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  1. Investimentos privados em infraestrutura nas economias emergentes: a importância do ambiente regulatório na atração de investimentos
    Autor*in: Rocha, Katia
    Erschienen: agosto de 2020
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    The objective of this study is to analyze the response of improvements in the regulatory rankings of emerging economies to private investments in infrastructure especially for Brazil. The proposed methodology relies on a fixed-effect panel model. We... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    DS 194
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    The objective of this study is to analyze the response of improvements in the regulatory rankings of emerging economies to private investments in infrastructure especially for Brazil. The proposed methodology relies on a fixed-effect panel model. We further investigated whether, after the 2008 global crisis, there was a significant change in the perception of the private investor in relation to the regulatory and institutional characteristics of emerging markets. The study covers eighteen emerging economies - Argentina, Brazil, China, Chile, Colombia, India, Indonesia, Malaysia, Mexico, Pakistan, Peru, Philippines, Russia, South Africa, Thailand, Turkey, Uruguay and Vietnam, which represented around 89% of private investment flow to emerging countries and totaled US$ 1.3 trillion and 4.480 projects for emerging countries in the period of 2000-2018. The results are significant with the expected signal. The better the country’s regulatory quality ranking, the greater the volume of investments and the number of projects with private participation in infrastructure. The result is robust to several specifications and institutional characteristics added to the model. Finally, after the global crisis, model suggests there was a significant increase in the importance of the regulatory framework for decision-making and private capital allocation in this sector in emerging economies. If Brazil improves its position in the regulatory quality ranking to the same level occupied in mid-2000 (65th place, Colombia’s current position in 2018), this would lead to an increase of 0.81% of gross domestic product (GDP) in investments. If it reaches the Chilean levels (89th place), the increase would be 1.59% of GDP. Such value added to the current levels would total 3.4% of GDP, value somehow closer to the target of 4.25% of GDP estimated by the World Bank for a sustained growth.

     
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    Sprache: Portugiesisch
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    Weitere Identifier:
    hdl: 10419/240779
    Schriftenreihe: Texto para discussão / Ipea ; 2584
    Umfang: 1 Online-Ressource (circa 52 Seiten), Illustrationen
  2. Investidores institucionais e o financiamento da infraestrutura - uma estimativa do volume de recurso em potencial para o Brasil
    Autor*in: Rocha, Katia
    Erschienen: abril de 2021
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Brasília

    This study aims to quantify the potential financing estilmates from institutional investors - pension funds, insurance companies, investment funds and sovereign wealth funds - from global (OECD) and domestic markets to infrastructure in Brazil.... mehr

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    This study aims to quantify the potential financing estilmates from institutional investors - pension funds, insurance companies, investment funds and sovereign wealth funds - from global (OECD) and domestic markets to infrastructure in Brazil. Institutional investors are not homogeneous, and have a wide range of objectives, characteristics and structural factors that influence their investment decisions, in addition to regulatory restrictions. The model covers: i) estimation of assets under management, considering structural restrictions on liquidity, size and profile by type of investor, which reduces the current volume by at least 50%; ii) increasing of 2% to 3% in portfolio allocation to infrastructure asset class for the next decade; iii) assets under management growth of 6% pa according to the historical data; and iv) Brazil’s market share of 2.5% from global resources available for infrastructure. The potential financing for Brazil infrastructure from institutional investors corresponds of US$ 9 billion to US$ 17 billion pa in the next decade, equivalent of 0.5% to 0.9% of 2019 GDP. That figure, given the current investment levels of about 2% of GDP, leads to a potential flow of about 3% of GDP, a considerable amount, but still below the target of 4% of GDP (about US$ 70 billion per year). We emphasize that this exercise provides values that are justified only as an estimate of the order of magnitude and should be viewed sparingly and according to the hypotheses considered.

