Endogenous Transaction Costs

The paper proposes an alternative general equilibrium formulation of financial asset economies with transactions costs. Transaction costs emerge endogenously at equilibrium and reflect agents decisions of intermediating financial activities at the expense of providing labor services. An equilibrium is shown to exist in the case of real asset structures.

How to indirectly assess transaction costs to evaluate market integration: evidence from the international ethanol market

Mercados são instituições criadas para facilitar uma atividade de comercialização. Isto é possível porque um mercado é constituído por instituições que foram desenhadas para reduzir os custos de transação associados a este processo de troca. A partir dessas duas ideias, esta tese possui três objetivos principais. (i) Analisar por que a literatura de análise de cointegração tem mensurado estes custos de forma imprecisa. A principal razão é certa confusão entre os conceitos de custos de transação, de transporte e de comercialização. (ii) Propor um procedimento para mensurar indiretamente os custos de transação de mercado variáveis combinando os modelos de cointegração com mudança de regime e a estrutura teórica oferecidas pela Nova Economia Institucional. Este procedimento é aplicado para quantificar quanto custa comercializar etanol no mercado internacional usando suas atuais instituições. (iii) Por fim, usando os mesmos modelos e a mesma estrutura teórica, esta dissertação contesta a hipótese de que já existe um mercado internacional de etanol bem desenvolvido, tal qual a literatura tem assumido. De forma semelhante, também é avaliada a hipótese de que a remoção das barreiras comerciais norte-americanas para o etanol brasileiro seria uma condição suficiente para o desenvolvimento deste mercado internacional. Os testes aplicados rejeitam ambas as hipóteses.

Portifolio selection with random transaction costs

Transaction costs have a random component in the bid-ask spread. Facing a high bid-ask spread, the consumer has the option to wait for better terms oI' trade, but only by carrying an undesirable portfolio balance. We present the best policy in this case. We pose the control problem and show that the value function is the uni que viscosity solution of the relevant variational inequality. Next, a numerical procedure for the problem is presented.

Information asymmetry and transaction costs in a cross-cultural business transaction

The intent of this paper is to provide a practitioners insight into the present and foreseeable future of problem of transaction cost economics related to culture and business etiquette that may increase the of complexity of business communication. We will also explore whether it impacts participant's mindsets regarding opportunistic or passive aggressive behavior. We will study the role of culture, ethics, information asymmetry, and legal systems regarding their importance towards the business contracts and lack of knowledge in local environments. We will make connections to contract theory strategies and objectives and recommend business practices. Furthermore, economic theory explores the role of the impossibility of the perfect contract. Historical and present day operational factors are examined for the determination of forward-looking contract law indications worldwide. This paper is intended provide a practitioners view with a global perspective of a multinational, mid-sized and small corporations giving consideration in a non-partisan and non-nationalistic view, yet examines the individual characteristics of the operational necessities and obligations of any corporation. The study will be general, yet cite specific articles to each argument and give adequate consideration to the intricacies of the global asymmetry of information. This paper defends that corporations of any kind and size should be aware of the risk of international business etiquette and cultural barriers that might jeopardize the savings you could obtain from engaging international suppliers.

Speculative attacks on debts and optimum currency area: a welfare analysis

Traditionally the issue of an optimum currency area is based on the theoretical underpinnings developed in the 1960s by McKinnon [13], Kenen [12] and mainly Mundell [14], who is concerned with the benefits of lowering transaction costs vis-à- vis adjustments to asymmetrical shocks. Recently, this theme has been reappraised with new aspects included in the analysis, such as: incomplete markets, credibility of monetary policy and seigniorage, among others. For instance, Neumeyer [15] develops a general equilibrium model with incomplete asset markets and shows that a monetary union is desirable when the welfare gains of eliminating the exchange rate volatility are greater than the cost of reducing the number of currencies to hedge against risks. In this paper, we also resort to a general equilibrium model to evaluate financial aspects of an optimum currency area. Our focus is to appraise the welfare of a country heavily dependent on foreign capital that may suffer a speculative attack on its public debt. The welfare analysis uses as reference the self-fulfilling debt crisis model of Cole and Kehoe ([6], [7] and [8]), which is employed here to represent dollarization. Under this regime, the national government has no control over its monetary policy, the total public debt is denominated in dollars and it is in the hands of international bankers. To describe a country that is a member of a currency union, we modify the original Cole-Kehoe model by including public debt denominated in common currency, only purchased by national consumers. According to this rule, the member countries regain some influence over the monetary policy decision, which is, however, dependent on majority voting. We show that for specific levels of dollar debt, to create inflation tax on common-currency debt in order to avoid an external default is more desirable than to suspend its payment, which is the only choice available for a dollarized economy when foreign creditors decide not to renew their loans.

