Homothetic preferences

This paper describes properties of upper semi-continuous homothetic preferences. First we give conditions for the existence of an upper semi-continuous representation which is homogeneous of degree one. Then we show that with the additional assumptions of monotonicity or strict convexity, the preference is continuous. Several counterexamples illustrate the tightness of the results.

Solving the non-convexity problem in some shopping-time and human-capital models

Several works in the shopping-time and in the human-capital literature, due to the nonconcavity of the underlying Hamiltonian, use Örst-order conditions in dynamic optimization to characterize necessity, but not su¢ ciency, in intertemporal problems. In this work I choose one paper in each one of these two areas and show that optimality can be characterized by means of a simple aplication of Arrowís (1968) su¢ ciency theorem.

Convexity in multidimensional mechanism design

The present article initiates a systematic study of the behavior of a strictly increasing, C2 , utility function u(a), seen as a function of agents' types, a, when the set of types, A, is a compact, convex subset of iRm . When A is a m-dimensional rectangle it shows that there is a diffeomorphism of A such that the function U = u o H is strictly increasing, C2 , and strictly convexo Moreover, when A is a strictly convex leveI set of a nowhere singular function, there exists a change of coordinates H such that B = H-1(A) is a strictly convex set and U = u o H : B ~ iR is a strictly convex function, as long as a characteristic number of u is smaller than a characteristic number of A. Therefore, a utility function can be assumed convex in agents' types without loss of generality in a wide variety of economic environments.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE transactions data, with special attention to IBM price durations. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Abstract types and distributions in independent private value auctions

In this note, in an independent private values auction framework, I discuss the relationship between the set of types and the distribution of types. I show that any set of types, finite dimensional or not, can be extended to a larger set of types preserving incentive compatibility constraints, expected revenue and bidder’s expected utilities. Thus for example we may convexify a set of types making our model amenable to the large body of theory in economics and mathematics that relies on convexity assumptions. An interesting application of this extension procedure is to show that although revenue equivalence is not valid in general if the set of types is not convex these mechanism have underlying distinct allocation mechanism in the extension. Thus we recover in these situations the revenue equivalence.

Inflation and debt indexation : the equivalence of two alternative schemes for the case of periodic payments

The presence of inflation has induced the financial institutions to implement procedures devised to protect the real values of theirs loans. Two of such procedurcs, the floaaing rale scheme and the monetary correction mechanism, tend to lead to very different streams of payments. However, whenever the floating rate scheme follows the rule of Strict adhercnce to lhe Fisher equation, lhe two procedures are financially equivalent.

Endogenous collateral

We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by financial intermediaries is financed by selling back derivatives to consumers. We show that nonarbitrage prices of primitive assets are strict submartingales, whereas nonarbitrage prices of derivatives are supermartingales. Next we establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents.

Responsabilidade social das empresas e valores humanos: um estudo sobre a atitude dos gestores brasileiros

In the last decades of the 21st century, Corporate Social Responsibility (CSR) has become one of the most widely debated issues in business management, concerning researchers, politicians, managers and society at large. With multilateral implications in economic and social life, CSR refers, essentially, to the discussion about the boundaries of business intervention in society and the ethical limits that should regulate that intervention. It questions the impact of business practices in social well-being, the role left for corporations and for the State in attending to community needs, and which are, at last, the responsibilities that tie enterprises to society. In this research, CSR is approached from the perspective of its ethical foundations, based on the moral reasoning of the business manager, as a key organizational leader with relevant decision power. Specifically, the research aims to understand how the personal human value system and the ethical orientation of managers influence their attitude towards CSR, considering this attitude as an indicator of managerial behavior that translates into corporate performance. Theoretically, CSR concept is discussed and presented as a set of social commitments, based on a strict interpretation of its meaning. As to human values, its philosophical roots are briefly analyzed and Schwartz modern motivational theory is addressed as main reference for studying the personal value system of managers in this research. Concerning ethics, based on classical theory from moral philosophy, references are seek in John Stuart Mill¿s utilitarianism, Immanuel Kant¿s deontological absolutism, John Rawls¿s theory of justice and the ethics of virtue inspired by Aristotle¿s moral thoughts. Based on an extended literature review, research hypothesis are proposed as part of a theoretical model of analysis named Individual Attitude Towards Social Responsibility Model. In order to test the theory¿s empirical validity, it was conducted a field study with 252 Brazilian managers, mainly from the metropolitan areas of São Paulo and Rio de Janeiro. Results show that managerial attitude aligned with CSR principles is favored by conservative personal values, protectors of stability and centered on collective will, and by an ethical orientation based on egalitarianism as postulated by distributive justice principles. However, results also show that the influence of values and personal ethics on managerial attitude towards CSR only occur in managers younger than 30 years old. Findings and their meanings are discussed, as well as summarized in the Axiological and Ethical Determinants of Managers¿ Social Commitment Model. Finally, methodological limitations are evaluated and clues for further research are suggested.

