IMPACT OF MACROECONOMIC VARIABLES ON THE COMPONENTS OF FINANCIAL STATEMENTS OF LATIN AMERICAN PUBLIC COMPANIES
DOI:
https://doi.org/10.4270/ruc.2019319Palabras clave:
Macroeconomic Indicators, Financial Statements, Latin American Companies.Resumen
This study (i) measures the causal relationship between macroeconomic indicators and the financial statements of Latin American public companies, (ii) and determines the relationship between components of financial statements of Latin American public companies and their respective lagged variables. To carry out the study, estimates GMM of Arellano and Bond and GMM System were adopted, with secondary data extracted from Thomson Reuters Eikon and Word Bank. From the estimates, which had a sample of 150 companies, identified the causal relationships (i) of the Exchange Rate in Total Assets, Net Revenue and Equity, (ii) of the GDP in Equity and Net Income, (iii) and Net Income with its first lag. Thus, this research advances the literature by demonstrating the influence of macroeconomics, in a different way, on the components of financial statements.
Descargas
Citas
Altavilla, C., Boucinha, M., & Peydró, J. L. (2018). Monetary policy and bank profitability in a low interest rate environment. Economic Policy, 33(96), 531-586.
Arellano, M., Bond, Stephen. Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations. The review of economic studies, 1991, 58.2: 277-297.
Arellano, M., & Bover, O. (1995). Another look at the instrumental variable estimation of error-components models. Journal of econometrics, 68(1), 29-51.
Armenter, R., & Hnatkovska, V. (2017). Taxes and capital structure: Understanding firms’ savings. Journal of Monetary Economics, 87, 13-33.
Aruoba, S. B., & Diebold, F. X. (2010). Real-time macroeconomic monitoring: Real activity, inflation, and interactions. American Economic Review, 100(2), 20-24.
Assaf Neto, A. (2015). Mercado Financeiro, 13a ediçâo. Sâo Paulo, Editora Atlas SA.
Atkeson, A. G., Eisfeldt, A. L., & Weill, P. O. (2017). Measuring the financial soundness of US firms, 1926–2012. Research in Economics, 71(3), 613-635.
Bai, Y., Lu, D., & Tian, X. (2018). Do Financial Frictions Explain Chinese Firms’ Saving and Misallocation? (No. w24436). National Bureau of Economic Research.
Ball, R. T., Gallo, L., & Ghysels, E. (2019). Tilting the evidence: the role of firm-level earnings attributes in the relation between aggregated earnings and gross domestic product. Review of Accounting Studies, 24(2), 570-592.
Baltagi, B. (2013). Econometric analysis of panel data. John Wiley & Sons.
Barakat, M. R., Elgazzar, S. H., & Hanafy, K. M. (2016). Impact of macroeconomic variables on stock markets: Evidence from emerging markets. International journal of economics and finance, 8(1), 195-207.
Begenau, J., Farboodi, M., & Veldkamp, L. (2018). Big data in finance and the growth of large firms. Journal of Monetary Economics, 97, 71-87.
Bernanke, B S. (2017). Monetary policy in a new era. Prepared for conference on Rethinking Macroeconomic Policy, Peterson Institute, Washington DC, October 12–13.
Bernardelli, L. V., & Bernardelli, A. G. (2016). Análise sobre a Relação do Mercado Acionário com as Variáveis Macroeconômicas no Período de 2004 a 2014. Revista Evidenciação Contábil & Finanças, 4(1), 4-17.
Bernardo, C. J., Albanez, T., & Securato, J. R. (2018). Fatores Macroeconômicos e Institucionais, Composição do Endividamento e Estrutura de Capital de Empresas Latino-Americanas. Brazilian Business Review, 15(2), 152-174.
Bhargava, A. (2014). Firms’ fundamentals, macroeconomic variables and quarterly stock prices in the US. Journal of econometrics, 183(2), 241-250.
Bikker, J. A., & Vervliet, T. M. (2018). Bank profitability and riskâ€taking under low interest rates. International Journal of Finance & Economics, 23(1), 3-18.
Blanchard, O. (2011). Macroeconomia. 5ª edição. 2011.
Blundell, R., & Bond, S. (2000). GMM estimation with persistent panel data: an application to production functions. Econometric reviews, 19(3), 321-340.
Borio, C., Gambacorta, L., & Hofmann, B. (2017). The influence of monetary policy on bank profitability. International Finance, 20(1), 48-63.
