Comparação de carteiras otimizadas segundo o critério média-variância formadas através de estimativas robustas de risco e retorno

Este trabalho examinou as características de carteiras compostas por ações e otimizadas segundo o critério de média-variância e formadas através de estimativas robustas de risco e retorno. A motivação para isto é a distribuição típica de ativos financeiros (que apresenta outliers e mais curtose que a distribuição normal). Para comparação entre as carteiras, foram consideradas suas propriedades: estabilidade, variabilidade e os índices de Sharpe obtidos pelas mesmas. O resultado geral mostra que estas carteiras obtidas através de estimativas robustas de risco e retorno apresentam melhoras em sua estabilidade e variabilidade, no entanto, esta melhora é insuficiente para diferenciar os índices de Sharpe alcançados pelas mesmas das carteiras obtidas através de método de máxima verossimilhança para estimativas de risco e retorno.

Semiparametric estimation and inference using doubly robust moment conditions

We study semiparametric two-step estimators which have the same structure as parametric doubly robust estimators in their second step. The key difference is that we do not impose any parametric restriction on the nuisance functions that are estimated in a first stage, but retain a fully nonparametric model instead. We call these estimators semiparametric doubly robust estimators (SDREs), and show that they possess superior theoretical and practical properties compared to generic semiparametric two-step estimators. In particular, our estimators have substantially smaller first-order bias, allow for a wider range of nonparametric first-stage estimates, rate-optimal choices of smoothing parameters and data-driven estimates thereof, and their stochastic behavior can be well-approximated by classical first-order asymptotics. SDREs exist for a wide range of parameters of interest, particularly in semiparametric missing data and causal inference models. We illustrate our method with a simulation exercise.

Robust statistical modeling of portfolios

Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, portfolios constructed using robust approaches are able to capture just the dynamics of the usual days, which constitute the majority of the business days. In this paper we propose an statistical model and a robust estimation procedure to obtain an e±cient frontier which would take into account the behavior of both the usual and most of the atypical days. We show, using real data and simulations, that portfolios constructed in this way require less frequent rebalancing, and may yield higher expected returns for any risk level.

Efeitos de abertura comercial sobre a evolução da produtividade industrial no Brasil

Este trabalho avalia a evolução da produtividade industrial brasileira — utilizando um painel de 16 setores da indústria de transformação no período 1985/97 — e o papel da abertura econômica neste processo. Os resultados mostram que a produtividade da indústria brasileira, seja ela medida pelo conceito de produtividade total dos fatores (PTF) ou de produtividade do trabalho, passou por duas fases distintas: de 1985 a 1990, há um processo de estagnação e de 1990 a 1997, a indústria passa a apresentar significativas taxas de crescimento. A abertura comercial, caracterizada por menores tarifas nominais e menores taxas de proteção efetiva, exerce um efeito positivo sobre o aumento da produtividade. Em todas as regressões do modelo — em que se utilizam técnicas de estimação em painéis — não se pode rejeitar a hipótese de que aumentos nas barreiras comerciais implicam menores taxas de crescimento da produtividade do trabalho e da PTF. Este resultado confirma a evidência internacional de que países mais abertos crescem mais rápido e desestimularia a adoção de políticas de restrição comercial como estratégia de desenvolvimento e de proteção à indústria nacional.

Brazilian indexing and inertial inflation: evidence from time-varying estimates of an inflation transfer function