Ambiente interno : a participação e o envolvimento das pessoas na busca do diferencial competitivo

Day after day, even small companies and multinationals brands need to compete in a worldwide market. All kind of global strategies have to involve production and regional market knowledge. Still being essential for company have a complete view of it market and it right position to gain competitive advantage. In a global market, get possible for the companies be in touch with last generation technologies and equipment's and all kind of research. Companies like that should develop products focused in customer's desire, even those extremely strict. Specifically in our country, as hard as we could think, the companies have access to credit lines, to the fiscal incentives offered by the states that alliance with the market potential are making possible the appearance of a lot companies and the growth of the companies already existent. However, these resources alone don't produce results to the company if it doesn't possess an internal organization able to assimilate the new market situation. The companies have to be able to apply the maximum resources offered by new technologies and understand how a communications facility means solution for many internal problems. In short terms, technology, financial resources, research and knowledge are available, however, the human resources might be prepared and developed in order to become the whole knowledge in profits. According 'JURAN' and his Total Quality Control philosophy the human resources playing fundamental role in the process, and in my opinion a company is something like a ship where all must be prepared to hold the rudder. I will develop a basic job looking for productivity and company's development through the people's involvement, focused in process of motivation, creativity and staff valorization. I believe that there no good production process without those requirements. Based on real case of a automotive parts and foundry company, located in Bento Gonçalves - RS, this work will look for to organize it mainly in its Industrial Division, adopting in participate administration where, through a information system and personnel involvement we will seek all favorable conditions to politics and strategies in get the growth of company.

O lugar da imagem: ANCINE, ANCINAV e o desafio da regulação do audiovisual no Brasil

O objetivo desta pesquisa é analisar como políticas públicas de regulação, fiscalização e incentivo à indústria audiovisual no Brasil, a partir da criação da ANCINE ¿ Agência Nacional do Cinema estão inseridas na perspectiva das transformações recentes do aparato institucional do Estado brasileiro e qual o seu sentido para o entendimento das agências reguladoras independentes no país. Além disso, avaliamos o debate sobre a mudança no perfil e escopo da agência, para uma perspectiva mais estritamente regulatória,com a proposta de sua substituição pela ANCINAV ¿ Agência Nacional do Cinema e do Audiovisual e a forma polêmica pela qual esta proposta foi discutida, tanto no campo setorial como no âmbito político mais amplo. Interpretamos essa experiência brasileira como a difusão de um aparato institucional articulador de política pública setorial, concretização, ainda que potencial, dos anseios por legitimidade, credibilidade e estabilidade institucional no setor, ao mesmo tempo que limitada em seu escopo regulatório pela dificuldade em ampliar sua atividade em direção aos meios de comunicação de massa.

