A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira

Este artigo investiga versões do modelo de passeio aleatório dos preços de ativos em diversos horizontes de tempo, para carteiras diversificadas de ações no mercado brasileiro. Evidências contrárias a tal modelo são observadas nos horizontes diário e semanal, caracterizados por persistência. As evidências são mais fracas em períodos mais recentes. Encontramos também sazonalidades diárias, incluindo o efeito segunda-feira, e mensais. Adicionalmente, um padrão de assimetria de autocorrelações cruzadas de primeira ordem entre os retornos de carteiras de firmas agrupadas segundo seu tamanho também é observado, indicando no caso de retornos diários e semanais que retornos de firmas grandes ajudam a prever retornos de firmas pequenas. Evidências de não linearidades nos retornos são observadas em diversos horizontes de tempo.

Essays on regulatory risk issues

Most studies around that try to verify the existence of regulatory risk look mainly at developed countries. Looking at regulatory risk in emerging market regulated sectors is no less important to improving and increasing investment in those markets. This thesis comprises three papers comprising regulatory risk issues. In the first Paper I check whether CAPM betas capture information on regulatory risk by using a two-step procedure. In the first step I run Kalman Filter estimates and then use these estimated betas as inputs in a Random-Effect panel data model. I find evidence of regulatory risk in electricity, telecommunications and all regulated sectors in Brazil. I find further evidence that regulatory changes in the country either do not reduce or even increase the betas of the regulated sectors, going in the opposite direction to the buffering hypothesis as proposed by Peltzman (1976). In the second Paper I check whether CAPM alphas say something about regulatory risk. I investigate a methodology similar to those used by some regulatory agencies around the world like the Brazilian Electricity Regulatory Agency (ANEEL) that incorporates a specific component of regulatory risk in setting tariffs for regulated sectors. I find using SUR estimates negative and significant alphas for all regulated sectors especially the electricity and telecommunications sectors. This runs in the face of theory that predicts alphas that are not statistically different from zero. I suspect that the significant alphas are related to misspecifications in the traditional CAPM that fail to capture true regulatory risk factors. On of the reasons is that CAPM does not consider factors that are proven to have significant effects on asset pricing, such as Fama and French size (ME) and price-to-book value (ME/BE). In the third Paper, I use two additional factors as controls in the estimation of alphas, and the results are similar. Nevertheless, I find evidence that the negative alphas may be the result of the regulated sectors premiums associated with the three Fama and French factors, particularly the market risk premium. When taken together, ME and ME/BE regulated sectors diminish the statistical significance of market factors premiums, especially for the electricity sector. This show how important is the inclusion of these factors, which unfortunately is scarce in emerging markets like Brazil.

A model of private bank-note issue

A random-matching model (ofmoney) is formulated in which there is complete public knowledge of the trading histories of a subset of the population, called the banking sector, and no public knowledge of the trading histories of the complement of that subset, called the non bank sector. Each person, whether a banker or a non banker, is assumed to have the technological capability to create indivisible and durable objects called notes. If outside money is indivisible and sufficiently scarce, then the optimal mechanism is shown to have note issue and note destruction (redemption) by members of the banking sector.

Some benefits of cyclical monetary policy

In this paper, we present a simple random-matching model of seasons, where di§erent seasons translate into di§erent propensities to consume and produce. We Önd that the cyclical creation and destruction of money is beneÖcial for welfare under a wide variety of circumstances. Our model of seasons can be interpreted as providing support for the creation of the Federal Reserve System, with its mandate of supplying an elastic currency for the nation.

Microcrédito, emprego e renda: uma pesquisa empírica na ICC-BLUSOL/SC

Esta pesquisa objetivou analisar o impacto do microcrédito junto aos microempreendedores beneficiados pela Instituição de Microcrédito ICC-Blusol de Blumenau, Santa Catarina. De um total de 5.451 clientes foram selecionados e analisados 94, os quais obtiveram microcrédito durante os 10 últimos anos. Para testar a veracidade da afirmação, utilizou-se modelo econométrico utilizando a técnica de dados em painel, através da estimação das variáveis no modelo de efeitos fixos e efeitos aleatórios. Como variável independente utilizou-se a premissa "Valor do Empréstimo" e como variáveis dependentes "Vendas", "Resultado Operacional", "Garantia Real", "Garantia Aval", "Recursos Humanos", "Custos Fixos" e "Custos Variáveis". Conclui -se que somente as variáveis "Vendas" e "Resultado Operacional" validam a afirmação de que o acesso ao microcrédito resulta em incremento de Faturamento e Renda. A criação e manutenção de empregos, embora não tenha sido comprovada na análise estatística, ficou evidente, pois a simples sobrevivência da empresa já pressupõe isto.

Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons

The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly frequencies from 1957 to 2012, extracted from the IFS, and annual data, provided from 1900-2010 by the U.S. Geological Survey (USGS). We also employ the (relatively large) list of co-variates used in Welch and Goyal (2008) and in Hong and Yogo (2009). We investigate short- and long-run comovement by applying the techniques and the tests proposed in the common-feature literature. One of the main contributions of this paper is to understand the short-run dynamics of metal prices. We show theoretically that there must be a positive correlation between metal-price variation and industrial-production variation if metal supply is held fixed in the short run when demand is optimally chosen taking into account optimal production for the industrial sector. This is simply a consequence of the derived-demand model for cost-minimizing firms. Our empirical evidence fully supports this theoretical result, with overwhelming evidence that cycles in metal prices are synchronized with those in industrial production. This evidence is stronger regarding the global economy but holds as well for the U.S. economy to a lesser degree. Regarding out-of-sample forecasts, our main contribution is to show the benefits of forecast-combination techniques, which outperform individual-model forecasts - including the random-walk model. We use a variety of models (linear and non-linear, single equation and multivariate) and a variety of co-variates and functional forms to forecast the returns and prices of metal commodities. Using a large number of models (N large) and a large number of time periods (T large), we apply the techniques put forth by the common-feature literature on forecast combinations. Empirically, we show that models incorporating (short-run) common-cycle restrictions perform better than unrestricted models, with an important role for industrial production as a predictor for metal-price variation.

Inflation when the planner wants less spending

I study optima in a random-matching model of outside money. The examples in this paper show a conflict between private and collective interests. While the planner worry about the extensive and intensive margin effects of trades in a steady state, people want the exhaust the gains from trades immediately, i.e., once in a meeting, consumers prefer spend more for a better output than take the risk of saving money and wait for good meetings in the future. Thus, the conflict can force the planner to choose allocations with a more disperse money distribution, mainly if people are im- patient. When the patient rate is low enough, the planner uses a expansionary policy to generate a better distribution of money for future trades.

Correcting the fixed-effect estimator for endogenous switching

In this paper, we propose a two-step estimator for panel data models in which a binary covariate is endogenous. In the first stage, a random-effects probit model is estimated, having the endogenous variable as the left-hand side variable. Correction terms are then constructed and included in the main regression.