This paper is a theoretica1 and empirica1 study of the re1ationship between indexing po1icy and feedback mechanisms in the inflationary adjustment process in Brazil. The focus of our study is on two policy issues: (1) did the Brazilian system of indexing of interest rates, the exchange rate, and wages make inflation so dependent on its own past values that it created a significant feedback process and inertia in the behaviour of inflation in and (2) was the feedback effect of past inf1ation upon itself so strong that dominated the effect of monetary/fiscal variables upon current inflation? This paper develops a simple model designed to capture several "stylized facts" of Brazi1ian indexing po1icy. Separate ru1es of "backward indexing" for interest rates, the exchange rate, and wages, reflecting the evolution of po1icy changes in Brazil, are incorporated in a two-sector model of industrial and agricultural prices. A transfer function derived irom this mode1 shows inflation depending on three factors: (1) past values of inflation, (2) monetary and fiscal variables, and (3) supply- .shock variables. The indexing rules for interest rates, the exchange rate, and wages place restrictions on the coefficients of the transfer function. Variations in the policy-determined parameters of the indexing rules imply changes in the coefficients of the transfer function for inflation. One implication of this model, in contrast to previous results derived in analytically simpler models of indexing, is that a higher degree of indexing does not make current inflation more responsive to current monetary shocks. The empirical section of this paper studies the central hypotheses of this model through estimation of the inflation transfer function with time-varying parameters. The results show a systematic non-random variation of the transfer function coefficients closely synchronized with changes in the observed values of the wage-indexing parameters. Non-parametric tests show the variation of the transfer function coefficients to be statistically significant at the time of the changes in wage indexing rules in Brazil. As the degree of indexing increased, the inflation feadback coefficients increased, while the effect of external price and agricultura shocs progressively increased and monetary effects progressively decreased.

Purchasing power parity and the unit root tests: a robust analysis

Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott et al., 1996) unit root tests (ERS), which is more efficient against local alternatives but is still based on least squares estimation. Unit root tests basead on least saquares method usually tend to bias inference towards stationarity when additive out liers are present. In this paper, we incorporate quasi-differencing into M-estimation to construct a unit root test that is robust not only against near-unity root but also against nonGaussian behavior provoked by assitive outliers. We re-visit the PPP hypothesis and found less evidemce in favor PPP reversion when non-Gaussian behavior in real exchange rates is taken into account.

Welfare costs of inflation: the case for interest-bearing money and empirical estimates for Brazil

We provide in this paper a closed fonn for the Welfare Cost of Inflation which we prove to be closer than Bailey's expression to the correct solution of the corresponding non-separable differential equation. Next. we extend this approach to ao economy with interest-bearing money, once again presenting a better appoximation than the one given by Bailey's approach. Fmally, empirical estimates for Brazil are presented.

On insurance markets with endogenous information acquisition: A robust mechanism design approach

Neste trabalho propomos a aplicação das noções de equilíbrio da recente literatura de desenho de mecanismo robusto com aquisição de informação endógena a um problema de divisão de risco entre dois agentes. Através deste exemplo somos capazes de motivar o uso desta noção de equilíbrio, assim como discutir os efeitos da introdu ção de uma restrição de participação que seja dependente da informação. A simplicidade do modelo nos permite caracterizar a possibilidade de implementar a alocação Pareto efiente em termos do custo de aquisição da informação. Além disso, mostramos que a precisão da informação pode ter um efeito negativo sobre a implementação da alocação efi ciente. Ao final, sao dados dois exemplos específicos de situações nas quais este modelo se aplica.

Convex combinations of long memory estimates from different sampling rates

Convex combinations of long memory estimates using the same data observed at different sampling rates can decrease the standard deviation of the estimates, at the cost of inducing a slight bias. The convex combination of such estimates requires a preliminary correction for the bias observed at lower sampling rates, reported by Souza and Smith (2002). Through Monte Carlo simulations, we investigate the bias and the standard deviation of the combined estimates, as well as the root mean squared error (RMSE), which takes both into account. While comparing the results of standard methods and their combined versions, the latter achieve lower RMSE, for the two semi-parametric estimators under study (by about 30% on average for ARFIMA(0,d,0) series).

A robust poverty profile for Brazil using multiple data sources

This paper presents a poverty profile for Brazil, based on three different sources of household data for 1996. We use PPV consumption data to estimate poverty and indigence lines. “Contagem” data is used to allow for an unprecedented refinement of the country’s poverty map. Poverty measures and shares are also presented for a wide range of population subgroups, based on the PNAD 1996, with new adjustments for imputed rents and spatial differences in cost of living. Robustness of the profile is verified with respect to different poverty lines, spatial price deflators, and equivalence scales. Overall poverty incidence ranges from 23% with respect to an indigence line to 45% with respect to a more generous poverty line. More importantly, however, poverty is found to vary significantly across regions and city sizes, with rural areas, small and medium towns and the metropolitan peripheries of the North and Northeast regions being poorest.

