1 I NTRODUCCIÓN
2.4 EJEMPLOS
2.4.2 Reconstrucción con Filtros RC de Dos Etapas
Figure 5.3 shows the size of the banking sector as a percentage of GDP of 6 selected emerging countries from the end of 2001 to the end of 2009.
Figure 5.3
Source: IMF-IFS (2011c); author’s own calculations
Notes: Size of banking sector measured as total assets of depositary corporations defined in IMF (2011b)
0.00%
20.00%
40.00%
60.00%
80.00%
100.00%
120.00%
140.00%
160.00%
180.00%
200.00%
Size of Banking Sector%GDP Selected Emerging Market Countries
2001-2009
Brazil Mexico Poland Russia Turkey
147 One can observe the large size of the Brazilian banking sector compared to the other emerging markets presented. As discussed in more detail below, banks are crucial for providing liquidity to (international) investors, mainly through their role as intermediaries and market makers.
Figure 5.4 shows the size of the non-banking financial sector, such as pension funds, insurance companies and corporative and building societies, as a percentage of GDP for those emerging countries for which data were available. Since mid 2006, the size of Brazil‘s non-banking financial sector surpasses most of the other countries under consideration.97
Figure 5.4
Source: IMF-IFS (2011c); author’s calculations
Notes: Size of non-banking sector measured as total assets of other financial corporations defined in IMF (2011b); data on the non-banking financial sector for Poland and Turkey not available
Indeed, in addition to a relatively deep and active banking system, Brazil has a large and heterogeneous landscape of domestic financial market players, which provided liquidity
97 One exception is South Africa, which has a very large non-bank financial sector. This is due to the existence of large financial conglomerates which are tightly linked to the domestic mining sector (Fine 1997). The jump in the Brazilian data in mid 2006 is due to an increase in both claims on the private sector and other sectors. Most likely this abrupt change is related to the inclusion of a data category which was previously not considered in the data.
0.00%
10.00%
20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
Size of Non-Banking Financial Sector%GDP Selected Emerging Market Countries
2001-2009
Brazil Mexico Russia South Africa
148 to foreign investors through acting as counterparties, offering financial products,
lowering the spread through heightened competition etc.
Table 5.3 shows the worldwide total net assets and number of mutual funds for selected emerging and developed countries.
Table 5.3: Total Net Assets and Number of Mutual Funds in Selected Emerging and Developed Countries, 2004-2009
Source: ICI (2011)
Notes: All data end of year values
One can observe the large size of total net assets of mutual funds in Brazil compared to other emerging countries, but also developed ones, such as Germany. Varga and Wengert (2010) note that in 2007, the assets held by mutual funds in Brazil made up more than 85% of all mutual fund assets in Latin American and more than 50% of mutual fund assets in the BRICs. According to data from the BCB, in March 2010 nearly a third of these assets were held by so called ―Fundos Multimercados‖, which are comparable to hedge funds in developed financial markets (Petersen 2007). The total number of mutual funds operating in Brazil is only surpassed by that in the United States.
In a similar vein, as can be seen in Table 5.4, Brazilian pension fund assets by far surpass those in other emerging (and even developed) countries.
