Browsing by Author "Souza, F. M."
Now showing 1 - 10 of 14
Results Per Page
Sort Options
- Alavancagem de marca: um estudo de casoPublication . Ramser, Claudia Aline de Souza; Strassburger, Vinícius; Antonello, Nádya Regina Bilibio; Marasca, Letícia; Da Rosa, Camila Caponi da Rosa; Bezerra, Antonio Marcos; Lopes, Luis Felipe Dias; Souza, F. M.O trabalho foi realizado em uma empresa denominada Alfa, indústria farmacêutica e de produtos naturais, localizada na Região Noroeste do Estado do Rio Grande do Sul. O objetivo geral do trabalho é a captação de recursos e investimentos financeiros dos atuais e principais distribuidores da referida empresaa fim de alavancar a marca no cenário nacional, sem onerá-la diretamente e postergar o investimento a longo prazo. Nesse caso a marca foi muito divulgada em cenário nacional, com o investimento sendo absorvido pelos distribuidores e com benefício de colocar 6.400 unidades de um produto da empresa no mercado. A metodologia do presente trabalho, quanto aos fins, é descritiva, explicativa e aplicada. Quanto aos meios, o trabalho é bibliográfico, pesquisa de campo e estudo de caso. Optou-se pela aplicação de questionários entre os principais distribuidores da empresa, sendo pesquisa quantitativa. Nesse trabalho, optou-se pela amostragem não probabilística por tipicidade. Os sujeitos da pesquisa foram os sócios proprietários das distribuidoras. O resultado do trabalho foi extremamente gratificante, pois se teve propagação da marca em cenário nacional, a colocação de produtos em diversos estados brasileiros e investimentos financeiros realizados diretamente pelos distribuidores, obtendo-se um lucro significativo sobre a venda.
- Applications Residual Control Charts Based on Variable LimitsPublication . Souza, F. M.; Souza, A.M.; Zanini, R.R.; REICHERT, B.; LIMA JUNIOR, A. V.; Souza, F. M.The main purpose of this paper is to verify the stability of a productive process in the presence of the effects of autocorrelation and volatility, in order to capture these characteristics by a joint forecast model which produces residuals that are evaluated by a control chart based on variable control limits. The methodology employed will be the joint estimation of the residuals by ARIMA – ARCH models and the conditional standard deviation from residuals to establish the chart control limits. The joint AR (1)-ARCH (1) model shows that an appropriate forecasting model brings a great contribution to the performance of residual control charts in monitoring the stability of industrial variables using just one chart to monitor mean and variance together.
- Asymmetric Movements between the US and Hong-Kong Stock Market Price IndicesPublication . Souza, F. M.; Jacobi, Luciane Flores; Zanini, Roselaine Ruviaro; Souza, Adriano MendonçaIn the financial field, we are often faced with data that are somewhat non-linear. Thus, this research investigates the asymmetric behavior of the series through the Threshold Autoregressive and Momentum Threshold asymmetry tests between price index using diary data between of the total price index of actions in stock markets of United States of America (S&P500) and Hong Kong (HANG SENG), from January 2, 1995 to March 29, 2013. With the empirical analysis it was possible to see the asymmetry in the series analysed through the TAR and M-TAR models. These oscillations demonstrate that behaviors are distinct in contractions and expansions.
- Econometric modelling of time series applied in the generation of subsidies in the milk production chain in Rio Grande do SulPublication . Souza, F. M.; Paula, Brunna Aver De; Baggio, Daniel Knebel; Brum, Argemiro Luis; Sausen, Juliana da Fonseca Capssa LimaThe purpose of this article is to make short-term forecasting using the methodology Box & Jenkins, the Johansen method and the Granger causality, and the impulse-response function between variables price and milk production in Rio Grande do Sul’s market. The monthly price series of milk and its production in Rio Grande do Sul were analysed, in the period from January 1995 to December 2017. The model that suits best, for forecasts, the data of the series of the milk price paid to the producer was an ARIMA (1, 1, 1) and production was SARIMA (1, 1, 1) (1, 1, 1)6, which provided reasonable estimates of forecasts for the months from February to July of 2017. The use of Johansen methodologies identifies the existence of the one cointegration vector and a long-term equilibrium relation between variables price and production of the milk. When we analyse Granger's causality, the results point to a two-way relationship, that is, prices influence milk production and vice versa. The analysis of the impulse-response function showed that the shocks present significant impacts between production and cost, both in terms of duration and intensity
- Fossil fuels consumption and carbon dioxide emissions in G7 countries: empirical evidence from ARDL bounds testing approachPublication . Martins, T.; Barreto, A.C.; Souza, F. M.; Souza, A.M.This research determines the intertemporal relationships caused by the coal, oil, and natural gas consumption in the carbon dioxide emission by the G7 countries from 1965 to 2018. Auto-regressive and Distributed Lags models and Bound test were used to detect cointegration and understand the dynamic effect. Due to structural breaks occurred in the variables, two dummy variables for the periods of breaks, 1978 and 1990 were incorporated respectively. Positive causality was identified, in the sense that the consumption of fossil fuels provides an increase in carbon dioxide emissions. Short-term elasticities indicate that an increase of 1 percentage point in the consumption of oil, coal, and natural gas will cause, respectively, an increase of 0.4823%, 0.3140%, and 0.1717% in carbon dioxide emissions. In the long run, the increase of 1 percentage point in the consumption of oil, coal, and natural gas will cause, respectively, an increase of 0.4924%, 0.2692%, and 0.1829% in carbon dioxide emissions. The error correction model (ECM = −0.4739) indicates that 47.39% of a shock in the carbon dioxide emissions variable is resolved in one year and after 2 years, carbon dioxide emissions return to long term equilibrium.
