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Master's Dissertation
DOI
Document
Author
Full name
Kleber Giovelli Abitante
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
Piracicaba, 2007
Supervisor
Committee
Bacchi, Mirian Rumenos Piedade (President)
Figueiredo, Nelly Maria Sansigolo de
Lima, Roberto Arruda de Souza
Title in Portuguese
Modelos de séries temporais aplicados à análise prospectiva de concessão de crédito bancário
Keywords in Portuguese
Análise de séries temporais
Crédito bancário
Integração vetorial
Previsão (Análise de Séries Temporais)
Abstract in Portuguese
O presente trabalho teve por objetivo modelar as séries de concessão de crédito bancário às pessoas físicas, às pessoas jurídicas e para financiamento de atividades rurais, bem como realizar previsões a cerca dos comportamentos destas séries. A metodologia utilizada foi de Auto- Regressão Vetorial. A propriedade de co-integração entre as variáveis foi considerada no trabalho, sendo que foram estimados modelos de Auto-Regressão Vetorial com Correção de Erro – VEC. Os resultados mostram que o produto, a taxa de juros cobrada nos empréstimos, as exportações e as vendas no varejo podem auxiliar na geração de previsões satisfatórias das concessões de crédito às pessoas jurídicas e às pessoas físicas. Para o modelo de previsão das concessões de crédito para financiamento de atividades rurais, utilizaram-se variáveis referentes à produção de fertilizantes, vendas de tratores e colheitadeiras, produção de leite e produção de carnes bovina, suínas e de aves, sendo que as previsões geradas pelo modelo apresentaram performance adequada, dada a dificuldade da modelagem.
Title in English
Time series models applied to forecast analysis of banking credit concessions
Keywords in English
Banking credit
Forecast (Times series analysis)
Times series analysis
Vectorial integration
Abstract in English
The aim of this study was to model the series of banking credit concessions to individuals, to firms and for rural activities financing, and to generate forecasts about the behavior of that series. The methodology used was the Vector Auto-Regression. The property of co-integration among the variables was considered, and were estimated Vector Auto-Regression models with Error Correction – VEC. The results shows that the product, the lending interest rate, the exportation and the retail sales can to help on the generation of satisfactory forecast of the banking credit concessions to firms and to individuals. Regarding the forecast model of the banking credit concessions for rural activities financing, was used variables about the fertilizers production, sales of tractors and harvesters machines, milk production and the production of meat of cattle, pork and chicken, and the forecasts generated by the model showed suitable perform, considering the modeling difficult.
 
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KleberAbitante.pdf (1.59 Mbytes)
Publishing Date
2007-04-25
 
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