Condições de solvência, composição ótima e acumulação do passivo externo brasileiro: uma aplicação do Modelo de Markowitz

• Ano de defesa: 1999
• Autor(a) principal: Soares, Ricardo Brito
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Macroeconomia; Modelo de Markowitz; Passivo externo brasileiro
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/29851

This thesis investigates the process of accumulation of external Iiabilities für the Brazilian eCülwmy in the nineties, focusing on the establishment of a solvency condition. The empirical results showed that, upon the current situation, the Brazilian econorny is going to reach external insolvency, defined by the increase of the difference between the cost of the external liabilities and the exports gfüwth rate. A solution to reduce this gap can be visualized as a change of the composition of the Brazilian external liabilities via attracting cheaper capitals, such as foreign direct and portfolio iüvestments. The analysis has shown that these two t-ypes of foreign assets have been less expensive if cornpared to the high costly foreign debt assets contracted as market ioans. Using Markowitz's portfolio selection model we found that the optimal cornposition of external liabilities to avoid the country being insolvent - assuming that the exports 1:$1owth rate will remain constant - is around 60 per cent of foreign investment (direct and portf01io) and 40 per cent of debt (this is exactly the opposite Brazil holds currently). The change in the composition of the external 1iabilities, however, should be made feasible via an acurate analysis on the factors that determine the attraction of foreign investment assets, The estimates obtained from the regression analysis used to evidence the dynamic of foreign investments absor ption showed that attraction of foreign direct investrnents is strongly related to the overall performance of the Brazilian economy, and specifically, to the operations of multinationals already installed in Brazil. Regarding portfolio investment, sound and strong domestic capital markets are fundamental. Therefore, to avoid insolvency it is necessary either an increase of the exports gfüw1:hrate or a change in the composition of the externa] liabilities towards absorption of direct and portfolio investments or both. Regarding the latter, raising in GDP growth rates, lesser constraints on repatriation and solid and competitive dornestic financial markets are key to push Brazil away from financial disruption.