Mercado brasileiro: aplicação de análise de componentes principais no cálculo de VAR para carteiras de renda fixa

A abordagem do Value at Risk (VAR) neste trabalho será feita a partir da análise da curva de juros por componentes principais (Principal Component Analysis – PCA). Com essa técnica, os movimentos da curva de juros são decompostos em um pequeno número de fatores básicos independentes um do outro. Entre eles, um fator de deslocamento (shift), que faz com que as taxas da curva se movam na mesma direção, todas para cima ou para baixo; de inclinação (twist) que rotaciona a curva fazendo com que as taxas curtas se movam em uma direção e as longas em outra; e finalmente movimento de torção, que afeta vencimentos curtos e longos no mesmo sentido e vencimentos intermediários em sentido oposto. A combinação destes fatores produz cenários hipotéticos de curva de juros que podem ser utilizados para estimar lucros e perdas de portfolios. A maior perda entre os cenários gerados é uma maneira intuitiva e rápida de estimar o VAR. Este, tende a ser, conforme verificaremos, uma estimativa conservadora do respectivo percentual de perda utilizado. Existem artigos sobre aplicações de PCA para a curva de juros brasileira, mas desconhecemos algum que utilize PCA para construção de cenários e cálculo de VAR, como é feito no presente trabalho.Nesse trabalho, verificaremos que a primeira componente principal produz na curva um movimento de inclinação conjugado com uma ligeira inclinação, ao contrário dos resultados obtidos em curvas de juros de outros países, que apresentam deslocamentos praticamente paralelos.

Pharmaceutical patent bargains: the Brazilian experience

In the backdrop of the strict patent regime flatly adopted by the World Trade Organization (WTO) for all countries, a few countries constantly challenge this system through aggressive patent bargains. Within the pharmaceutical sector, noticeably, some countries now threaten to issue or otherwise actually issue compulsory licenses that may sway large pharmaceutical companies into selling drugs with large discounts or into granting voluntary licenses domestically. That is conspicuously the negotiation strategy adopted by Brazil in its negotiations with big international pharmaceutical companies.This paper explains Brazil’s aggressive bargaining approach based on an analysis of two aspects of its political economy. The first has to do with the international context of patent bargaining in the post-WTO era. Accordingly, the existence of large and fast growing domestic markets position countries such as Brazil as strategic destinations for Foreign Direct Investment (FDI) and trade. Together with an absence of a propensity to innovate in pharmaceutical products, these conditions boost Brazil’s bargaining power for issuing compulsory licenses over pharmaceutical products. The second aspect is related to political economy dynamics inside Brazil. Accordingly, the political framework in Brazil undermines long-term policies and favors short-sighted ones also vis-a-vis R&D investments in the pharmaceutical industry. This remains true regardless of the strictness of the patent regime in place. The lesson of Brazil is relevant arguably for other more powerful developing countries which presently examine Brazil's approach while further challenging the WTO's strict patent policy for the future.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

Are one-sided S,s rules useful proxies for optimal pricing rules?

This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. It aims to assess whether one-sided pricing rules could be an adequate individual rule for macroeconomic models, despite its suboptimality. It aims to answer two questions. First, since agents are not fully rational, is it plausible that they use such a non-optimal rule? Second, even if the agents adopt optimal rules, is the economist committing a serious mistake by assuming that agents use one-sided Ss rules? Using parameters based on real economy data, we found that since the additional cost involved in adopting the simpler rule is relatively small, it is plausible that one-sided rules are used in practice. We also found that suboptimal one-sided rules and optimal two-sided rules are in practice similar, since one of the bounds is not reached very often. We concluded that the macroeconomic effects when one-sided rules are suboptimal are similar to the results obtained under two-sided optimal rules, when they are close to each other. However, this is true only when one-sided rules are used in the context where they are not optimal.

Inflation and overbanking

This paper argues that monetary models can and usually present the phenomenon of over-banking; that is, the market solution of the model presents a size of the banking sector which is higher than the social optima. Applying a two sector monetary model of capital accumulation in presence of a banking sector, which supplies liquidity services, it is shown that the rise of a tax that disincentives the acquisition of the banking service presents the following impacts on welfare. If the technology is the same among the sectors, the tax increases welfare; otherwise, steady-state utility increase if the banking sector is labor-intensive compared to the real sector. Additionally, it is proved that the elevation of inflation has the following impact on the economy's equilibrium: the share on the product of the banking sector increases; the product and the stock of capital increases or reduces whether the banking sector is capital-intensive or laborintensive; and, the steady-state utility reduces. The results were derived under a quite general set up - standard hypothesis regarding concavity of preference, convexity of technology, and normality of goods - were required.