THE EFFECTS OF MONETARY POLICIES ON THE CAPITAL STRUCTURES OF THE FIRMS

Campos, Octávio Valente; Lamounier, Wagner Moura

doi:10.15728/bbr.2022.19.6.1.en

Octávio Valente Campos

Universidade Federal de Minas Gerais, Departamento de Ciências Contábeis, Belo Horizonte, MG, Brazil.

https://orcid.org/0000-0002-0354-0796

Wagner Moura Lamounier

Universidade Federal de Minas Gerais, Departamento de Ciências Contábeis, Belo Horizonte, MG, Brazil.

https://orcid.org/0000-0001-7154-6877

octaviovc@yahoo.com.br

wagner@face.ufmg.br

AUTHOR CONTRIBUTIONS

OVC - Main contribution with problem definition, hypotheses development, literature review, results, analyzes and conclusions. WML - Main contribution with problem definition, development of hypotheses, method, results and conclusions.

CONFLICT OF INTEREST

The authors state that there is no conflict of interest.

Consumer goods	Quantity	Total
Cyclical Consumption	66
Non-Cyclical Consumption	18
Total		84
Capital goods	Quantity
Industrial goods	51
Basic Materials	30
Oil and Gas	8
Total		89
Public Utility	Quantity
Others	8
Public Utility	39
Total		47
Total		220

Attribute	Acronym	Proxy	Sign Expected
Dependent Variables
Leverage	Lev	Interest-bearing liabilities / Owners’ Equity
Variables of Interest
Rate of change of M1	ΔM1	(M1_t+1 - M1_t ) / M1_t	Positive
Rate of change of M2	ΔM2	(M2_t+1 - M2_t ) / M2_t	Positive
Rate of change of Selic	ΔSelic	(Selic_t+1 - Selic_t ) / Selic_t	Negative
Selic smoothed by HP filter	SelicHP	Selic - HP da Selic	Negative
Variation rate of TJLP	ΔTJLP	(TJLP_t+1 - TJLP_t ) / TJLP_t	Negative
Control Variables
Size	Tam	Ln (Net Operating Revenue)	Positive
Tangibility	Tang	Fixed / Assets	Positive
Profitability	Rent	Return on Assets (ROA)	Positive
Market-to-Book	M/B	Asset at Market-Value / Asset at Book-Value	Negative
Liquidity	LC	Current Assets / Current Liabilities	Negative
Exchange	ΔDol	(Dolar_t+1 - Dolar_t ) / Dolar_t	Positive/ negative

QR 0.50		QR 0.50		QR 0.50		QR 0.50		QR 0.50
∆M1	0.5860	∆M2	-0.5763	∆SELIC	-0.1315**	*SELICHP*	-1.9553**	∆TJLP	0.1633
∆M1	(0.1235)	∆M2	(0.1372)	∆SELIC	(0.0186)	*SELICHP*	(0.0399)	∆TJLP	(0.4574)
*LOGTAM*	0.0038	*LOGTAM*	0.0039	*LOGTAM*	0.0048	*LOGTAM*	0.0030	*LOGTAM*	0.0039
*LOGTAM*	(0.3429)	*LOGTAM*	(0.2952)	*LOGTAM*	(0.2268)	*LOGTAM*	(0.4630)	*LOGTAM*	(0.3385)
*TANG*	0.0344	*TANG*	-0.0043	*TANG*	-0.0057	*TANG*	0.0255	*TANG*	0.0180
*TANG*	(0.3338)	*TANG*	(0.8973)	*TANG*	(0.8742)	*TANG*	(0.4839)	*TANG*	(0.6186)
*ROA*	-0.0465	*ROA*	-0.0475*	*ROA*	-0.0410	*ROA*	-0.0519*	*ROA*	-0.0427
*ROA*	(0.1254)	*ROA*	(0.0969)	*ROA*	(0.1779)	*ROA*	(0.0946)	*ROA*	(0.1678)
MB	-0.0048	MB	-0.0050*	MB	-0.0044	MB	-0.0054*	MB	-0.0045
MB	(0.1079)	MB	(0.0784)	MB	(0.1414)	MB	(0.0803)	MB	(0.1423)
LC	0.0298***	LC	0.0267***	LC	0.0209**	LC	0.0305***	LC	0.0283***
LC	(0.0000)	LC	(0.0000)	LC	(0.0015)	LC	(0.0000)	LC	(0.0000)
*DUMMY1*	-0.0759**	*DUMMY1*	-0.1462***	*DUMMY1*	-0.0372	*DUMMY1*	-0.0429*	*DUMMY1*	-0.0389*
*DUMMY1*	(0.0235)	*DUMMY1*	(0.0054)	*DUMMY1*	(0.1068)	*DUMMY1*	(0.0621)	*DUMMY1*	(0.0899)
*DUMMY2*	-0.0536	*DUMMY2*	-0.1814***	*DUMMY2*	-0.0170	*DUMMY2*	-0.0214	*DUMMY2*	-0.0184
*DUMMY2*	(0.1097)	*DUMMY2*	(0.0005)	*DUMMY2*	(0.4647)	*DUMMY2*	(0.3533)	*DUMMY2*	(0.4232)
*DUMMY1I*	0.7377*	*DUMMY1I*	1.0676**	*DUMMY1I*	-0.1179*	*DUMMY1I*	-1.8676	*DUMMY1I*	-0.0428
*DUMMY1I*	(0.0791)	*DUMMY1I*	(0.0234)	*DUMMY1I*	(0.0882)	*DUMMY1I*	(0.1004)	*DUMMY1I*	(0.8193)
*DUMMY2I*	0.6227	*DUMMY2I*	1.6143***	*DUMMY2I*	0.0340	*DUMMY2I*	-1.3486	*DUMMY2I*	-0.2074
*DUMMY2I*	(0.1327)	*DUMMY2I*	(0.0005)	*DUMMY2I*	(0.6188)	*DUMMY2I*	(0.2292)	*DUMMY2I*	(0.2602)
∆DOL	-0.0869	∆DOL	-0.0477	∆DOL	-0.1444**	∆DOL	-0.1041**	∆DOL	-0.0785
∆DOL	(0.1503)	∆DOL	(0.2173)	∆DOL	(0.0012)	∆DOL	(0.0214)	∆DOL	(0.3436)
*DUMMY3*	-0.1236***	*DUMMY3*	-0.1053***	*DUMMY3*	-0.1169***	*DUMMY3*	-0.1384***	*DUMMY3*	-0.1319***
*DUMMY3*	(0.0000)	*DUMMY3*	(0.0000)	*DUMMY3*	(0.0000)	*DUMMY3*	(0.0000)	*DUMMY3*	(0.0007)
*CONSTANT*	0.0107	*CONSTANT*	0.0402	*CONSTANT*	-0.0048	*CONSTANT*	0.0026	*CONSTANT*	-0.0152
*CONSTANT*	(0.8764)	*CONSTANT*	(0.5861)	*CONSTANT*	(0.9404)	*CONSTANT*	(0.9686)	*CONSTANT*	(0.8172)

