Essays in macroeconomy and dynamic term-structure models

This thesis is composed of three articles with the subjects of macroeconomics and - nance. Each article corresponds to a chapter and is done in paper format. In the rst article, which was done with Axel Simonsen, we model and estimate a small open economy for the Canadian economy in a two country General Equilibrium (DSGE) framework. We show that it is important to account for the correlation between Domestic and Foreign shocks and for the Incomplete Pass-Through. In the second chapter-paper, which was done with Hedibert Freitas Lopes, we estimate a Regime-switching Macro-Finance model for the term-structure of interest rates to study the US post-World War II (WWII) joint behavior of macro-variables and the yield-curve. We show that our model tracks well the US NBER cycles, the addition of changes of regime are important to explain the Expectation Theory of the term structure, and macro-variables have increasing importance in recessions to explain the variability of the yield curve. We also present a novel sequential Monte-Carlo algorithm to learn about the parameters and the latent states of the Economy. In the third chapter, I present a Gaussian A ne Term Structure Model (ATSM) with latent jumps in order to address two questions: (1) what are the implications of incorporating jumps in an ATSM for Asian option pricing, in the particular case of the Brazilian DI Index (IDI) option, and (2) how jumps and options a ect the bond risk-premia dynamics. I show that jump risk-premia is negative in a scenario of decreasing interest rates (my sample period) and is important to explain the level of yields, and that gaussian models without jumps and with constant intensity jumps are good to price Asian options.

Health and development with imperfect capital markets

This paper investigates the interaction between investment in education and in life-expanding investments, in a simple two-period model in which individuaIs are liquidity constrained in the first period. We show that under low leveIs of health and capital, investments in human capital and in health are complement: since the probability of survival is small, there is littIe incentive to invest in human capital; therefore the return on health investment is also low. This reinforcing effect does not hold for higher leveIs of health or capital, and the two investments become substitute. This property has many consequences. First, subsidizing health care may have dramatically different effects on private investment in human capital, depending on the initial leveI of health and capital. Second, the assumption that mortality is endogenous induces an increase in inequality of income: since health investment is a normal good, the return on education is also lower for poor individuaIs. Third,in a non-overlapping generation madel with non-altruistic agents, the hea1th leveI of the population has strong consequences on growth. For a very low leveI of hea1th, mortality is too high for the investment on education to be profitable. For a higher, but still low, levei of hea1th the economy grows on1y if the initial stock of capital is high enough; bad health and low capital create a poverty trapo Fourth, we compare redistributive income policies versus public hea1th measures. Redistributing income reduces both static and dynamic inequality, but slows growth. In contrast, a paternalistic health policy that forces the poor to invest in hea1th reduces dynamic inequality and may foster growth.

A Higher order and stable method for the numerical integration of Random Differential Equations

Trabalho apresentado no Congresso Nacional de Matemática Aplicada à Indústria, 18 a 21 de novembro de 2014, Caldas Novas - Goiás

Dynamics of micro-entrepeneurial activities

This paper generates and organizes stylized facts related to the dynamics of selfemployment activities in Brazil. The final purpose is to help the design of policies to assist micro-entrepreneurial units. The 'first part of the paper uses as a main tool of analysis transitional data constructed from household surveys. The longitudinal information used covers three transition horizons: 1-month, 12-month and 5-year periods. Quantitative flows analysis assesses the main origins, destinies and various types of risks assumed by microentrepreneurial activities. Complementarily, logistic regressions provides evidence on the main characteristics and resources of micro-entrepreneurial units. In particular, we use the movements from self-employment to employer activities as measures of entrepreneurial success. We also use these transitions as measures of employment creation intensity within the self-employed segment.The second part of the paper explores various data sources. First, we attempt to analyze the life-cycle trajectories and determinants of self-employment. We use cohort data constructed from PME and qualitative data on financial and work history factors related to the opening of small bussiness from the informal firms survey implemented during 1994. Second, we apply a standart Mincerian wage equation approach to self-employment profits. This exerci se attempts to capture the correlation patterns between micro-entrepreneurial performance and a variety of firms leveI variables present in the 1994 Informal Survey. Finally, we use a a survey on the poor enterpreneurs of Rocinha favela as a laboratory to study poor entrepreneurs resources and behavior.In sum, the main questions pursued in the paper are: i) who are the Brazilian selfemployed?; ii) in particular: what is relative importance among the self-employed of subsistence activities versus those activities with growth and capital accumulation potential?; iii) what are the main static and dynamic determinants ofmicro-entrepreneurial success?; iv) what is the degree ofrisk associated with micro-entrepreneurial activities in Brazil?; v) What is the life-cycle profile of self-employment?; vi) what are the main constraints on poor entrepreneurs activities?.

Hedge em carteiras de opções exóticas no Brasil

O objetivo do trabalho é efetuar uma análise empírica de estratégias de hedge no mercado brasileiro de derivativos. Em particular, consideramos uma carteira de opções exóticas com barreira do tipo knock-in e knock-out. Além das tradicionais estratégias de hedge estático e dinâmico, propomos também uma abordagem alternativa definida por uma estratégia híbrida de hedge. Os resultados apontam que todas as estratégias são eficazes do ponto de vista estatístico, porém a abordagem híbrida é a mais eficiente, combinando a precisão da dinâmica com os menores custos da estática.