Further investigation of the uncertain trend in U.S. GDP

The presence of deterministic or stochastic trend in U.S. GDP has been a continuing debate in the literature of macroeconomics. Ben-David and Papell (1995) found evindence in favor of trend stationarity using the secular sample of Maddison (1995). More recently, Murray and Nelson (2000) correctly criticized this nding arguing that the Maddison data are plagued with additive outliers (AO), which bias inference towards stationarity. Hence, they propose to set the secular sample aside and conduct inference using a more homogeneous but shorter time-span post-WWII sample. In this paper we re-visit the Maddison data by employing a test that is robust against AO s. Our results suggest the U.S. GDP can be modeled as a trend stationary process.

The welfare cost of macroeconomic uncertainty in the post-war period

Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic uncertainty for the post-WWII era using the multivariate Beveridge-Nelson decomposition for trends and cycles, which considers not only business-cycle uncertainty but also uncertainty from the stochastic trend in consumption. The post-WWII period is relatively quiet, with the welfare costs of uncertainty being about 0:9% of per-capita consumption. Although changing the decomposition method changed substantially initial results, the welfare cost of uncertainty is qualitatively small in the post-WWII era - about $175.00 a year per-capita in the U.S. We also computed the marginal welfare cost of macroeconomic uncertainty using this same technique. It is about twice as large as the welfare cost ñ$350.00 a year per-capita.

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.

On the welfare costs of business cycles in the 20th century

Lucas (1987) has shown a surprising result in business-cycle research, that the welfare cost of business cycles are relatively small. Using standard assumptions on preferences and a reasonable reduced form for consumption, we computed these welfare costs for the pre- and post-WWII era, using three alternative trend-cycle decomposition methods. The post-WWII period is very era this basic result is dramatically altered. For the Beveridge and Nelson decomposition, and reasonable preference parameter and discount values, we get a compensation of about 5% of consumption, which is by all means a sizable welfare cost (about US$ 1,000.00 a year).

Responsabilidade social corporativa como estratégia de negócio: modelos conceituais e exemplos ilustrativos

O tema da responsabilidade social empresarial vem ganhando força e atenção tanto das organizações empresariais quanto da sociedade civil. Os impactos do mundo pós-guerra, da globalização e do desenvolvimento somam consequências ambientais, sociais e poluição. Como atores inseridos nessas realidades, as empresas também sofrem as consequências destas mudanças. O próprio papel das organizações na sociedade e os limites e alcances de sua atuação recebem novas perspectivas. A conjuntura atual traz às empresas novos desafios e possibilidades no que se refere à Responsabilidade Corporativa. Estas mudanças têm impacto na própria organização da empresa (seus objetivos, relacionamento com consumidores, trabalhadores etc.) e, como consequência, em suas próprias estratégias. Grande parte das ações de Responsabilidade Corporativa se baseia em visões estreitas de atuação – essencialmente, uma postura reativa, como consequência de pressões e obrigações. No entanto, tem-se observado a ascensão de uma nova proposta, mais proativa: em algumas empresas pioneiras, a Responsabilidade Corporativa é vista como parte integrante e fundamental da estratégia empresarial, gerando benefícios não apenas para a sociedade, mas também para a própria empresa. O presente trabalho inicia-se com uma investigação da literatura sobre a evolução da Responsabilidade Social. Em seguida, propõe-se um modelo conceitual, relacionando Responsabilidade Corporativa e Estratégia, o qual expõe os caminhos possíveis de integração entre estes. Parte-se, portanto da ideia de que a Responsabilidade Corporativa pode ser abordada como uma questão estratégica, capaz de atender, em diferentes níveis e profundidades, pontos cruciais para o bom desempenho empresarial. A aplicabilidade do modelo proposto é demonstrada através da análise de exemplos ilustrativos de empresas que vêm incorporando a Responsabilidade Corporativa como parte integrante de sua estratégia de negócio. Como conclusão, constata-se que, quando é parte de uma estratégia formal, a adoção de uma abordagem responsável não só traz ganhos de imagem, mas também gera, para empresas que a praticam, resultados tangíveis, ao mesmo tempo em pode assegurar, para a Sociedade, um mundo mais sustentável, com melhor qualidade de vida para todos.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle fluctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major differences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values -β=0.985, and ∅=5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% - the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business- cycle fluctuations are respectively 0.63% and 1.17% of per-capita consumption. The same figures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.

On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century

Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel setup that separates the effects of uncertainty stemming from business-cycle uctuations and economic-growth variation. Second, we extend the sample from which to compute the moments of consumption: the whole of the literature chose primarily to work with post-WWII data. For this period, actual consumption is already a result of counter-cyclical policies, and is potentially smoother than what it otherwise have been in their absence. So, we employ also pre-WWII data. Third, we take an econometric approach and compute explicitly the asymptotic standard deviation of welfare costs using the Delta Method. Estimates of welfare costs show major diferences for the pre-WWII and the post-WWII era. They can reach up to 15 times for reasonable parameter values = 0:985, and = 5. For example, in the pre-WWII period (1901-1941), welfare cost estimates are 0.31% of consumption if we consider only permanent shocks and 0.61% of consumption if we consider only transitory shocks. In comparison, the post-WWII era is much quieter: welfare costs of economic growth are 0.11% and welfare costs of business cycles are 0.037% the latter being very close to the estimate in Lucas (0.040%). Estimates of marginal welfare costs are roughly twice the size of the total welfare costs. For the pre-WWII era, marginal welfare costs of economic-growth and business-cycle uctuations are respectively 0.63% and 1.17% of per-capita consumption. The same gures for the post-WWII era are, respectively, 0.21% and 0.07% of per-capita consumption.