Modelo baseado em agentes e valuation: uma nova abordagem de análise dos efeitos do mecanismo de transmissão da política monetária

Abstract

In this work, I developed a computational financial model based on four heterogeneous agents. Each one of them estimate, using four different techniques, the intrinsic values of the four main financial institutions of Brazilian bank sector publicly traded on Sao Paulo Stock Exchange: Itaú / Unibanco, Banco do Brasil, Bradesco and Santander. After to sum this values, I compute the elasticities of the bank sector's intrinsic value, as a whole, in relation to the changes of basic interest rate of Brazil, Selic. Finally, some simulations were made using this new approach of transmission mechanism analysis. The results show that the impact of changes in the Selic interest rate tends not to negatively affect the intrinsic values of the financial sector. They also lose very little intrinsic value when interest rates go up. This explains why Brazilian investors usually buy banks stocks as a way to protect themselves against rising interest rates, as well it helps to understand the high resilience and solidity of these four banks, which are known as major financiers of the federal government's debt.