2004 2005 2006 2007 2008 2009
Total Net Assets of Mutual Funds (US$ million)
Brazil 220,586 302,927 418,771 615,365 479,321 783,970
Mexico 35,157 47,253 62,614 75,428 60,435 70,659
Poland 12,015 17,651 28,959 45,542 17,782 23,025
Russia 1,347 2,417 5,659 7,175 2,026 3,182
South Africa 54,006 65,594 78,026 95,221 69,417 106,261
Turkey 18,112 21,760 15,462 22,609 15,404 19,426
Germany 295,997 296,787 340,325 372,072 237,986 317,543
United States 8,095,082 8,891,108 10,397,935 12,002,283 9,603,604 11,120,196
United Kingdom 492,731 547,092 755,163 897,460 504,681 729,141
Worldwide Number of Mutual Funds
Brazil 2,859 2,685 2,907 3,381 4,169 4,744
Mexico 411 416 437 420 431 407
Poland 130 150 157 188 210 208
Russia 210 257 358 533 528 480
South Africa 537 617 750 831 884 904
Turkey 240 275 282 294 304 286
Germany 1,041 1,076 1,199 1,462 1,675 2,067
United States 8,040 7,974 8,118 8,027 8,022 7,685
United Kingdom 1,710 1,680 1,903 2,057 2,371 2,266
149 Table 5.4: Global Pension Fund Assets (US$ billion)
Source: IFSL (2008); IFSL (2010)
Finally, and more recently, large Brazilian companies (primarily exporters) have become very active in trading operations in financial markets. For example, de Oliveira and Novaes (2007) show that nearly half of all companies using foreign exchange swaps do so for speculative, rather than hedging, purposes. According to their results, this speculative activity was particularly pronounced among companies with large export receipts and during times of heightened exchange rate volatility. Speculative foreign exchange operations by companies, became especially important during the international financial crisis (Farhi and Borghi 2009). On the one hand, their speculative exchange rate positions (particularly in OTC options) were an important counterpart to both domestic and foreign investors, particularly in the face of a worsening international market as international investors sought to close their positions in Brazil. On the other hand, it was exactly these companies‘ open foreign exchange positions by companies which contributed to the large depreciation of the Real when the crisis finally hit Brazil.
In addition to its large size, several authors have noted the relative importance of short-term trading operations in the Brazilian financial market (Goldfajn, Hennings et al.
2003; Hardie 2007).98Table 5.5 shows the annual trading volume in several financial assets in selected emerging and developed countries.
98This importance of short-term trading operations can be partly explained as a legacy of the hyperinflationary period during which Brazilian banks developed a high degree of technological and operational sophistication, which supported their ability to be active players in the market.
2001 2005 2006 2007 2008
Brazil 71 138 166 288 288
Mexico 27 77 98 120 230
India 45 51 62 62
France 124 155 179 199
Italy 35 54 62 77 88
Germany 65 113 512 154 172
United States 11134 14428 15886 20244 15612
United Kingdom 1472 2539 2913 3323 2318
150 Table 5.5: Annual Trading Volume in Selected Emerging and Developed Financial Markets
Source: EMTA (2005; 2007; 2009) ; WFE (2010) ; author’s calculations
Notes: Data for annual stock trading volume data between 2000 and 2008 represent total share trading including electronic order book and negotiated deals. For 2009, data represents only electronic order book deals; annual trading volume on derivatives markets has been presented according to data availability
One can observe the large trading volume in the Brazilian market compared to the other emerging countries across all financial markets presented. In the local derivatives market, trading was particularly active in short-term interest rate and exchange rate futures. For example, in 2009 the annual trading volume in short-term interest rate futures reached 170 million contracts, nearly half of the contracts traded on the Chicago Mercantile Exchange (CME), one of the largest derivatives exchanges in the world.
From 2006 onward, annual trading volume in foreign exchange futures reached around half of that on the CME.
This active trading environment and liquidity of the Brazilian market has been supported by a marked concentration in short-term maturities of Brazilian financial assets.
Figure 5.5 shows the maturity profile of Brazil‘s domestic public debt.
