A fronteira de escolha da composição da dívida mobiliária sob a hipótese do pecado original

Authors

  • Frederico Araujo Turolla Escola Superior de Propaganda e Marketing
  • Orlando Assunção Fernandes Escola Superior de Propaganda e Markenting
  • Erika Roberta Monteiro Pezco Pesquisa & Consultoria

Keywords:

Public securities debt. Original sin. Securities debt frontier.

Abstract

This paper takes the so-called “original sin” hypothesis as constraint to improvements in the composition of the federal securities debt as it proposes the existence of a frontier of choice between term and the proportion of fixed-rate securities in the debt. The quality of the resulting choice can be measured through the Securities Debt Composition Index (ICDM), which is based on the attributes average term and proportion of fixed-rate, relatively to the US debt taken as benchmark. This analytical tools make it possible to discuss the main cases of the Brazilian historical experience on securities debt indexation and choice of term structure, namely: the initial impulse from monetary correction; issuance of short-term fixed rate papers; prefixation of correction; introduction of financial adjustment; reintroduction of fixed rate securities; the case of inflation-linked bonds; new fixed rate bonds with coupon; and the domestic dollar-linked debt. The conclusions point out to the fact that the debt manager should take parallel shifts in the frontier as exogenous, while its actual strategy should be based on the identification of opportunities of non-parallel shifts. The latter can be obtained through new debt instruments or additional offer of certain types of instruments that meet specific agents’ demands.

Author Biographies

Frederico Araujo Turolla, Escola Superior de Propaganda e Marketing

Economista, com bacharelado pela Universidade Federal de Juiz de Fora (1994), mestrado em Economia de Empresas pela Fundação Getúlio Vargas - SP (1999), intercâmbio em International Economics and Finance pela Brandeis University (1997) e doutorado em Economia de Empresas pela Fundação Getúlio Vargas - SP (2005). Atualmente é professor da Escola Superior de Propaganda e Marketing e pesquisador do Núcleo de Estudos em Gestão Internacional (NEGI) da ESPM. Também leciona cursos de graduação e MBA na Fundação Getúlio Vargas. Tem experiência na área de Economia, atuando principalmente nos seguintes temas: negócios internacionais, conjuntura econômica, regulação, telecomunicações, saneamento básico, transporte aéreo e outros.

Orlando Assunção Fernandes, Escola Superior de Propaganda e Markenting

Graduado em Ciências Econômicas (1995), Mestre em Economia Política pela Pontifícia Universidade Católica de São Paulo (1998) e Doutorando em Teoria Econômica pelo Instituto de Economia da Universidade Estadual de Campinas (IE/Unicamp). Ex-Coordenador do Curso de Graduação em Ciências Econômicas da FAEC/FOC, atualmente é Professor de Economia da Escola Superior de Propaganda e Marketing (ESPM/SP) e da Faculdade de Economia e de Relações Internacionais da Fundação Armando Álvares Penteado (FAAP).

Erika Roberta Monteiro, Pezco Pesquisa & Consultoria

Bacharel em Ciências Econômicas pela Universidade Presbiteriana Mackenzie e consultora da Pezco Pesquisa & Consultoria.

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Published

2011-09-12

Issue

Vol. 21 No. 2 (2010)

Section

Articles

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