Brazilian Review of Finance最新文献

{"title":"Comment on: “Why is bank credit in Brazil the most expensive in the world?”","authors":"Klenio Barbosa","doi":"10.12660/rbfin.v18n4.2020.82746","DOIUrl":"https://doi.org/10.12660/rbfin.v18n4.2020.82746","url":null,"abstract":"The paper entitled “Why is bank credit in Brazil the most expensive in the world?” makes a fascinating review of the scientific literature about the determinants of credit spreads in Brazil. Lending rates in Brazil are known for being strikingly high for more than two decades and economists have been struggling to have a good understanding of the main drivers of the high spread between deposit and lending rates in the country The paper starts by presenting a fair description of the evolution of the Brazilian credit market since the end of the hyperinflation period (mid-1990s), which includes the evolution of the lending and deposit rates and total credit to the private sector over that period. Further, the paper discusses the continuous rise in bank asset concentration in Brazil since the mid-1990s and traces the evolution of Brazilian bank’s regulatory capital and liquidity ratios. From that, the authors suggest that higher concentration is part of a well-defined strategy of the Central Bank of Brazil to favor financial prudence over efficiency. In the last part of the paper, the authors summarize the empirical studies in the literature which show that market structure, credit risk, market concentration, and earned credit explain credit spreads in Brazil. In this short comment, I bring new ingredients to the debate on the causes of the high cost of credit in Brazilian economy, highlighting the importance of looking at proxies for bank conduct in the credit market, rather than concentration, and also at indicators of recovery rates for bank loans to access, respectively, competition and credit risk in the Brazilian credit market. First, the paper suggests there is a relationship between high lending rates in the Brazilian markets and the high concentration in the banking sector in Brazil. Indeed, concentration ratios capture structural features of a market, and are often used in structural models to explain competitive performance in the banking industry as the result of market structure. For instance, Bain (1956) shows that the Herfindahl-Hirschman Index (HHI), a common measure of market concentration, is positively related to the rate of profit in the industry. Nevertheless, it should be noted that a measure of concentration does not warrant conclusions about the competitive performance in a particular market. Even in a highly concentrated market, competitive behavior","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134433444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Why is bank credit in Brazil the most expensive in the world?","authors":"Rodrigo Zeidan","doi":"10.12660/rbfin.v18n4.2020.81507","DOIUrl":"https://doi.org/10.12660/rbfin.v18n4.2020.81507","url":null,"abstract":"The article reviews the scientific literature about the determinants of credit spreads in Brazil. Econometric evidence shows that market concentration, a proxy for (un)competitive behavior, is statistically significant for all studies surveyed. We posit that that higher concentration is part of a well-defined strategy by the Central Bank of Brazil that favors prudence over efficiency. Other variables that help explain why spread in Brazil is among the highest in the world include market microstructure, operating costs, credit risk, opportunity costs, managerial quality, nominal interest rates (SELIC), market concentration, interest rate volatility, earmarked credit, and GDP.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115361166","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Reply to “Comment on: ‘Why is bank credit in Brazil the most expensive in the world?”’","authors":"Conrado Abreu, Rodrigo Zeidan","doi":"10.12660/rbfin.v18n4.2020.82747","DOIUrl":"https://doi.org/10.12660/rbfin.v18n4.2020.82747","url":null,"abstract":"To explore these arguments and improve the context of the discussion of low creditor rights in the original article, we run a series of interviews with market agents of the Brazilian lending industry, including employees of commercial banks, fintechs’ entrepreneurs and a former banker. Low creditor protection is included in the original manuscript, illustrated by a figure that contrasts the strength of creditors’ legal rights (replicated here as Figure 1), but it is true that the referred articles in the original study do not explicitly include low creditor’s protection as a dependent variable (in the original manuscript, we ponder that this is most likely due to the lack of data). But first, let us delve into the reasons for which market concentration is a fundamental determinant of the extremely high interest rates in Brazil, even though concentration is just a proxy for competition. Let us consider the counterfactual: market concentration would not contribute to higher interest rates only if, as Barbosa (2020) points out, we observe competitive behavior between the leading banks. Yet, price competition is almost unobserved in the Brazilian credit markets, either anecdotally or empirically. After all, that is what most authors cited in the original article are trying to test: what","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129085513","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A Bayesian nonparametric approach to option pricing","authors":"Zhang Qin, Caio Almeida","doi":"10.12660/rbfin.v18n4.2020.81913","DOIUrl":"https://doi.org/10.12660/rbfin.v18n4.2020.81913","url":null,"abstract":"Accurately modeling the implied volatility surface is of great importance to option pricing, trading and hedging. In this paper, we investigate the use of a Bayesian nonparametric approach to fit and forecast the implied volatility surface with observed market data. More specifically, we explore Gaussian Processes with different kernel functions characterizing general covariance functions. We also obtain posterior distributions of the implied volatility and build confidence intervals for the predictions to assess potential model uncertainty. We apply our approach to market data on the S&P 500 index option market in 2018, analyzing 322,983 options. Our results suggest that the Bayesian approach is a powerful alternative to existing parametric pricing models.