Monetary union and productivity differences in mercosur countries

This paper investigates cross-country productivity convergence among Mercosur members plus associates (Chile and Bolivia) and Peru, during the period 1960-1999. The testing strategy is based on the definitions of time-series convergence by Bernard and Durlauf (1995), and applies sequentially the multivariate unit root tests proposed by Sarno and Taylor (1998), Flôres, Preumont and Szafarz (1995) and Breuer, Mc Nown and Wallace (1999). The last two tests allow to identify the countries that converge. Our results show evidence of convergence among the four Mercosur countries, using either Argentina or Brazil as benchmark. Weaker evidence of convergence is also found with Bolivia. The results point out that monetary union among the Southern Cone economies, though a far objective, is not without sense.

O Hedge da divida externa brasileira

Este relatório visa a apresentação de propostas para o hedge da divida externa brasileira e a aplicação das reservas. Na primeira parte, vamos fazer um resumo das principais questões envolvidas. Nela são apresentados os vários tipos de risco associados à dívida externa e os mecanismos para a sua neutralização a custo reduzido. No anexo da parte um, apresentamos um exemplo numérico para ressaltar a possibilidade de riscos com títulos de juros fixos. Na segunda parte, fazemos um estudo mais detalhado, apresentando inclusive as primeiras estimativas numéricas. Na parte três, apresentamos alguns exemplos que indicam como deveriam ser feitas as aplicações das reservas com vistas à maximização de receitas e ao mesmo tempo a proteção da dívida com respeito à variação de juros. Finalmente, na parte quatro, apresentamos a teoria que justifica as nossas sugestões.

Testing unit root based on partially adaptive estimation

This paper proposes unit tests based on partially adaptive estimation. The proposed tests provide an intermediate class of inference procedures that are more efficient than the traditional OLS-based methods and simpler than unit root tests based on fully adptive estimation using nonparametric methods. The limiting distribution of the proposed test is a combination of standard normal and the traditional Dickey-Fuller (DF) distribution, including the traditional ADF test as a special case when using Gaussian density. Taking into a account the well documented characteristic of heavy-tail behavior in economic and financial data, we consider unit root tests coupled with a class of partially adaptive M-estimators based on the student-t distributions, wich includes te normal distribution as a limiting case. Monte Carlo Experiments indicate that, in the presence of heavy tail distributions or innovations that are contaminated by outliers, the proposed test is more powerful than the traditional ADF test. We apply the proposed test to several macroeconomic time series that have heavy-tailed distributions. The unit root hypothesis is rejected in U.S. real GNP, supporting the literature of transitory shocks in output. However, evidence against unit roots is not found in real exchange rate and nominal interest rate even haevy-tail is taken into a account.

Redistribution with ex-ante unobserved choice

Introducing dynamics to Mirrlees' (1971) optimal taxation model creates a whole new set of issues that are only starting to be investigated in the literature. When choices are made before one's realizing her productivity incentive constraints ought to be defined as a function of more complex strategies than in the static case. 80 far, all work has assumed that these choices are observable and can be contracted upon by the government. Here we investigate choices that : i) are not observed, andj ii) affect preferences conditional Oil the realization of types. In the simplest possible model where a non-trivial filtration is incorporated we show how these two characteristics make it necessary for IC constraints to be defined in terms of strategies rather than pure announcements. Tax prescriptions are derived, and it is shown that they bear some resemblance to classic optimal taxation results. We are able to show that in the most 'natural' cases return on capital ought to be taxed . However, we also show that the uniform taxation prescription of Atkinson and Stiglitz fails to hold, in general.

Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange

This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the S˜ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a floor cool-off effect, whereas the conditional variance significantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-off effect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic significance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.

Variáveis intrumentais e o MGM: uso de momentos condicionais

O presente texto desenvolve, com fins didáticos, as aplicações do Método Generalizado dos Momentos (MGM) ao procedimento de variáveis instrumentais, em modelos lineares e não-lineares. Faz parte de obra (livro) em elaboração

A panel data approach to economic forecasting: the bias-corrected average forecast

In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data sequential asymptotics we show that it is potentially superior to other techniques in several contexts. In particular it delivers a zero-limiting mean-squared error if the number of forecasts and the number of post-sample time periods is sufficiently large. We also develop a zero-mean test for the average bias. Monte-Carlo simulations are conducted to evaluate the performance of this new technique in finite samples. An empirical exercise, based upon data from well known surveys is also presented. Overall, these results show promise for the bias-corrected average forecast.