Assim, uma vez consideradas as inter-relações, o risco sistêmico torna-se iminente, havendo a necessidade de gerenciá-los. Nesse contexto, este artigo, usando índices contábeis e variáveis macroeconômicas no modelo CoVaR, por meio da estimação de painel quantílico com efeitos fixos aditivos, construiu modelos de gerenciamento de risco para os setores econômicos brasileiros. Os resultados apontam que, ao inserir fatores advindos da contabilidade e da economia, simultaneamente, as explicações para a contribuição de risco sistêmico tornam-se mais adequadas do ponto de vista econômico-financeiro. Além disso, o setor de materiais básicos merece estudos mais aprofundados, incluindo a possibilidade de medidas prudenciais. Portanto, o conhecimento desse tipo de informação gerado pelos modelos permite a adoção de mecanismos de proteção e monitoramento de risco, além da decisão na alocação de ativos. Assim, ao elencar os aspectos considerados inovadores, de cunho teórico e empírico, pode-se afirmar que a contribuição prática deste artigo consiste em identificar setores potencialmente mais arriscados, a ponto de orientar os formuladores de políticas econômicas, no âmbito macro e micro, a desenvolver medidas prudenciais aplicáveis a outros setores do mercado acionário brasileiro.Universidade Regional de Blumenau2022-07-04info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444Revista Universo Contábil; v. 17 n. 1 (2021); 47-641809-33371809-3337reponame:Revista Universo Contábilinstname:Universidade Regional de Blumenau (FURB)instacron:FURBporhttps://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444/5747Copyright (c) 2022 Revista Universo Contábilinfo:eu-repo/semantics/openAccessFreire, Anna Paola FernandesMachado, Márcio André VerasCavalcante, Paulo Roberto Nóbrega2022-07-21T02:52:25Zoai:ojs.bu.furb.br:article/8444Revistahttps://proxy.furb.br/ojs/index.php/universocontabil/PUBhttps://proxy.furb.br/ojs/index.php/universocontabil/oai||universocontabil@furb.br1809-33371809-3337opendoar:2022-07-21T02:52:25Revista Universo Contábil - Universidade Regional de Blumenau (FURB)false |
dc.title.none.fl_str_mv |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES VALOR CONDICIONAL EN RIESGO: UN ANÁLISIS DE LOS SECTORES ECONÓMICOS BRASILEÑOS A TRAVÉS DE ÍNDICES CONTABLES Y MACROECONÓMICOS VALUE AT RISK CONDICIONAL: UMA ANÁLISE DOS SETORES ECONÔMICOS BRASILEIROS POR MEIO DE ÍNDICES CONTÁBEIS E MACROECONÓMICOS |
title |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
spellingShingle |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES Freire, Anna Paola Fernandes Accounting indexes Economic sectors Systemic risk Risk management Macroeconomic variables Índices contables Sectores económicos Riesgo sistémico Gestión del riesgo Variables macroeconómicas Índices contábeis índices contábeis Setores econômicos setores econômicos Risco sistêmico risco sistêmico Gerenciamento de risco gerenciamento de risco Variáveis macroeconômicas variáveis macroeconômicas. |
title_short |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
title_full |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
title_fullStr |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
title_full_unstemmed |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
title_sort |
CONDITIONAL VALUE AT RISK: AN ANALYSIS OF THE BRAZILIAN ECONOMIC SECTORS THROUGH ACCOUNTING AND MACROECONOMIC INDEXES |
author |
Freire, Anna Paola Fernandes |
author_facet |
Freire, Anna Paola Fernandes Machado, Márcio André Veras Cavalcante, Paulo Roberto Nóbrega |
author_role |
author |
author2 |
Machado, Márcio André Veras Cavalcante, Paulo Roberto Nóbrega |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Freire, Anna Paola Fernandes Machado, Márcio André Veras Cavalcante, Paulo Roberto Nóbrega |
dc.subject.por.fl_str_mv |
Accounting indexes Economic sectors Systemic risk Risk management Macroeconomic variables Índices contables Sectores económicos Riesgo sistémico Gestión del riesgo Variables macroeconómicas Índices contábeis índices contábeis Setores econômicos setores econômicos Risco sistêmico risco sistêmico Gerenciamento de risco gerenciamento de risco Variáveis macroeconômicas variáveis macroeconômicas. |
topic |
Accounting indexes Economic sectors Systemic risk Risk management Macroeconomic variables Índices contables Sectores económicos Riesgo sistémico Gestión del riesgo Variables macroeconómicas Índices contábeis índices contábeis Setores econômicos setores econômicos Risco sistêmico risco sistêmico Gerenciamento de risco gerenciamento de risco Variáveis macroeconômicas variáveis macroeconômicas. |
description |
The dynamics of the functioning of the financial markets have been characterized by external influences resulting from the process of economic, social, political, and cultural integration, especially since 1980. Thus, considering the interrelationships, the systemic risk becomes imminent, and there is a need to manage them. In this context, this article constructed risk management models for the Brazilian economic sectors using accounting and macroeconomic indexes in the CoVaR model, through quantile regression with fixed additive effects. The results point out that, when inserting factors from accounting and economy simultaneously, the explanations for the systemic risk contribution become more appropriate from the economic-financial point of view. In addition, the basic materials sector deserves further study, including the possibility of prudential measures. Therefore, the knowledge of this type of information generated by the models allows the adoption of protection and risk monitoring mechanisms, in addition to the decision on asset allocation. Therefore, by listing the aspects considered innovative, of a theoretical and empirical nature, we can say that the practical contribution of this article consists in identifying potentially riskier sectors, to the point of guiding economic policymakers, in the macro and micro scope, to develop prudential measures applicable to other sectors of the Brazilian stock market. |
publishDate |
2022 |
dc.date.none.fl_str_mv |
2022-07-04 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444 |
url |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://ojsrevista.furb.br/ojs/index.php/universocontabil/article/view/8444/5747 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2022 Revista Universo Contábil info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2022 Revista Universo Contábil |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
publisher.none.fl_str_mv |
Universidade Regional de Blumenau |
dc.source.none.fl_str_mv |
Revista Universo Contábil; v. 17 n. 1 (2021); 47-64 1809-3337 1809-3337 reponame:Revista Universo Contábil instname:Universidade Regional de Blumenau (FURB) instacron:FURB |
instname_str |
Universidade Regional de Blumenau (FURB) |
instacron_str |
FURB |
institution |
FURB |
reponame_str |
Revista Universo Contábil |
collection |
Revista Universo Contábil |
repository.name.fl_str_mv |
Revista Universo Contábil - Universidade Regional de Blumenau (FURB) |
repository.mail.fl_str_mv |
||universocontabil@furb.br |
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1798945117728407552 |