Bresser-Pereira, L. C., & Gala, P. (2010). Macroeconomia estruturalista do desenvolvimento. Brazilian Journal of Political Economy, 30(4), 663-686.
Chris, B. (2014). Introductory econometrics for finance, 3rd Editio.
Carabias, J. M. (2018). The real-time information content of macroeconomic news: implications for firm-level earnings expectations. Review of Accounting Studies, 23(1), 136-166.
Cohen, B. H., & Scatigna, M. (2016). Banks and capital requirements: channels of adjustment. Journal of Banking & Finance, 69, S56-S69.
Coibion, O., Gorodnichenko, Y., & Kumar, S. (2018). How do firms form their expectations? new survey evidence. American Economic Review, 108(9), 2671-2713.
Collis, J., & Hussey, R. (2013). Business research: A practical guide for undergraduate and postgraduate students. Macmillan International Higher Education.
Costa, D. F., do Prado, J. W., de Castro Júnior, L. G., & de Melo Carvalho, F. (2014). Estimando o Orçamento de Resultado em uma Empresa Varejista: uma abordagem por meio de vetor autorregressivo–VAR. Exacta, 12(3), 279-291.
Creswell, J. W., & Creswell, J. D. (2017). Research design: Qualitative, quantitative, and mixed methods approaches. Sage publications.
Doumpos, M., Andriosopoulos, K., Galariotis, E., Makridou, G., & Zopounidis, C. (2017). Corporate failure prediction in the European energy sector: A multicriteria approach and the effect of country characteristics. European Journal of Operational Research, 262(1), 347-360.
Ehrhardt, M. C., & Brigham, E. F. (2012). Administração financeira: teoria e prática. São Paulo: Cengage Learning.
English, W. B., Van den Heuvel, S. J., & Zakrajšek, E. (2018). Interest rate risk and bank equity valuations. Journal of Monetary Economics, 98, 80-97.
Fávero, L. P. L., Belfiore, P. P., Silva, F. L. D., & Chan, B. L. (2009). Análise de dados: modelagem multivariada para tomada de decisões.
Fonseca, S. E., de Oliveira Santos, A., Pereira, M. V. L., & de Camargos, M. A. (2019). Análise do Impacto de Variáveis Macroeconômicas no Desempenho Financeiro e Endividamento de Empresas Listadas na B3. Revista Universo Contábil, 14(4), 93-114.
Fratzscher, M., Schneider, D., Van Robays, I. (2014) Oil prices, exchange rates and asset prices. ECB Working Paper, n. 1689.
Gay, R. D. (2016). Effect of macroeconomic variables on stock market returns for four emerging economies: Brazil, Russia, India, and China. International Business & Economics Research Journal (Iber), 15(3), 119-126.
Gujarati, D. N, Porter, D. C. (2011). Basic Econometrics. McGraw-Hill Higher Education.
Gülser, C., Ekberli, I., & Candemir, F. (2016). Spatial variability of soil physical properties in a cultivated field. Eurasian Journal of Soil Science, 5(3), 192-200.
Hautz, J., Mayer, M., & Stadler, C. (2014). Macro-competitive context and diversification: the impact of macroeconomic growth and foreign competition. Long Range Planning, 47(6), 337-352.
Hebous, S. (2011). The effects of discretionary fiscal policy on macroeconomic aggregates: a reappraisal. Journal of Economic Surveys, 25(4), 674-707.
IASB. IFRS use around the World. Available on: http://archive.ifrs.org/Use-around-the-world/Pages/Jurisdiction-profiles.aspx. Acess on 06/22/2017
Jackson, A. B., Plumlee, M. A., & Rountree, B. R. (2018). Decomposing the market, industry, and firm components of profitability: implications for forecasts of profitability. Review of Accounting Studies, 23(3), 1071-1095.
Jeon, H., & Nishihara, M. (2014). Macroeconomic conditions and a firm’s investment decisions. Finance Research Letters, 11(4), 398-409.
Jiménez, G., Ongena, S., Peydró, J. L., & Saurina, J. (2012). Credit supply and monetary policy: Identifying the bank balance-sheet channel with loan applications. American Economic Review, 102(5), 2301-26.
Joshi, P., & Giri, A. K. (2015). Examining the relationship between sectoral stock market indices and sectoral gross domestic product: an empirical evidence from India. Global Journal of Management And Business Research.