DEPENDENT VARIABLE: LEV
Systemic GMM		Systemic GMM
∆LEV _{, t-1}	-0.1553*	∆LEV _{, t-1}	-0.0199
∆LEV _{, t-1}	*(0.0760)*	∆LEV _{, t-1}	(0.308)
∆M1	1.3317*	∆M2	-1.6025
∆M1	*(0.0990)*	∆M2	(0.165)
*LOGTAM*	-1.9058*	*LOGTAM*	-1.8789**
*LOGTAM*	(0.076)	*LOGTAM*	*(0.0160)*
*TANG*	0.1328	*TANG*	0.0607
*TANG*	(0.689)	*TANG*	(0.889)
*ROA*	-1.0751*	*ROA*	-0.5362
*ROA*	*(0.0940)*	*ROA*	(0.228)
MB	0.0407	MB	0.1065
MB	(0.677)	MB	(0.210)
LC	0.3299**	LC	0.3010*
LC	*(0.0270)*	LC	*(0.095)*
*DUMMY1*	-0.1566	*DUMMY1*	-0.4118**
*DUMMY1*	(0.4210)	*DUMMY1*	*(0.025)*
*DUMMY2*	-0.0137	*DUMMY2*	-0.4638***
*DUMMY2*	(0.948)	*DUMMY2*	*(0.002)*
DUMMY1I	-0.4498	DUMMY1I	1.7279
DUMMY1I	(0.762)	DUMMY1I	(0.183)
*DUMMY2I*	-1.7613	*DUMMY2I*	2.7178**
*DUMMY2I*	(0.283)	*DUMMY2I*	*(0.018)*
*∆DOL*	0.3266*	*∆DOL*	0.1805
*∆DOL*	(0.066)	*∆DOL*	(0.273)
*CONSTANT*	4.9366*	*CONSTANT*	4.8923**
*CONSTANT*	(0.079)	*CONSTANT*	*(0.018)*
AR(1)	-2.39**	AR(1)	-3.07***
AR(2)	-1.64	AR(2)	-1.25
Sargan Test	353.67***	Sargan Test	210.49***
Hansen Test	168.64	Hansen Test	108.16
Test of Dif. Hansen	4.33	Test of Dif. Hansen	1.46
Test of Wald	21.59**	Test of Wald	36.77***
No. of observations	1839	No. of observations	1839
No. of Groups	217	No. of Groups	217
No. of Instruments	169	No. of Instruments	117