     
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    hdl: 10419/240838
    Schriftenreihe: Texto para discussão / Ipea ; 2644
    Schlagworte: institutional investors; infrastrucuture financing; infrastructure asset class
    Umfang: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  3. O prêmio de risco institucional
    uma análise de empresas em economias desenvolvidas e em desenvolvimento
    Autor*in: Bragança, Gabriel Godofredo Fiuza de; Moreira, Ajax; Rocha, Katia
    Erschienen: setembro de 2019
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    Institutional characteristics of each country acquire increasingly importance in the economic literature of the determinants of growth, investment and risk perception, especially in emerging economies. The objective of this work is to quantitatively... mehr

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    Institutional characteristics of each country acquire increasingly importance in the economic literature of the determinants of growth, investment and risk perception, especially in emerging economies. The objective of this work is to quantitatively assess the impact of institutional quality indicators on the risk premium, i.e., the additional return required by the investor to commit investments in the countries. The article draws on the theoretical premises of the Gordon-Williams' discounted dividend model (DDM) and institutional quality indicators to estimate from a set of 4,763 companies located in 48 countries in the period from 2009 to 2015, the required return for investing in a company. Our main result is that by using a broad set of control variables, increasing the aggregate measure of institution quality reduces the required risk premium for the selected countries, contributing to higher levels of investment.

     
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    hdl: 10419/211459
    Schriftenreihe: Texto para discussão / Ipea ; 2508
    Umfang: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  4. A volatilidade do fluxo de capital para economias emergentes
    o papel da qualidade institucional do governo e do desenvolvimento do sistema financeiro doméstico
    Autor*in: Rocha, Katia; Moreira, Ajax
    Erschienen: 2013
    Verlag:  IPEA, Brasília, DF

    The paper proposes a panel model to the determinants of capital flow volatility to a group of eighteen emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures;... mehr

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    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
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    The paper proposes a panel model to the determinants of capital flow volatility to a group of eighteen emerging market economies (EME) in the period of 2000 to 2011. It studies the robustness of the model regarding different volatility measures; analyses several types of gross capital inflow; focusing the role of government institutional quality and the development of domestic financial system (banks, insurance companies, and capital markets – stocks, bonds and derivatives). The eighteen EME analyzed (Argentina, Brazil, Chile, Colombia, Czech Republic, Hungary, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Thailand, Turkey and Venezuela) represented roughly 95% of the Emerging Markets Bond Index Global (EMBIG) in January 2013, being the biggest destination to international capital flow to EME according to the report of the Bank for International Settlements (BIS, 2009). The main conclusion suggests that a reduction of capital flow volatility can be achieved by the adoption of policies that improve government institutional quality and promote development, stability and efficiency of the domestic financial system.

     
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    Quelle: Verbundkataloge
    Sprache: Portugiesisch
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    Format: Online
    Weitere Identifier:
    hdl: 10419/91456
    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1893
    Umfang: Online-Ressource (28 S.), graph. Darst.
    Bemerkung(en):

    Zsfassung in engl. Sprache
  5. Fatores globais e locais na determinação do fluxo de capital para economias emergentes
    Autor*in: Moreira, Ajax; Rocha, Katia
    Erschienen: 2012
    Verlag:  IPEA, Brasília, DF

    The study analyses, through a panel data model, the determinants of the net capital flow (the net sum of direct investment, portfolio investment, financial derivatives and other investment) and its volatility for a group of nineteen emerging... mehr