Análise do desempenho de regras da análise técnica aplicada ao mercado intradiário do contrato futuro do índice Ibovespa

Este artigo tem como objetivo verificar a robustez do contéudo preditivo de regras da análise técnica, usando informações intradiárias do mercado futuro do índice de ações da Bolsa de Valores de São Paulo (Ibovespa Futuro). A metodologia sugerida foi a avaliacão em grupos, conforme os resultados de Baptista (2002), tal que as regras são obtidas conforme os resultados em alguns dos subperíodos estudados, sendo testadas em períodos subsequentes. Como resultado, obteve-se robustez ao longo do tempo e à taxa de amostragem dos dados no desempenho das regras acima do benchmark (buy-and-hold), porém considerações realistas acerca do momento de compra, assim como da corretagem (exceto grande investidor), podem reduzir substancialmente os ganhos

“Ombro-cabeça-ombro”: testando a lucratividade do padrão gráfico de análise técnica no mercado de ações brasileiro

A partir de uma adaptação da metodologia de Osler e Chang (1995), este trabalho avalia, empiricamente, a lucratividade de estratégias de investimento baseadas na identificação do padrão gráfico de Análise Técnica Ombro-Cabeça-Ombro no mercado de ações brasileiro. Para isso, foram definidas diversas estratégias de investimento condicionais à identificação de padrões Ombro-Cabeça- Ombro (em suas formas padrão e invertida), por um algoritmo computadorizado, em séries diárias de preços de 47 ações no período de janeiro de 1994 a agosto de 2006. Para testar o poder de previsão de cada estratégia, foram construídos intervalos de confiança, a partir da técnica Bootstrap de inferência amostral, consistentes com a hipótese nula de que, baseado apenas em dados históricos, não é possível criar estratégias com retornos positivos. Mais especificamente, os retornos médios obtidos por cada estratégia nas séries de preços das ações, foram comparados àqueles obtidos pelas mesmas estratégias aplicadas a 1.000 séries de preços artificiais - para cada ação - geradas segundo dois modelos de preços de ações largamente utilizados: Random Walk e E-GARCH. De forma geral, os resultados encontrados mostram que é possível criar estratégias condicionais à realização dos padrões Ombro- Cabeça-Ombro com retornos positivos, indicando que esses padrões conseguem capturar nas séries históricas de preços de ações sinais a respeito da sua movimentação futura de preços, que não são explicados nem por um Random Walk e nem por um E-GARCH. No entanto, se levados em consideração os efeitos das taxas e dos custos de transação, dependendo das suas magnitudes, essas conclusões somente se mantêm para o padrão na sua forma invertida

Predictability of equity models

In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the “stepwise regression” model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.

Aplicações de modelos de procura para bens duráveis de baixa liquidez

I use Search models to study decentralized markets of durable goods. I explore the concept of market liquidity of Lippman and McCall (1986) and show that the theory of optimal search is useful to address the following issues: What governs the time required to make a transaction on these markets? What is the relationship between the price of goods and the time required to make transactions? Why is optimal to wait to make a transaction in markets where individuals discount future utility? What is the socially optima search level? Two specifications are used, the traditional model of job search and a version of Krainer and LeRoy (2001) model.

Planejamento estratégico de canais de marketing: uma aplicação ao franchising no Brasil

Esta pesquisa pretende levantar dados, no mercado brasileiro, que permitam a estruturação de um modelo sobre os critérios de decisão utilizados para a escolha do franchising como estratégia de distribuição tendo como referencial teórico a Teoria da Economia dos Custos de Transação.

Efeitos dinâmicos de programas de estabilização

Com o emprego do modelo de dois setores de acumulação ótima de capital em economia aberta, determina-se o impacto sobre a trajetória do câmbio, dos salários, do investimento, da poupança e, portanto, da dívida externa e do estoque de capital, de uma elevação permanente e não antecipada da produtividade da economia. Em geral, após um choque positivo permanente de produtividade há redução da poupança, piora do balanço de pagamentos em transações correntes e valorização do câmbio. Todos fenômenos que do ponto de vista do modelo são de equilíbrio intertemporal, conseqüência da elevação da renda permanente e do excesso de demanda por bens domésticos que sucede o ganho de produtividade. Supondo que os programas de estabilização elevaram a produtividade da economia é possível com a estrutura analítica construída racionalizar qualitativamente os fenômenos observados após estes planos.

