Modelagem econométrico-financeira de uma empresa baseada em vetores auto-regressivos : uma aplicação à Petrobás S.A.

AUTOR(ES)

Bernardus Ferdinandus Nazar Van Doornik

DATA DE PUBLICAÇÃO

2007

RESUMO

The paper reports efforts towards developing and estimating a Vector Autoregressive (VAR) econometric model representing the financial statements of a firm. Although the model can be generalized to represent the financial statements of any firm, the study was carried out as a case study, where the chosen firm is the largest Brazilian firm: Petrobrás S/A. The methodology utilized makes use of correlation analysis, unit root tests, cointegration analysis, VAR modeling, Granger causality tests, besides impulse response and variance decomposition methods. Besides the endogenous financial statement variables, a vector of exogenous variables was utilized, namely, the Brazilian GDP, the domestic and foreign interest rates, the international oil price, the exchange rate, and country risk. The final version of the model is a Vector Error Correction (VEC) model, which takes into account the cointegrating relations among the endogenous variables. After estimation and validation, the model is used to produce forecasts of the financial statements of the firm under study. Estimates for the exogenous variables and dividend forecasts were also used to estimate the firms market value. The results are apparently robust and might contribute with some innovation to the field of financial planning and forecasting.

ASSUNTO(S)

financial forecasting econometric modeling modelos econométricos vector autoregressive model administracao financial statements petrobras empresas - finanças

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