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    Ibero-Amerikanisches Institut Preußischer Kulturbesitz, Bibliothek
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    The study analyses, through a panel data model, the determinants of the net capital flow (the net sum of direct investment, portfolio investment, financial derivatives and other investment) and its volatility for a group of nineteen emerging economies in the period of 1980-2011 and suggests a methodology to evaluate the relative importance of push and pull factors. The economies analyzed (Argentina, Brazil, Bulgaria, Chile, Colombia, Hungary, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Turkey, Ukraine, Uruguay and Venezuela) correspond roughly to 95% of the JPMorgan EMBIG at January 2012. The results support economic stability represented by higher economic growth and lower inflation volatility, increase of fiscal austerity, higher governance indicators and increase of capital liberalization. The model explains up to 40% of the variance and volatility of net capital flow to the emerging economies. The importance of push factors as determinant of the variance of capital flow is lower in the recent period where pull factors become more relevant. Nevertheless, push factors, which are outside policy maker’s control, explain most of the fluctuations relative to the volatility of capital flow to emerging economies. Results are robust to a set of different methodology to define capital flow crises periods. -- capital flow ; emerging economies ; financial crisis

     
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    Weitere Identifier:
    hdl: 10419/91466
    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1798
    Umfang: Online-Ressource (31 S.), graph. Darst.
    Bemerkung(en):

    Zsfassung in engl. Sprache
  6. Incentivos regulatórios para investimentos em infraestrutura
    opções reais e a metodologia de indenização de ativos
    Autor*in: Rocha, Katia; Marques, Naielly Lopes
    Erschienen: janeiro de 2023
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Brasília

    This study explores how the design of regulatory incentives proposed by the granting authority has the potential to impact the concessionaire's investment decisions regarding participation in the bidding process, the potential value of grants and the... mehr

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    This study explores how the design of regulatory incentives proposed by the granting authority has the potential to impact the concessionaire's investment decisions regarding participation in the bidding process, the potential value of grants and the request for a re-bidding process or concession devolution. Such incentives intrinsically embody contingent values similar to those of a Real Option. The proposed model analyzes the investment option in a typical concession (call), from which we investigate the impacts of the Lei das Relicitações and the concession devolution (put) under different indemnification methodologies of investments linked to non-depreciated or amortized reversible assets on the behavior of investors (redemption payoff). It is a type of compound option (a call of a put). The results clearly illustrate the tradeoff between the attractiveness of the concession and compensation policy. The adoption of indemnification methodologies that result in higher values - historical cost or new replacement value, to the detriment of fair market value - implies greater incentive to participate in the bidding process, greater potential for grants and better attractiveness of the concession itself. The greater the demand uncertainty, the greater the investor's aversion to participating in the event, requiring high demand to commit to investments, and supporting greater demand frustration before the concession devolution - hysteresis region. By including penalties for the exercise of devolution, the proposed model allows analyzing compensation policies to stimulate the attractiveness of concessions and also discuss ways to discourage opportunistic devolution behavior. The results serve as a point of attention for the public policy maker and regulator, especially in the structuring of projects and analysis of regulatory impacts of unattractive concessions and PPPs - low NPV or with high demand uncertainty, precisely where the real options methodology produces greater impact by leveraging investments. We emphasize that the best design may not be the one that exempts the government, but rather the one that makes the project viable.

     
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    hdl: 10419/284894
    Schriftenreihe: Texto para discussão / Ipea ; 2838
    Schlagworte: concessions and PPPs; Lei das Relicitações; methodologies of calculation on indemnification of investments; real options
    Umfang: 1 Online-Ressource (circa 44 Seiten), Illustrationen
  7. Regulamentação e investimento em termogeração no Brasil
    Autor*in: Moreira, Ajax; Rocha, Katia; David, Pedro A. M.-S.
    Erschienen: 2001
    Verlag:  Serviço Ed., Rio de Janeiro [u.a.]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1389 (822)
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 822
    Schlagworte: Kraftwerk; Privatisierung; Brasilien
    Umfang: 16 S
    Bemerkung(en):

    Zsfassung in engl. Sprache
  8. Participação da termogeração na expansão do sistema elétrico brasileiro
    Autor*in: Moreira, Ajax; Rocha, Katia; David, Pedro A. M.-S.
    Erschienen: 2001
    Verlag:  Serviço Ed., Rio de Janeiro [u.a.]

