Income inequality in a job-search model with heterogeneous time preferences

This paper explores the use of an intertemporal job-search model in the investigation of within-cohort and between-cohort income inequality, the latter being generated by the heterogeneity of time preferences among cohorts of homogenous workers and the former by the cross-sectional turnover in the job market. It also offers an alternative explanation for the empirically-documented negative correlation between time preference and labor income. Under some speciÖc distributions regarding wage offers and time preferences, we show how the within-cohort and between-cohort Gini coe¢ cients of income distribution can be calculated, and how they vary as a function of the parameters of the model.

Trade liberalization and industrial concentration: evidence from Brazil

This paper applies an endogenous lobby formation model to explain the extent of trade protection granted to Brazilian manufacturing industries during the 1988- 1994 trade liberalization episode. Using a panel data set covering this period, we find that even in an environment in which a major regime shift has been introduced, more concentrated sectors have been able to obtain policy advantages, that lead to a reduction in international competition. The importance of industry structure appears to be substantial: In our baseline specification, an increase in concentration by 20% leads to an increase in protection by 5%-7%.

Debt composition and exchange rate balance sheet effects in Brazil: A firm level analysis

In this paper we study the interaction between macroeconomic environment and firms’ balance sheet effects in Brazil during the 1990’s. We start by assessing the influence of macroeconomic conditions on firms’ debt composition in Brazil. We found that larger firms tend to change debt currency composition more in response to a change in the exchange rate risk than small firms. We then proceed to investigate if and how exchange rate balance sheet effects affected the firms’ investment decisions. We test directly the exchange rate balance sheet effect on investment. Contrary to earlier findings (Bleakley and Cowan, 2002), we found that firms more indebted in foreign currency tend to invest less when there is an exchange rate devaluation. We tried different controls for the competitiveness effect. First, we control directly for the effect of the exchange rate on exports and imported inputs. We then pursue an alternative investigation strategy, inspired by the credit channel literature. According to this perspective, Tobin’s q can provide an adequate control for the competitiveness effect on investment. Our results provide supporting evidence for imperfect capital markets, and for a negative exchange rate balance sheet effect in Brazil. The results concerning the exchange rate balance sheet effect on investment are statistically significant and robust across the different specifications. We tested the results across different periods, classified according to the macroeconomic environment. Our findings suggest that the negative exchange rate balance sheet effect we found in the whole sample is due to the floating exchange rate period. We also found that exchange rate devaluations have important negative impact on both cash flows and sales of indebted firms. Furthermore, the impact of exchange rate variations is asymmetric, and the significant effect detected when no asymmetry is imposed is engendered by exchange rate devaluations.

Optimal auctions with multidimensional types and the desirability of exclusion

Within the context of a single-unit, independent private values auction model, we show that if bidder types are multidimensional, then under the optimal auction exclusion of some bidder types will occur. A second contribution of the paper is methodological in nature. In particular, we identify conditions under which an auction model with multidimensional types can be reduced to a model with one dimensional types without loss of generality. Reduction results of this type have achieved the status of folklore in the mechanism design literature. Here, we provide a proof of the reduction result for auctions.

A new perspective on the PPP hypothesis

This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies that consider only unit root and stationary process to describe the real exchange tae, this paper also considers two in-between processes, the locally persistent process ans the fractionally integrated process, to complement past studies. Seeking to be consistent with tha ample evidence of near unit in the real exchange rate movements very well. This finding implies that: 1) the real exchange movement is more persistent than the stationary case but less persistent than the unit root case; 2) the real exchange rate is non-stationary but the PPP reversion occurs and the PPP holds in the long run; 3) the real exchange rate does not exhibit the secular dependence of the fractional integration; 4) the real exchange rate evolves over time in a way that there is persistence over a range of time, but the effect of shocks will eventually disappear over time horizon longer than order O (nd), that is, at finite time horizon; 5) shocks dissipation is fasters than predicted by the fractional integracion, and the total sum of the effects of a unit innovation is finite, implying that a full PPP reversion occurs at finite horizons. These results may explain why pasrt empirical estudies could not provide a clear- conclusion on the real exchange rate processes and the PPP hypothesis.

Imposto inflacionário e transferências inflacionárias no Brasil: 1947-2003

Este artigo atualiza, atÈ 2003, a sÈrie 1947-1992 de imposto in- áacion·rio, transferÍncias ináacion·rias para os bancos comerciais e transferÍncia ináacion·rias totais, anteriormente publicada em Cysne (1994) e Simonsen e Cysne (1995).

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.

Do shocks permanently change output? : Local persistency in economic time series

While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary persistency. In this paper, we study time series with local persistency. A test for stationarity against locally persistent alternative is proposed. Asymptotic distributions of the test statistic are provided under both the null and the alternative hypothesis of local persistency. Monte Carlo experiment is conducted to study the power and size of the test. An empirical application reveals that many US real economic variables may exhibit local persistency.