- Influência dos fundos de investimento na formação das cotações do milho na Bolsa de Cereais de ChicagoPublication . Brum, Argemiro Luís; Baggio, Daniel Knebel; Souza, F. M.; Batista, Guilherme; Schneider, Isoé NícolasEste artigo buscou detectar a influência do posicionamento dos fundos de investimento junto ao mercado de commodities a partir do comportamento das negociações do milho na Bolsa de Cereais de Chicago (CBOT). Respondendo assim ao problema: qual a dimensão da influência dos fundos de investimento na formação das cotações do milho na CBOT? O objetivo foi verificar, dentro do período de 2006 a 2009, quanto a atuação destes fundos interfere na formação dos preços do cereal, pois as cotações em Chicago servem de balizador à formação dos preços do cereal no mercado físico mundial e no brasileiro em particular, impactando assim no desenvolvimento regional. A metodologia adotada foi análise inferencial dos dados, a partir de análises de correlação e de regressão múltipla, usando-se o coeficiente de correlação de Pearson (r); o coeficiente de determinação R2; e o coeficiente de determinação ajustado, além de análise de regressão a partir da estimação stepwise. Nos resultados obtidos destaca-se que, ao analisar somente posições dos especuladores, fundos de investimentos e pequenos investidores, sem a presença dos investidores comerciais, 45,3% da formação do preço futuro do milho pode ser explicado pela negociação desses grupos, onde a participação dos fundos de investimento é significativa.
- Influência dos fundos de investimentos na formação do preço da soja na Bolsa de Cereais de ChicagoPublication . Brum, Argemiro Luis; Baggio, Daniel Knebel; Schneider, Isoé Nicolas; Souza, F. M.; Knebel, Eduardo Luis Goulart; Silva, Karla Leticia Morais da
- influência dos fundos de investimentos na formação do preço do trigo na Bolsa de Cereais de ChicagoPublication . Brum, Argemiro Luís; Baggio, Daniel Knebel; Souza, F. M.; Silveira, Daniel Claudy da
- Smooth transition regression models: theory and applications in JMultiPublication . Menezes, Rui; Ferreira, Nuno; Souza, Adriano Mendonça; Souza, F. M.This tutorial aims to analyze nonlinear models of Smooth Transition Regression with JMulTi and contribute to the understanding of STR specification, from the estimation until the evaluation cycle of these models. It provides pedagogical explanations, combining theoretical concepts and empirical results coherently. Especially in economic relationships, where an asymmetric behaviour with distinct effects is often found on contractions and expansions. As economic series generally present asymmetric/nonlinear behaviour, Smooth Transition Regression (STR) models provide a flexible empirical strategy that allows capturing the impacts of possible types of asymmetry in the data, Souza (2016).An overview of theory and applications in software is described. These nonlinear models describe in-sample movements of the stock returns series better than the corresponding linear model. The data used in this study consist of daily prices index from January 02, 1995 to March 29, 2013, a total of 4761 observations, from Germany (DAX30). The data was collected from the DataStream database considering 5 days a week. The data (price index) is converted to base 100 and the yields are then calculated based on the first differences in the log price series. 10-year interest rates treasury bond regarding the same markets identified has also been collected for the same period.
- Spillover effects in the presence of structural breaks, persistence and conditioned heteroscedasticityPublication . Souza, F. M.; Ramser, Claudia Aline De Souza; Souza, Adriano Mendonça; Veiga, Claudimar Pereira DaThe intention of this article is to develop an instrument to overcome the limitations caused by traditional analyses and present a combined STR — Smooth Transition Regression model (EGARCH, STRIGARCH, and STR-FIEGARCH) to analyze the contagion effects of the 2008 financial crisis. The proposed instrument will aid the analysis of contagion and the impact of changes in long-term interest rates on the returns of international stock indices and forecasting, with special emphasis on the effects caused by structural breaks, persistence, and conditioned heteroscedasticity. The methodology begins with unit root tests with one and two structural breaks. In the second step, the asymmetry will be analyzed considering the STR models, which will determine the asymmetry relationship between interest rates and the long term, so that in a later step, these asymmetries will be used in the composition of a volatility estimation model, being based on the ARCH models: (i) EGARCH and (ii) FIEGARCH. This study provides a useful instrument based on modeling techniques to make the decision-making process more efficient and objective, providing a choice of instruments that assess the effect of changes in interest rates on stock market indices when influenced by falls, with structural data and better forecasting performance. The results show that the developed mixture models obtained better performance in predicting the effect or impact of changes in interest rates on stock market indices when influenced by structural breaks. STR and the ARCH family are useful instruments that make the decision-making process clearer and more objective when choosing instruments that assess the spillover effect of long-term interest rates on the profitability of international financial indices.