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1389 (823)
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 823
    Schlagworte: Kraftwerk; Brasilien
    Umfang: 22 S
    Bemerkung(en):

    Zsfassung in engl. Sprache
  9. Determinantes do spread brasileiro
    uma abordagem estrutural
    Autor*in: Rocha, Katia; Moreira, Ajax; Magelhães, Ricardo
    Erschienen: 2002

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 890
    Schlagworte: Zinsstruktur; Brasilien
    Umfang: 14, VII S, graph. Darst
    Bemerkung(en):

    Zsfassung in engl. Sprache
  10. Determinantes do risco Brasil: fundamentos e expectativas - uma abordagem de modelos de risco de crédito
    Autor*in: Moreira, Ajax; Rocha, Katia
    Erschienen: 2003

    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1389 (945)
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 945
    Schlagworte: Zinsstruktur; Brasilien
    Umfang: 19 S, graph. Darst
    Bemerkung(en):

    Zsfassung in engl. Sprache
  11. Regulação do preço da energia elétrica e viabilidade do investimento em geração no Brasil
    Autor*in: Moreira, Ajax; David, Pedro A. M.-S.; Rocha, Katia
    Erschienen: 2003

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 978
    Schlagworte: Strompreis; Preisregulierung; Brasilien
    Umfang: 22 S, graph. Darst
    Bemerkung(en):

    Zsfassung in engl. Sprache

    Internetausg.:http://www.ipea.gov.br/pub/td/2003/td_0978.pdf
  12. The timing of development and the optimal production scale
    a real option approach to oilfield E&P
    Autor*in: Rocha, Katia; Dias, Marco Antônio Guimarães; Teixeira, José Paulo
    Erschienen: 2003

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    W 1389 (981)
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 981
    Schlagworte: Erdölgewinnung; Brasilien
    Umfang: 12 S, graph. Darst
    Bemerkung(en):

    Zsfassung in engl. Sprache

    Internetausg.:http://www.ipea.gov.br/pub/td/2003/td_0981.pdf
  13. Estratégias para o desenvolvimento do mercado de hidrogênio
    o leilão de compra de derivados de hidrogênio verde H2Global
    Autor*in: Siffert, Nelson; Rocha, Katia
    Erschienen: dezembro de 2023
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Brasília

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    hdl: 10419/285393
    Schriftenreihe: Texto para discussão / Ipea ; 2954
    Schlagworte: Grüner Wasserstoff; Derivat; Internet-Auktion; Marktmechanismus; Brasilien
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  14. Instituições e investimentos privados em infraestrutura nas economias emergentes
    Autor*in: Rocha, Katia; Moreira, Ajax; Bragança, Gabriel Godofredo Fiuza de
    Erschienen: agosto de 2018
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    The objective of this study is to analyze the determinants of private investment, especially private participation in infrastructure, focusing on the institutional quality of emerging economies. The emerging economies analyzed (Argentina, Brazil,... mehr

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    The objective of this study is to analyze the determinants of private investment, especially private participation in infrastructure, focusing on the institutional quality of emerging economies. The emerging economies analyzed (Argentina, Brazil, China, Chile, Colombia, India, Indonesia, Malaysia, Mexico, Paraguay, Peru, Philippines, Russia, South Africa, Turkey, Ukraine, Uruguay and Venezuela) accounted for approximately 80% of the EMBIPLUS index and 60% of the EMBIGLOBAL index, reference indexes of the J.P. Morgan bank correspond in August 2016. The results show that most of the institutional variables analyzed, in particular, economic freedom and regulatory quality, actually explain the number of projects and the investment figure with private participation in infrastructure for the group of emerging economies analyzed in the period 1990-2015 even controlling for liquidity and global risk shocks.