2004 2005 2006 2007 2008 2009
Local Currency Bonds (US$ mn)
Brazil 459,134 432,985 517,975 624,873 591,172 548,251
Mexico 806,826 696,660 1,252,802 1,206,380 92,291 116,175
Poland 114,853 254,845 288,165 270,281 123,031 138,559
South Africa 147,809 187,825 342,389 450,728 314,943 106,848
Turkey 82,005 281,864 284,803 327,684 282,749 300,974
Domestic Stocks (US$ mn)
Brazil (Bovespa) 103,990 165,276 276,150 597,924 724,199 626,221
Mexico (Mexican Exchange) 45,389 56,683 96,918 143,945 110,474 84,255
Poland (Warsaw SE) 16,269 30,422 56,373 87,962 69,499 53,509
South Africa (Johannesburg SE) 161,073 201,779 311,041 423,385 395,235 266,006
Turkey (Istanbul SE) 146,605 200,858 222,724 294,295 247,893 301,122
United States (American SE) 590,652 608,091 601,188 670,191 561,603 NA
Short-term Interest Rate Futures (Nr. Contracts)
Brazil (BM&F) 134,385,483 143,655,871 180,822,732 221,627,417 166,983,583 170,190,085
South Africa (Johannesburg SE) NA 0 667 NA NA 40,000
United States (CME) 300,849,399 411,706,656 503,729,899 623,411,052 597,774,076 438,095,073 Exchange Rate Futures (Nr. Contracts)
Brazil (BM&F) 24,741,990 1,293,181 1,726,351 88,237,446 87,627,320 67,437,189
Poland (Warsaw SE) 3,455 6,216 3,144 6,101 132,559 162,239
South Africa (Johannesburg SE) NA NA NA 199,633 NA 7,177,562
Turkey (Turkish Derivatives Exchange) NA 1,603,797 4,598,416 7,849,609 14,110,292 13,759,748
US (CME) 48,772,627 81,105,391 110,338,043 139,793,600 152,215,936 152,694,240
151 Figure 5.5
Source: BCB (2011d); data are from December each year
Although lengthening, one can observe that nearly 25% of Brazil‘s outstanding domestic public debt was still of a maturity of up to 1 year in 2009. Indeed, as can be seen in Table 5.6, Brazilian public bonds still have the lowest maturity compared to all regional averages.
Table 5.6: Remaining Maturity in Years of Domestic Central Government Debt Outstanding
Source: BIS (2010e)
This marked concentration in short-term maturities is particularly evident for assets traded on the local derivatives exchange. Figure 5.6 and Figure 5.7 show the share of different maturities in the total average monthly trading volume in DI and US$ Futures.
44.04%
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Maturity of Domestic Public Debt in Percent, 2000-2009
up to 1 year 1 to 3 years More than 3 years
2000 2001 2002 2003 2004 2005 2006 2007 2008 2009
Brazil 2.50 3.00 2.90 2.70 2.70 2.30 2.60 3.00 3.30 3.40
Latin America 2.70 3.30 2.80 2.50 2.40 3.90 4.00 4.40 4.90 4.50
Asia, larger economies 5.30 6.50 7.00 7.10 7.30 7.00 6.90 7.10 7.60 7.50
Other Asia 5.70 4.80 5.70 6.00 5.90 5.50 5.60 7.10 5.10 4.30
Central Europe 3.00 3.00 3.30 5.10 3.80 4.00 4.30 4.40 4.40 4.20
Other 5.40 5.60 5.60 7.40 4.40 4.30 4.10 3.40 4.10 4.50
Total Emerging Markets 4.20 4.60 5.10 8.10 4.90 5.00 5.10 5.20 5.50 5.20
Industrial Countries 6.50 5.60 5.20 10.00 4.90 5.90 5.00 5.40 5.00 5.10
152 Figure 5.6
Source: Credit Suisse (2011)
Figure 5.7
Source: BCB (2004; 2005; 2006; 2007; 2008; 2009b) Notes: Maturities refer to months
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2003 2004 2005 2006 2007 2008 2009
Average Monthly Trading Volume in DI Futures by Maturity Percentage, 2003-2009
less than 1 year 1 to 2 years 2 years or more
0.00%
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20.00%
30.00%
40.00%
50.00%
60.00%
70.00%
80.00%
90.00%
100.00%
2003 2004 2005 2006 2007 2008 2009
Average Monthly Trading Volume in US$ Futures by Maturity Percentage, 2003-2009
1st 2nd 3 or more
153 A general lengthening notwithstanding, a large share of DI futures traded is still concentrated in a maturity of less than a year. The concentration in very short maturities is particularly striking for the US$ Futures, for which, on average, around 85% are traded in the first maturity, i.e. one month.
Finally, probably the most distinctive characteristic of Brazil‘s financial market is the existence of a very deep and actively traded derivatives market, the BM&FBovespa, which is analysed in the next section.