No abstract

No abstract

This paper reports the development and estimation of a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, this work was carried out as a case study, where the chosen company is Petrobras S/A. The methodology comprises correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, in addition to impulse response and variance decomposition methods. Besides the endogenous financial statement variables, an exogenous variable vector was utilized including the Brazilian GDP, domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The model's final version is a Vector Error Correction Model (VECM), which takes into account the cointegrating relationships among the endogenous variables. After estimation and validation, the model is used to forecast the firm's financial statements. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firm's market value. The results are apparently robust and might contribute to the field of financial planning and forecasting.

We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR models, and Granger causality tests. We find support for a contemporaneous as well as a dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and trading volume also exist. Additionally, by applying Granger's causality test, we find that return volatility contains information about upcoming trading volume and vice versa.

This paper studies the links between competition in the lending market and spreads of bank loans in Brazil. Evidence from a dataset of more than 13 million loan-level observations from private banks shows a positive relationship between market power, measured by the Lerner Index, and the cost of finance, measured by spreads over the treasury curve. Furthermore, there is evidence of the holdup problem, originated from informational switching costs faced by firms. Private banks engage in a strategy of first competing fiercely for clients by offering a lower loan interest rate and later increasing interest rates as the bank-firm relationship duration increases. Both results are stronger for micro and small firms than for medium and large firms.