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- The effects of shocks on the dismissal in the electro-electronics sector: evidence from BrazilPublication . Ueda, Renan Mitsuo; Souza, Adriano Mendonça; Silva, Wesley Vieira Da; Veiga, Claudimar Pereira Da; Souza, F. M.his research aims to investigate the short and long-term relationship between the number of dismissals in the Brazilian electro-electronics sector and the macroeconomic variables: gross domestic product, Brazil's total exports, monthly average of the dollar quotation and the broad national consumer index, from May 2003 to September 2018. To verify the interrelationship between the variables, we used the vector autoregressive (VAR) models and vector error correction (VEC). The analysis of the impulse response function and the variance decomposition helped to understand the dynamics of the electro-electronics industry, showing that in the long-term, part of the variance of the sector's dismissal (28.64%) is explained by the broad national consumer index. Abrupt changes in the analysed macroeconomic variables cause fluctuations in the number of dismissals in the Brazilian electro-electronic sector for approximately four to seven months.
- 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
- 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.
- 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.
- 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.
- 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.
- 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.
- The establishment of soybean price and its interrelation with the prices of its derivatives: soybean meal and soybean oilPublication . Batista, Guilherme; Argemiro, Luis Brum; Baggio, Daniel Knebel; Souza, F. M.The theme of this article is to analyze the influence of soy prices on its two main derivatives, soybean meal and soybean oil, and the other way around. For doing so, we used Johansen method, Granger causality tests and the impulse-response function among the three studied variables. Among the main results obtained, connections were found between the establishment of the future price and the three studied variables. It should be noted that the impacts on price fluctuation of soybean oil and meal may not be immediate on the price of soy. It might extend over a certain period, so that this change in soy price will be seen in the future, resulting from past oscillations in the two other variables.