     
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    Weitere Identifier:
    hdl: 10419/211352
    Schriftenreihe: Texto para discussão / Ipea ; 2401
    Umfang: 1 Online-Ressource (circa 30 Seiten), Illustrationen
  15. Determinantes do spread brasileiro
    uma abordagem estrutural
    Autor*in: Rocha, Katia; Moreira, Ajax; Magalhães, Ricardo
    Erschienen: junho de 2002
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    The high interest rates offered in Brazil can be seen as a limit for the Brazilian economic growth. This is one of the current major Brazilian debates where political and monetary authorities aim to search the causes of these high yields to suggest... mehr

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    The high interest rates offered in Brazil can be seen as a limit for the Brazilian economic growth. This is one of the current major Brazilian debates where political and monetary authorities aim to search the causes of these high yields to suggest public policies for its reduction. This paper analyses the determinants for the Brazilian spread implicit on C-Bond prices, being the difference of the Brazilian yield and the yield of a risk free Bond. This spread is the risk premium required by the market due to the possibility of default in a future period of time. We employ the structural approach for modeling credit risk, which related the spread to the default probability, that is contingent to the capacity and ability to pay the debt. Macroeconomic indicators are stochastic variables which drive the occurrence of the default event. The results show that: a) the Brazilian spread can be explained by the foreign debt measure, therefore the model suggests a reduction on the foreign debt to reduce the spread level; b) commonly used indicators such as "Foreign Debt/Exportations" or "Importations/Reserves" show significant worse results; c) structural models for the credit risk analysis based on macroeconomic indicators can explain Brazilian sovereign risk, and so the spread level; d) the use of econometric methods is inadequate to explain the spread since it has a non linear relation with the macroeconomic indicators; and e) for the current debt level given by the ratio "Net Foreign Debt/ GNP", each point added increases the spread on 0.25%.

     
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    Schriftenreihe: Texto para discussão / Ipea ; no 890
    Schlagworte: Zinsstruktur; Brasilien
    Umfang: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  16. Participação da termogeração na expansão do sistema elétrico brasileiro
    Autor*in: Moreira, Ajax; Rocha, Katia; David, Pedro A. M.-S.
    Erschienen: setembro de 2001
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    The power system regulation order that the energy dispatch is centralized by a agent - ONS - that should use a stochastic dynamic optimization model that maximize the energy is accumulated in the hydro plants. This model consider only the uncertainty... mehr

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    The power system regulation order that the energy dispatch is centralized by a agent - ONS - that should use a stochastic dynamic optimization model that maximize the energy is accumulated in the hydro plants. This model consider only the uncertainty of water affluence. Our first issue is develop another model that do the same for a simplified system - just one hydro and one termo plant - but considering the uncertainty of demand and of gas price. Our second target is evaluate the relationship between system expansion cost and termo generation participation. Our third target is to measure the effect of operation flexibility of the power plants on then system operation cost. To analyse this questions was developed a dynamic stochastic control model that do the optimal dispatch.

     
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    Format: Online
    Schriftenreihe: Texto para discussão / Ipea ; no 823
    Schlagworte: Kraftwerk; Brasilien
    Umfang: 1 Online-Ressource (circa 27 Seiten)
  17. Regulamentação e investimento em termogeração no Brasil
    Autor*in: Moreira, Ajax; Rocha, Katia; David, Pedro A. M.-S.
    Erschienen: setembro de 2001
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

    The privatization policy for power generation system in Brazil needs that investments on new plants should be profitable. This depends on regulation rules: a) the cost of energy supplied on deficit situation; b) the normative value of energy that is... mehr

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    The privatization policy for power generation system in Brazil needs that investments on new plants should be profitable. This depends on regulation rules: a) the cost of energy supplied on deficit situation; b) the normative value of energy that is the maximum value of energy for long-run contracts; and c) the uncertainty of price of natural gas (in Real). This paper connect parameters rules to the condition to private investment. To analyze this problem we admit that investors are rational, which means that it is represented by real option theory. The stochastic profit of the termogeneration plant that is the asset associated to the investment, depends on energy price on long-run contracts and on spot market price. This considering that energy dispatch is centralized due regulations rules.

