1. Previsões Financeiras Para o Agronegócio Relacionadas às Variáveis Macroeconômicas
- Author
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Daniel Christian Henrique and João Carlos Prats Ramos
- Subjects
Agricultural science ,Granger causality ,biology ,General Engineering ,Economics ,Conta ,SELIC ,biology.organism_classification ,Agribusiness - Abstract
Neste estudo foi pesquisada a relacao das series temporais macroeconomicas de Taxa de Câmbio R$/US$, Produto Interno Bruto do Agronegocio, Volume de Exportacao do Agronegocio, Taxa Selic e Indice de Confianca do Empresario Industrial (ICEI) com as series temporais dos indicadores de retorno ROA e ROE, assim como com as series das receitas liquidas e lucros liquidos dos demonstrativos financeiros das empresas de capital aberto da B3 dos segmentos da agricultura, acucar e alcool, carnes e derivados e alimentos processados, totalizando 19 series temporais para cada indicador ou conta do DRE - agrupadas em medias para representarem o setor do agronegocio brasileiro. Estimou-se essa relacao atraves do uso da metodologia de Vetores Autorregressivos (VAR), com realizacao de testes de Causalidade de Granger para identificar as relacoes defasadas e as Funcoes Impulso Resposta (FIR) para predizer a receita, lucratividade e rentabilidade do setor quanto ao tempo de resposta futura apos choque de 1 desvio-padrao nos residuos das variaveis macroeconomicas, assim como inspecao visual da forca de impacto. As series temporais foram todas passadas para a periodicidade trimestral, iniciando no primeiro trimestre de 2010 ate o terceiro trimestre de 2020. Os indicadores de rentabilidade e contas de lucratividade e receitas liquidas foram coletados no Economatica (2021) e as variaveis macroeconomicas, por sua vez, no Bacen (2020), Ipeadata (2020) e Cepea/Esalq/Usp (2020). Palavras-chave: Series Temporais. Financas Corporativas. Variaveis Macroeconomicas. Agronegocio. Vetor Autorregressivo. SUMMARY In this study, the relationship of the macroeconomic time series of R$/US$ Exchange Rate, Gross Domestic Product of Agribusiness, Agribusiness Export Volume, Selic Rate and Industrial Entrepreneur Confidence Index (ICEI) with the time series of the indicators was researched. of ROA and ROE, as well as with the series of net revenues and net profits of the financial statements of B3 publicly traded companies in the segments of agriculture, sugar and alcohol, meat and derivatives and processed foods, totaling 19 time series for each indicator or DRE account - grouped in averages to represent the Brazilian agribusiness sector. This relationship was estimated through the use of the Vector Autoregressive (VAR) methodology, with Granger Causality tests to identify the lagged relationships and the Impulse Response Functions (FIR) to predict the revenue, profitability and profitability of the sector regarding the future response time after a shock of 1 standard deviation in the residuals of the macroeconomic variables, as well as visual inspection of the impact force. The time series were all transferred to quarterly periodicity, starting in the first quarter of 2010 until the third quarter of 2020. The profitability indicators and profitability and net revenue accounts were collected in Economatica (2021) and the macroeconomic variables, in turn, at Bacen (2020), Ipeadata (2020) and Cepea/Esalq/Usp (2020). Keywords : Time Series. Corporate Finance. Macroeconomic Variables. Agribusiness. Autoregressive Vector.
- Published
- 2021