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114770996","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Previsão de volatilidade a tempo discreto: Uma abordagem via regressão quantílica","authors":"Víctor Henriques de Oliveira, E. Horta","doi":"10.12660/RBFIN.V18N4.2020.81398","DOIUrl":"https://doi.org/10.12660/RBFIN.V18N4.2020.81398","url":null,"abstract":"I propose the Heterogeneous Quantile Autoregressive Distributed Lag Realized Volatility, with Jumps and Leverage Effect (HQADL-RV-JL). The specification incorporates the main stylized volatility facts, falling into HAR model class under the Quantile Regression framework. This approach allows for the flexibility of autoregressive coefficients across the quantiles, where each regressor may have an impact on scale, location and shape of conditional response distribution. The model was estimated on an equally spaced grid spanning 91 quantile levels between 0.05 and 0.95, using S&P500 index high-frequency returns. The results shows that the estimates of continuous volatility components are highly significant across the quantile levels, considering the daily, weekly and monthly frequencies. Furthermore, the daily and weekly coefficients for the jumps and leverage components were significant for almost all quantile levels, highlighting not only the adequacy of both asymmetric effects concerning their adjustments to this semiparametric specification, but also its importance for future volatility of returns. Regarding its performance, the results suggests that median forecast of the propose model is as good as the conditional mean prediction of Corsi e Renò (2012) specification in the medium and long term. Lastly, it was also performed the volatility density forecast for the last four days of the sample. The distributional aspects of the predicted densities exhibit asymmetries to a certain degree, taking the form of a bimodal distribution.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"51 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-11-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132374401","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Hedging the Brazilian stock index in the era of low interest rates: What has changed?","authors":"F. Aiube, Winicius Botelho Faquieri","doi":"10.12660/rbfin.v18n3.2020.81625","DOIUrl":"https://doi.org/10.12660/rbfin.v18n3.2020.81625","url":null,"abstract":"In this paper we analyze the ability of different asset classes to hedge the Brazilian stock index in periods of high and low interest rates in the Brazilian economy, using two multivariate GARCH models. Our analysis includes two categories of assets: those traded in domestic currency and those traded in U.S. dollars. From the perspective of a local investor, we find that the exchange rate (R$/US$) and gold are the assets least correlated with equities. From the standpoint of a foreign investor, commodity index and fixed-income assets are the most useful. These results prevail in the low- and high-interest-rate periods. Moreover, in the period of low interest rates, the standard deviation of the estimated conditional correlation time series decreases, suggesting that in this period investors are more confident about macroeconomic policies.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"55 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121814210","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Previsão de value-at-risk para o mercado de criptomoedas usando modelos EGARCH com regimes markovianos","authors":"P. Marschner, P. S. Ceretta","doi":"10.12660/rbfin.v18n3.2020.81186","DOIUrl":"https://doi.org/10.12660/rbfin.v18n3.2020.81186","url":null,"abstract":"This study aims to understand the volatile behavior of six highly representative cryptocurrencies. To do so, EGARCH and Markov-switching EGARCH models were estimated, combined with different distributions of statistical probability. The predictive capacity of the best models resulting from these combinations were tested by predicting the value-at-risk. The daily returns of the cryptocurrencies clearly show regime changes in their volatility dynamics. In the in-sample analysis, the regime change model confirms the existence of two states: the first characterized by a greater ARCH effect and less affected by asymmetries, while the second reveals a greater effect of the arrival of information, that is, it is more sensitive to asymmetric shocks. In the out-of-sample analysis, the value-at-risk predictions of the regime change model clearly exceed the single-regime model by the extreme quantile of 1%.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"203 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134308976","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Relações entre índices preço-lucro e retornos dos títulos públicos","authors":"D. Amorim, M. A. Camargos","doi":"10.12660/rbfin.v18n3.2020.81644","DOIUrl":"https://doi.org/10.12660/rbfin.v18n3.2020.81644","url":null,"abstract":"The ratios P/E1 and P/E10 or the cyclically adjusted price-to-earnings ratio are widely disseminated in the literature based on the U.S. stock market. This paper develops a method to construct P/E ratios for the Brazilian stock market. The purpose of this paper is to analyze the long-term relationships between both P/E1 and P/E10 and interest rates corresponding to the returns of treasury bonds, in order to test the Fed Model. In general, the period considered was from December 2004 to June 2018. Autoregressive distributed lags models were estimated, which can be represented as conditional error correction models. Results show significant long-term relationships between both P/E1 and P/E10 and the relevant interest rates, suggesting that the Fed Model is in line with the behavior of the Brazilian financial market.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132465816","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"É possível viver de day-trade em ações?","authors":"Fernando Chague, Bruno Giovannetti","doi":"10.12660/rbfin.v18n3.2020.81949","DOIUrl":"https://doi.org/10.12660/rbfin.v18n3.2020.81949","url":null,"abstract":"The number of individuals trying to day-trade for a living has been increasing worldwide. In this note, we study the performance of all 98,378 individuals who started to day-trade stocks in Brazil between 2013 and 2016. After analyzing all their daytrades in stocks from 2013 to 2018, we find that only 127 individuals presented an average daily gross profit higher than R$ 100 for more than 300 days.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"58 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132083741","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Gestão de carteiras sob múltiplos regimes: Performance fora da amostra","authors":"Marcelo Lewin, Carlos Heitor Campani","doi":"10.12660/rbfin.v18n3.2020.81210","DOIUrl":"https://doi.org/10.12660/rbfin.v18n3.2020.81210","url":null,"abstract":"We propose a dynamic allocation strategy for an investor which considers three unobservable economic regimes, which we estimate using returns on five Brazilian asset classes. The strategy is based on an approximate analytical solution of a realistic configuration of the economy. The out-of-sample performance exceeds those of every benchmark we consider in 6 out of 10 years, with a weekly average return significantly higher than any benchmark at the usual confidence levels. From 2010 to 2019, our strategy achieves an average return of 21.6% per annum against, for example, 9.8% p.a. of the CDI and 4.7% p.a. of the Ibovespa. In particular, a comparative analysis makes clear how important it is to include multiple regimes in portfolio allocation.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"567 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130768190","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}