     
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    Schriftenreihe: Texto para discussão / Ipea ; no 822
    Schlagworte: Kraftwerk; Privatisierung; Brasilien
    Umfang: 1 Online-Ressource (circa 21 Seiten)
  18. Do ranking das distribuidoras ao risco de crédito no pool
    a remuneração dos investimentos em geração eléctrica no Brasil
    Autor*in: Rocha, Katia; García, Francisco Augusto Alcaraz
    Erschienen: 2005

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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1086
    Schlagworte: Elektrizitätswirtschaft; Regulierung; Brasilien
    Umfang: 22, VI S, graph. Darst
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  19. A taxa de remuneração do capital e a nova regulação das telecomunicações
    Autor*in: Bragança, Gabriel Godofredo Fiuza de; Rocha, Katia; Camacho, Fernando
    Erschienen: 2006

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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1160
    Schlagworte: Telekommunikationspolitik; Regulierung; Rendite; Brasilien
    Umfang: 35 S., graph. Darst.
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  20. Incertezas, opções reais e a nova orientação regulatória das operadoras de telefonia fixa brasileira
    o mark-up sobre o custo de capital
    Autor*in: Bragança, Gabriel Godofredo Fiuza de; Rocha, Katia; Moreira, Rafael Henrique Rodrigues
    Erschienen: July 2007
    Verlag:  Instituto de Pesquisa Econômica Aplicada, Rio de Janeiro

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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1294
    Schlagworte: Telekommunikationsnetz; Realoptionsansatz; Brasilien
    Umfang: Online-Ressource, 27 S., Text, graph. Darst.
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  21. Custo de capital das concessionárias de distribuição de energia elétrica no processo de revisão tarifária
    2007 - 2009
    Autor*in: Rocha, Katia; Camacho, Fernando; Bragança, Gabriel Godofredo Fiuza de
    Erschienen: 2006

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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1174
    Schlagworte: Strompreis; Rendite; Kapitalkosten; Brasilien
    Umfang: 31, VII S., graph. Darst.
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    Zsfassung in engl. Sprache
  22. Remuneração de capital das distribuidoras de energia elétrica
    uma análise comparativa
    Autor*in: Rocha, Katia; Bragança, Gabriel Godofredo Fiuza de; Camacho, Fernando
    Erschienen: 2006

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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1153
    Schlagworte: Elektrizitätswirtschaft; Rendite; Brasilien
    Umfang: 22 S., graph. Darst.
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    Zsfassung in engl. Sprache
  23. Desoneração fiscal de não residentes e a estrutura a termo da taxa de juros
    efeito da medida provisória no. 281/2006
    Autor*in: Rocha, Katia; Moreira, Ajax
    Erschienen: 2009
    Verlag:  Inst. de Pesquisa Econômica Aplicada, Rio de Janeiro

    This study analyzes the effect of the Provisional Measure 281, published at 16/02/2006 and converted in the Law no 11.312, at 27/06/2006, which reduced to zero the income tax of federal bonds achieved by non-residents, over the Brazilian term... mehr

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    This study analyzes the effect of the Provisional Measure 281, published at 16/02/2006 and converted in the Law no 11.312, at 27/06/2006, which reduced to zero the income tax of federal bonds achieved by non-residents, over the Brazilian term structure of interest rate. We used the daily indicative yield rate provided by Andima from fixed (LTN and NTN-F) and floating (NTN-B) bonds, as well as the respective duration in the period of January 2005 to December 2007. The methodology approximates the term structure by linear combinations of the Laguerre and Legendre polynomials and uses several specification models and controlling variables to isolate the effect of the Provisional Measure over the term structure evolution. The findings show that one cannot reject the effect resulting from the fiscal tax reduction. Statistically significant and robust results indicate a decrease of 150 basis point in the short-term interest, and an unexpected increase of similar figure in the long-term interest, possible explained by changes in the supply of the federal government bonds.