DEPENDENT VARIABLE: LEV
Systemic GMM		Systemic GMM		Systemic GMM
∆LEV _{, t-1}	-0.0194	∆LEV _{, t-1}	-0.0196	∆LEV _{, t-1}	-0.0209
∆LEV _{, t-1}	(0.324)	∆LEV _{, t-1}	(0.333)	∆LEV _{, t-1}	(0.324)
∆SELIC	-0.2312	*SELICHP*	-3.8933**	∆TJLP	-0.9512***
∆SELIC	(0.225)	*SELICHP*	*(0.029)*	∆TJLP	*(0.000)*
*LOGTAM*	-2.1920*	*LOGTAM*	-2.0490***	*LOGTAM*	-2.0304***
*LOGTAM*	(0.011)	*LOGTAM*	*(0.007)*	*LOGTAM*	*(0.008)*
*TANG*	0.3024	*TANG*	0.2191	*TANG*	0.2315
*TANG*	(0.462)	*TANG*	(0.566)	*TANG*	(0.565)
*ROA*	-0.6566	*ROA*	-0.5977	*ROA*	-0.5837
*ROA*	(0.146)	*ROA*	(0.154)	*ROA*	(0.151)
MB	0.1116	MB	0.0948	MB	0.0945
MB	(0.222)	MB	(0.243)	MB	(0.250)
LC	0.3222*	LC	0.3167*	LC	0.3215*
LC	*(0.079)*	LC	*(0.069)*	LC	*(0.070)*
*DUMMY1*	-0.2891*	*DUMMY1*	-0.2804**	*DUMMY1*	-0.2843*
*DUMMY1*	*(0.064)*	*DUMMY1*	*(0.040)*	*DUMMY1*	*(0.071)*
*DUMMY2*	-0.2399*	*DUMMY2*	-0.2441*	*DUMMY2*	-0.2618**
*DUMMY2*	*(0.078)*	*DUMMY2*	*(0.053)*	*DUMMY2*	*(0.050)*
*DUMMY1I*	0.1188	*DUMMY1I*	2.6531	*DUMMY1I*	0.8697*
*DUMMY1I*	(0.669)	*DUMMY1I*	(0.442)	*DUMMY1I*	*(0.097)*
*DUMMY2I*	0.2854	*DUMMY2I*	2.8468	*DUMMY2I*	0.8976*
*DUMMY2I*	(0.188)	*DUMMY2I*	(0.323)	*DUMMY2I*	*(0.082)*
∆DOL	0.2440	∆DOL	0.1864	∆DOL	0.2835**
∆DOL	(0.129)	∆DOL	(0.254)	∆DOL	*(0.019)*
*CONSTANT*	4.4867**	*CONSTANT*	5.1594***	*CONSTANT*	5.1092***
*CONSTANT*	*(0.013)*	*CONSTANT*	*(0.009)*	*CONSTANT*	*(0.010)*
AR(1)	-3.08***	AR(1)	-3.07***	AR(1)	-3.07***
AR(2)	-1.30	AR(2)	-1.23	AR(2)	-1.21
Sargan Test	207.60***	Sargan Test	209.72***	Sargan Test	210.40***
Hansen Test	113.40	Hansen Test	109.04	Hansen Test	105.33
Test of Dif. Hansen	7.04	Test of Dif. Hansen	2.18	Test of Dif. Hansen	0.73
Test of Wald	20.19*	Test of Wald	25.36**	Test of Wald	48.89***
No. of observations	1839	No. of observations	1839	No. of observations	1839
No. of Groups	217	No. of Groups	217	No. of Groups	217
No. of Instruments	117	No. of Instruments	117	No. of Instruments	117

{L e v}_{i, t} = {β 0}_{i} + λ {L e v}_{i, t - 1} + β_{1} ∆ {M n}_{t - 1} + β_{2} {T a m}_{i, t - 1} + β_{3} {T a n g}_{i, t - 1} + β_{4} {R O A}_{i, t - 1} + β_{5} {\frac{M}{B}}_{i, t - 1} + β_{6} {L i q}_{i, t - 1} + β_{7} {D u m m y 1}_{i, t} + β_{8} {D u m m y 2}_{i, t} + β_{9} {D u m m y 1 I}_{i, t} + β_{10} {D u m m y 2 I}_{i, t} + β_{11} {∆ D o l}_{i, t - 1} + u_{i t}

{L e v}_{i, t} = {β 0}_{i} + λ {L e v}_{i, t - 1} + β_{1} ∆ {I n t e r e s t s}_{t - 1} + β_{2} {T a m}_{i, t - 1} + β_{3} {T a n g}_{i, t - 1} + β_{4} {R O A}_{i, t - 1} + β_{5} {\frac{M}{B}}_{i, t - 1} + β_{6} {L i q}_{i, t - 1} + β_{7} {D u m m y 1}_{i, t} + β_{8} {D u m m y 2}_{i, t} + β_{9} {D u m m y 1 I}_{i, t} + β_{10} {D u m m y 2 I}_{i, t} + β_{11} {∆ D o l}_{i, t - 1} + u_{i t}

[1] octaviovc@yahoo.com.br

Brasil

Brasil

THE EFFECTS OF MONETARY POLICIES ON THE CAPITAL STRUCTURES OF THE FIRMS

ABSTRACT