Kalemli-Ozcan, S., Kamil, H., & Villegas-Sanchez, C. (2016). What hinders investment in the aftermath of financial crises: Insolvent firms or illiquid banks?. Review of Economics and Statistics, 98(4), 756-769.
Kiley, M. T., & Roberts, J. M. (2017). Monetary policy in a low interest rate world. Brookings Papers on Economic Activity, 2017(1), 317-396.
Klein, A., & Marquardt, C. A. (2006). Fundamentals of accounting losses. The Accounting Review, 81(1), 179-206.
Konchitchki, Y. (2011). Inflation and nominal financial reporting: Implications for performance and stock prices. The Accounting Review, 86(3), 1045-1085.
Konchitchki, Y., & Patatoukas, P. N. (2014). Accounting earnings and gross domestic product. Journal of Accounting and Economics, 57(1), 76-88.
Kruger, S. D., & Petri, S. M. (2014). Novas evidências da relação entre medidas tradicionais de desempenho e aquelas baseadas na geração de valor a partir do custo de capital. Revista Universo Contábil, 10(2), 125-143.
Leuz, C., & Wysocki, P. D. (2016). The economics of disclosure and financial reporting regulation: Evidence and suggestions for future research. Journal of accounting research, 54(2), 525-622.
Li, N., Richardson, S., & Tuna, Ä°. (2014). Macro to micro: Country exposures, firm fundamentals and stock returns. Journal of Accounting and Economics, 58(1), 1-20.
Mai, Y., Meng, L., & Ye, Z. (2017). Regional variation in the capital structure adjustment speed of listed firms: Evidence from China. Economic Modelling, 64, 288-294.
Mankiw, N. G. (2016). Principles of macroeconomics. Cengage Learning.
Moll, B. (2014). Productivity losses from financial frictions: Can self-financing undo capital misallocation?. American Economic Review, 104(10), 3186-3221.
Nardy, A., Famá, R., de Hoyos Guevara, J. A., & Mussa, A. (2015). Verificação da ocorrência do efeito índice no Ibovespa–2004-2013. Revista de Administração, 50(2), 153-168..
Ray, S. (2012). Testing granger causal relationship between macroeconomic variables and stock price behaviour: evidence from India. Advances in Applied Economics and Finance, 3(1), 470-481.
Resić, E., Mangafić, J., Perić, T. Statistical analysis of causality between capital structure and firm profitability: Evidence from Bosnia and Herzegovina. Croatian Review of Economic, Business and Social Statistics, 2015, 1.1-2: 1-11.
Stolper, W. F. (1949). SAMUELSON, PAUL ANTHONY. Foundations of Economic Analysis. Pp. xii, 447. The ANNALS of the American Academy of Political and Social Science, 262(1), 223-225.
Shu, Y., Broadstock, D. C., & Xu, B. (2013). The heterogeneous impact of macroeconomic information on firms' earnings forecasts. The British Accounting Review, 45(4), 311-325.
Silva, F. M., Coronel, D. A., & Vieira, K. M. (2014). Causality and Cointegration Analysis between Macroeconomic Variables and the Bovespa. PloS one, 9(2).
Talla, J. T. (2013). Impact of macroeconomic variables on the stock market prices of the Stockholm stock exchange (OMXS30). Jonkoping International Business School.
Tarantin Junior, W., & Valle, M. R. D. (2015). Estrutura de capital: o papel das fontes de financiamento nas quais companhias abertas brasileiras se baseiam. Revista Contabilidade & Finanças, 26(69), 331-344.
Windmeijer, F. (2005). A finite sample correction for the variance of linear efficient two-step GMM estimators. Journal of econometrics, 126(1), 25-51.
World Bank. World Bank Open Data. Available on: http://data.worldbank.org/. Acess on: 08/12/2017.
Yang, E., Kim, S. H., Kim, M. H., & Ryu, D. (2018). Macroeconomic shocks and stock market returns: The case of Korea. Applied Economics, 50(7), 757-773.
Descargas
Publicado
Cómo citar
Número
Sección
Licencia
Los derechos de autor de los artículos publicados en esta revista son del autor, y los derechos de primera publicación son de la revista. Por aparecer en esta revista de acceso público los artículos son de uso gratuito, con atribuciones específicas, en aplicaciones educativas y no comerciales. La revista permitirá el uso de trabajos publicados con fines no comerciales, incluso el derecho a enviar el trabajo a bases de datos de acceso público.