     
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1449
    Umfang: Online-Ressource (20 S.), graph. Darst.
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    Zsfassung in engl. Sprache
  24. O impacto da política fiscal nos spreads soberanos
    a austeridade fiscal e a qualidade do ajuste
    Autor*in: Rocha, Katia; Moreira, Ajax
    Erschienen: 2009
    Verlag:  Inst. de Pesquisa Econômica Aplicada, Brasília

    The objective of this paper is to analyze the role of fiscal policy in the determinants of the sovereign spreads of a group of 23 emerging market countries in the period 1995-2008 focusing on two matters: i) fiscal policy sustainability, known as the... mehr

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    The objective of this paper is to analyze the role of fiscal policy in the determinants of the sovereign spreads of a group of 23 emerging market countries in the period 1995-2008 focusing on two matters: i) fiscal policy sustainability, known as the accumulation of primary budget surplus, that keeps the debt-to-gdp ratio constant, and ii) the quality of fiscal adjustment, understand as the composition of the primary budget surplus. The paper expands and deals with some limitations in the model proposed by Favero and Giavazzi (2004) to the Brazilian case, and incorporates the debate proposed by Akitoby and Stratmann (2006) regarding the importance of the fiscal policy sustainability as well as the quality of fiscal adjustment in the term premia of sovereign spreads. The results are robust to several model`s specifications, by using instrumental variables, and either one of two different database of fiscal variables. The estimates are significant and with the expected signal, i.e., the higher the fiscal sustainability, the less the debt-to-gdp ratio, the less the market risk aversion, the so-called Type I adjustment (expenditure-based mainly on current expenditures) in detriment of the Type II (tax increase and cuts in public spending), the higher the spread reduction. The paper evidence that once accounted for international financial shocks, fiscal policy sustainability plays a relevant role in determining the sovereign spreads of emerging markets besides contribute as an effective public policy that potentially mitigates spillover effects.

     
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1422
    Umfang: Online-Ressource (18 S.)
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    Zsfassung in engl. Sprache
  25. Fatores globais e locais na determinação do fluxo de capital para economias emergentes
    Autor*in: Moreira, Ajax; Rocha, Katia
    Erschienen: 2012
    Verlag:  IPEA, Brasília, DF

    The study analyses, through a panel data model, the determinants of the net capital flow (the net sum of direct investment, portfolio investment, financial derivatives and other investment) and its volatility for a group of nineteen emerging... mehr

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    The study analyses, through a panel data model, the determinants of the net capital flow (the net sum of direct investment, portfolio investment, financial derivatives and other investment) and its volatility for a group of nineteen emerging economies in the period of 1980-2011 and suggests a methodology to evaluate the relative importance of push and pull factors. The economies analyzed (Argentina, Brazil, Bulgaria, Chile, Colombia, Hungary, India, Indonesia, Malaysia, Mexico, Peru, Philippines, Poland, Russia, South Africa, Turkey, Ukraine, Uruguay and Venezuela) correspond roughly to 95% of the JPMorgan EMBIG at January 2012. The results support economic stability represented by higher economic growth and lower inflation volatility, increase of fiscal austerity, higher governance indicators and increase of capital liberalization. The model explains up to 40% of the variance and volatility of net capital flow to the emerging economies. The importance of push factors as determinant of the variance of capital flow is lower in the recent period where pull factors become more relevant. Nevertheless, push factors, which are outside policy maker’s control, explain most of the fluctuations relative to the volatility of capital flow to emerging economies. Results are robust to a set of different methodology to define capital flow crises periods. -- capital flow ; emerging economies ; financial crisis

     
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    Schriftenreihe: Texto para discussão / Instituto de Pesquisa Econômica Aplicada ; 1798
    Umfang: Online-Ressource (31 S.), graph. Darst.
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    Zsfassung in engl. Sprache