A taxa natural de juros no Brasil

Neste artigo, foi estimada a taxa natural de juros para a economia brasileira entre o final de 2001 e segundo trimestre de 2010 com base em dois modelos, sendo o primeiro deles o proposto por Laubach e Williams e o segundo proposto por Mesónnier e Renne, que trata de uma versão alterada do primeiro, que segundo os autores perimite uma estimação mais transparente e robusta. Em ambos os modelos, a taxa natural de juros é estimada em conjunto com o produto potencial, através de filtro de Kalman, no formato de um modelo Espaço de Estado. As estimativas provenientes dos dois modelos não apresentam diferenças relevantes, o que gera maior confiabilidade nos resultados obtidos. Para o período de maior interesse deste estudo (pós-2005), dada a existência de outras análises para período anterior, as estimativas mostram que a taxa natural de juros está em queda na economia brasileira desde 2006. A mensuração da taxa natural de juros, adicionalmente, possibilitou que fosse feita uma avaliação sobre a condução da política monetária implementada pelo Banco Central brasileiro nos últimos anos através do conceito de hiato de juros. Em linhas gerais, a análise mostrou um Banco Central mais conservador entre o final de 2001 e 2005, e mais próximo da neutralidade desde então. Esta conclusão difere da apontada por outros estudos, especialmente para o primeiro período.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guillén, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

The Brazilian real state market in 2012: robust growth or speculative bubble?

A forte alta dos imóveis no Brasil nos últimos anos iniciou um debate sobre a possível existência de uma bolha especulativa. Dada a recente crise do crédito nos Estados Unidos, é factível questionar se a situação atual no Brasil pode ser comparada à crise americana. Considerando argumentos quantitativos e fundamentais, examina-se o contexto imobiliário brasileiro e questiona-se a sustentabilidade em um futuro próximo. Primeiramente, analisou-se a taxa de aluguel e o nível de acesso aos imóveis e também utilizou-se um modelo do custo real para ver se o mercado está em equilíbrio o não. Depois examinou-se alguns fatores fundamentais que afetam o preço dos imóveis – oferta e demanda, crédito e regulação, fatores culturais – para encontrar evidências que justificam o aumento dos preços dos imóveis. A partir dessas observações tentou-se chegar a uma conclusão sobre a evolução dos preços no mercado imobiliário brasileiro. Enquanto os dados sugerem que os preços dos imóveis estão supervalorizados em comparação ao preço dos aluguéis, há evidências de uma legítima demanda por novos imóveis na emergente classe média brasileira. Um risco maior pode estar no mercado de crédito, altamente alavancado em relação ao consumidor brasileiro. No entanto, não se encontrou evidências que sugerem mais do que uma temporária estabilização ou correção no preço dos imóveis.

Uncertainty of aid inflows and the growth relationship

This paper contributes to the literature on aid and economic growth. We posit that it is not the levei of aid flows per se but the stability of such flows that determines the impact of aid on economic growth. Three measures of aid instability are employed. One is a simple deviation from trend, and measures overall instability. The other measures are based on auto-regressive estimates to capture deviations from an expected trend. These measures are intended to proxy for uncertainty in aid receipts. We posit that such uncertainty will influence the relationship between aid and investment and how recipient governments respond to aid, and will therefore affect how aid impacts on growth. We estimate a standard cross-country growth regression including the leveI of aid, and find aid to be insignificant (in line with other results in the literature). We then introduce measures of instability. Aid remains insignificant when we account for overall instability. However, when we account for uncertainty (which is negative and significant), we find that aid has a significant positive effect on growth. We conduct stability tests that show that the significance of aid is largely due to its effect on the volume of investment. The finding that uncertainty of aid receipts reduces the effectiveness of aid is robust. When we control for this, aid appears to have a significant positive influence on growth. When the regression is estimated for the sub-sample of African countries these findings hold, although the effectiveness of aid appears weaker than for the full sample.

WeIfare costs of inflation the case for interest-bearing money and empiricaI Estimates for Brazil

We provide in this paper a closed fonn for the Welfare Cost of Inflation which we prove to be closer than Bailey's expression to the correct solution of the corresponding non-separable differential equation. Next, we extend this approach to an economy with interest-bearing money, once again presenting a better appoximation than the one given by Bailey's approach. Finally, empirical estimates for Brazil are presented.