Um estudo sobre dependência no canal auto-serviço: uma perspectiva sob a ótica da teoria da vantagem em recursos

Esse estudo pretende identificar os operadores que caracterizam a dependência, as variáveis relacionadas a investimentos específicos para a condução da relação transacional e salvaguardas desses investimentos segundo a definição do auto-serviço e dos seus fornecedores no Brasil.

Teoria dos custos de transação: o impacto do tipo de investimentos sobre a seleção de canais de marketing

Esse trabalho pretende explorar a bibliografia disponível sobre a Teoria dos Custos de Transação e a partir desse levantamento elaborar um modelo de classificação dos perfis de investimento que determinam as estruturas de governança.

Gestão pública como fonte de competitividade nacional: um estudo da evidência latino-americana no século xx

The thesis explores how the public management influenced the competitivity in the countries of Latin America along the XXth century. A historical review of the development in the modern period leads to a model involving six main variables: public management, innovation, transaction costs, military efficiency, productivity and competitivity. A historical and geographical analysis of the Latin America is used as basis to understand how the development unfolded in the region in light of the model. Several analyses, both quantitative and qualitative, are made involving the variables. It¿s concluded that the influence of public management in the region can be explained through the model, and it was done in two great movements, one in the 1930¿s decade and another one in the 1990¿s decade. The analysis reveals that the action of public management was a reaction to external events and it was done in an adaptive manner. It is also concluded that these actions make sense when seen in light of the Game theory, and that public management always tried to stimulate regional development through coopetition.

Avaliação do impacto da rigidez e da flexibilização normativa, no âmbito do governo federal, sobre a eficiência dos processos de aquisição e contratação

Governmental acquisitions, in Brazil, must be proceeded, as a rule, by means of licitation. Though this principle became constitutional rule only from 1988's Constitution, its existence in Brazilian legal system retraces century XV: by that time, the Filipinas Ordinations ruled it in one only law article. Since then, several rules of law had been incorporated to the Brazilian governmental acquirement system, especially during century XX, hardening the procedures and restricting public manager's discritionarity. Current governmental acquirement system was instituted by the Law nº 8,666/1993, which, however, did not disrupt previous system: with few innovations and more restrictions, it only copied the instruments in the system of the Decree nº 2,300/1986 and previous ones. In its original text, Law nº 8,666/1993 had three licitation procedures for acquisitions - concorrência, tomada de preços, convite - and the exceptional procedures - dispensa and inexigibilidade. Once revealed itself a rigid system, several measures were implemented in order to make it more flexible, having for objectives celerity and price reduction, from discrete alterations of articles of laws to the creation of pregão as a new licitation procedure - initially, there was only the pregão presencial, proceeded face to face - and no longer, the pregão eletrônico, proceeded through web. This research focuses the analysis of the impact of the rigidity / flexibility on Government acquirement system. Despite specialized literature, studies carried through for governmental agencies and state publicity praises the results reached with the use of the pregão eletrônico, the analyses that lead to such conclusion are based on questionable premises. The studies on the efficiency of the pregão eletrônico restrict this concept to its economic dimension, interpreting it as costs reduction. Beyond, the methodology of analysis of this cost reduction has for reference hypothetical values which are also defined by random standards. Here it is, therefore, the objective of this study: to analyze, from the perception of the public managers, the relation between flexibility or rigidity of a procedure and its efficiency, under a multidimensional perspective - taking into consideration, beyond the prices gotten for objects, the time of transaction, the quality of objects and the security of the procedure. From the answers to the questionnaires applied to licitation managers and to members of licitations permanent commissions it was raisen three kinds of information: descriptive data concerning to the ordinal or nominal variables, extracted from the analysis of the objective fields of the questionnaire; not-structuralized, extracted directly from the subjective fields of the questionnaire; e, finally, treated data, extracted from the hypotheses formulated in the research and statistically analyzed. The reflections on the information allowed concluding that the acquirement governmental procedures flexibility extends its efficiency. Restricted the analysis to the pregão eletrônico, it is concluded that it is more efficient under the economic and time perspectives, in relation to the classic procedures; however, under the perspective of the security it does not significantly differs from those; under the qualitative perspective, it is less efficient than the classic procedures, implying in the reduction of the quality of acquired or contracted objects.