Regional or educational disparities? a counterfactual exercise

This work investigates the impact of schooling Oil income distribution in statesjregions of Brazil. Using a semi-parametric model, discussed in DiNardo, Fortin & Lemieux (1996), we measure how much income diíferences between the Northeast and Southeast regions- the country's poorest and richest - and between the states of Ceará and São Paulo in those regions - can be explained by differences in schooling leveIs of the resident population. Using data from the National Household Survey (PNAD), we construct counterfactual densities by reweighting the distribution of the poorest region/state by the schooling profile of the richest. We conclude that: (i) more than 50% of the income di:fference is explained by the difference in schooling; (ii) the highest deciles of the income distribution gain more from an increase in schooling, closely approaching the wage distribution of the richest region/state; and (iii) an increase in schooling, holding the wage structure constant, aggravates the wage disparity in the poorest regions/ states.

The set of equilibria of first-price auctions

In this note I specify the class of functions that are equilibria of symmetric first-price auctions.

Venda direta e comércio eletrônico de bens de informática: um estudo sobre a aderência do modelo de venda direta para empresas de grande porte

Analisa o mercado de venda direta de bens de informática para grandes empresas com enfoque no comércio eletrônico segundo a proposição de estratégias competitivas. Verifica a aderência deste modelo através de uma pesquisa exploratória em empresas deste segmento

Determinação do preço de crédito através do risco

A dissertação analisa o papel cada vez mais fundamental do gerenciamento de risco de crédito para a garantia da lucratividade das Instituições Financeiras daqui para frente. As Instituições que vão diferenciar-se serão as que apresentarem menores perdas de crédito. o gerenciamento de crédito eficaz é discutido através da constatação que a demanda de crédito é influenciada pela taxa de juros, principalmente para a faixa da população que apresenta melhor renda e/ou menor índice de inadimplência e apresenta a precificação dos empréstimos com base no risco de crédito do cliente como uma forma de se obter menores perdas de crédito. Atualmente, na maioria das Instituições Financeiras brasileiras, não há diferenciação de preço por grupos de inadimplência, ou seja, a taxa de juros é definida através de uma inadimplência média, gerando, para as Instituições, um lucro extraordinário na concessão de crédito para os bons pagadores (e com isso desestimulando-os a solicitar empréstimos) e um provável prejuízo na concessão para maus pagadores. Como ferramenta para precificar o crédito com base no risco, utilizamos o RAROCRisk Adjusted Retum on Capital - uma metodologia extremamente sofisticada que estabelece alocação de capital igual à diferença entre as provisões de devedores duvidosos e a perda máxima com um nível de significância variável de 95% a 99% (existe de 1 a5% de probabilidade de ocorrer uma perda maior que a perda máxima esperada). Esta dissertação conclui, através de simulações, que é possível aumentar a lucratividade bancária, através da redução das perdas, precificando corretamente os créditos concedidos

Quantificação da interferência do cliente em projetos de grande porte : um método de modelagem utilizando dinâmica dos sistemas

A Dinâmica dos Sistemas vem expandindo seu leque de aplicações por diversas áreas do conhecimento humano, dentre as quais está a Administração de Empresas. Este trabalho mostra que esta disciplina pode ser utilizada como uma ferramenta que fornece subsídios para negociações post mortem de projetos de grande porte. Dentro deste âmbito, o ponto principal é avaliar qual foi a influência do comportamento do cliente no resultado final do projeto. Interferências do tipo: ingerência nas decisões de projeto, alterações de escopo, atraso na aprovação de documentos e solicitações para que sejam realizadas atividades adicionais não diretamente relacionadas ao projeto podem contribuir para o aumento do prazo e do custo de realização de um empreendimento. A abordagem deste problema através da Dinâmica dos Sistemas fornece a possibilidade de criar modelos de simulação em que possam ser incorporados fatores importantes, porém subjetivos, que contribuem para o entendimento do projeto como o moral da equipe de engenharia e a confiança do cliente na empresa contratada. Este trabalho traz uma parte teórica que é fruto da pesquisa sobre a ' literatura existente nesta área específica de aplicação. Nela são explicados os ciclos de paralelismo, de retrabalho e de interferência do cliente. Na segunda parte, um caso real de um projeto de engenharia é apresentado e modelado. Os resultados são então analisados de forma a fornecer informações confiáveis sobre atraso e custos adicionais de responsabilidade do cliente. Estes dados são a base para a elaboração pela contratada de um documento pleiteando compensação pela interferência do cliente. Esta abordagem por Dinâmica dos Sistemas é pouco conhecida e ainda pode ser bastante explorada