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Master's Dissertation
DOI
10.11606/D.18.2017.tde-13022017-102359
Document
Author
Full name
Ennio Politi Lopes
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2016
Supervisor
Committee
Kalatzis, Aquiles Elie Guimarães (President)
Laurini, Márcio Poletti
Sartoris Neto, Alexandre
Title in Portuguese
Alastramento de risco do setor financeiro para a economia real e a relação com a restrição financeira nas decisões de investimento da firma
Keywords in Portuguese
Alastramento de risco
Contágio financeiro
Decisões de investimento
Restrição financeira
Abstract in Portuguese
Considerando a importância dos fatores financeiros nas decisões de investimento e as restrições financeiras das firmas, os intermediários financeiros mostram-se como importantes provedores de fonte de recursos para a viabilização dos investimentos. Devido a esta ligação, um possível canal de transmissão no qual o setor financeiro afeta o crescimento e risco das empresas ocorre pela dependência de recursos financeiros externos, portanto, o risco e retorno das firmas devem ser afetados pelas dificuldades das entidades financeiras. Atentando a esta circunstância o objetivo deste estudo é de verificar na economia brasileira os efeitos do alastramento de risco do setor financeiro para a economia real nas decisões de investimentos das firmas, as quais perpassam por conjunturas de restrição financeira. Para atingir tal objetivo utiliza-se informações financeiras e retorno das ações das empresas de capital aberto no Brasil no período de 1997 a 2015. O alastramento do risco do retorno é estimado por um processo VAR-GARCH, e o contágio financeiro pelo indicador de co-excessos condicionais. Essas variáveis são inseridas em um modelo neoclássico acelerador de investimento modificado, para um grupo de firmas restritas e outro de não restritas, classificadas pelos índices KZ e WW. A estimação do modelo de investimento é realizada pelo GMM system e os resultados mostram que o nível do alastramento do risco do setor financeiro para as firmas impacta negativamente nas taxas de investimento das empresas restritas tanto pelo índice KZ, quanto pelo WW. O estudo amplia a literatura nacional utilizando um enfoque microeconômico do alastramento do risco e dos co-excessos condicionais e abordando a questão do alastramento do risco no modelo de investimento.
Title in English
Risk spillover from the financial sector to the real economy and the relationship with the financial constraint on firm's investment decisions
Keywords in English
Financial constraints
Financial contagion
Investment decisions
Risk spillover
Abstract in English
Considering the importance of financial factors and financial constraints in firm's investment decisions, financial sector show up as important source of funds providers to the viability of industry investments. Because of this connection, a possible transmission channel in which the financial intermediaries affect firm's growth and risk is from the dependence on external financial funds, so the risk and return of firms should be affected by the difficulties and vagaries of financial sector. In accordance to this circumstance this study aim's to verify the effects of the financial sector risk spillover and contagion to the real economy in constrained, and unconstrained, firms' investment decisions. To achieve this goal, we use financial data and stock returns of publicly traded companies in Brazil from 1997 to 2015. The risk spillover is estimated by a VAR-GARCH process, and financial contagion by an index called conditional co-exceedance. These variables are included in a modified neoclassical accelerator model of investment, splitting the observations into groups of constrained and unconstrained firms, classified by KZ and WW indexes. The estimation of the investment model is performed by GMM system, and the results show that the level of financial sector risk spillover negatively impact investment rates of constrained companies, both by the KZ and WW segregations. This study contributes to the national literature using a microeconomic approach to the risk spillover and conditional co-exceedances addressing it to the investment model.
 
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Publishing Date
2017-02-16
 
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