Empirical measures,learning and sunspot equilibrium

In this paper we construct sunspot equilibria that arrise from chaotic deterministic dynamics. These equilibria are robust and therefore observables. We prove that they may be learned by a sim pie rule based on the histograms or past state variables. This work gives the theoretical justification or deterministic models that might compete with stochastic models to explain real data.

The ex-Ante non-optimality of the Dempster-Schafer updating rule for ambiguous beliefs

The most widely used updating rule for non-additive probalities is the Dempster-Schafer rule. Schmeidles and Gilboa have developed a model of decision making under uncertainty based on non-additive probabilities, and in their paper ���Updating Ambiguos Beliefs��� they justify the Dempster-Schafer rule based on a maximum likelihood procedure. This note shows in the context of Schmeidler-Gilboa preferences under uncertainty, that the Dempster-Schafer rule is in general not ex-ante optimal. This contrasts with Brown���s result that Bayes��� rule is ex-ante optimal for standard Savage preferences with additive probabilities.

In search of exchange rate predictability : a study about accuracy, consistency, and granger causality of forecasts generated by a Taylor Rule Model

Este estudo investiga o poder preditivo fora da amostra, um m��s �� frente, de um modelo baseado na regra de Taylor para previs��o de taxas de c��mbio. Revisamos trabalhos relevantes que concluem que modelos macroecon��micos podem explicar a taxa de c��mbio de curto prazo. Tamb��m apresentamos estudos que s��o c��ticos em rela����o �� capacidade de vari��veis macroecon��micas preverem as varia����es cambiais. Para contribuir com o tema, este trabalho apresenta sua pr��pria evid��ncia atrav��s da implementa����o do modelo que demonstrou o melhor resultado preditivo descrito por Molodtsova e Papell (2009), o ���symmetric Taylor rule model with heterogeneous coefficients, smoothing, and a constant���. Para isso, utilizamos uma amostra de 14 moedas em rela����o ao d��lar norte-americano que permitiu a gera����o de previs��es mensais fora da amostra de janeiro de 2000 at�� mar��o de 2014. Assim como o crit��rio adotado por Galimberti e Moura (2012), focamos em pa��ses que adotaram o regime de c��mbio flutuante e metas de infla����o, por��m escolhemos moedas de pa��ses desenvolvidos e em desenvolvimento. Os resultados da nossa pesquisa corroboram o estudo de Rogoff e Stavrakeva (2008), ao constatar que a conclus��o da previsibilidade da taxa de c��mbio depende do teste estat��stico adotado, sendo necess��ria a ado����o de testes robustos e rigorosos para adequada avalia����o do modelo. Ap��s constatar n��o ser poss��vel afirmar que o modelo implementado prov��m previs��es mais precisas do que as de um passeio aleat��rio, avaliamos se, pelo menos, o modelo �� capaz de gerar previs��es ���racionais���, ou ���consistentes���. Para isso, usamos o arcabou��o te��rico e instrumental definido e implementado por Cheung e Chinn (1998) e conclu��mos que as previs��es oriundas do modelo de regra de Taylor s��o ���inconsistentes���. Finalmente, realizamos testes de causalidade de Granger com o intuito de verificar se os valores defasados dos retornos previstos pelo modelo estrutural explicam os valores contempor��neos observados. Apuramos que o modelo fundamental �� incapaz de antecipar os retornos realizados.

Regras monet��rias e din��mica macroecon��mica no Brasil: uma abordagem de expectativas racionais

Neste artigo estimamos e simulamos um modelo macroecon��mico aberto de expectativas racionais (Batini e Haldane [4]) para a economia brasileira, com o objetivo de identificar as caracter��sticas das regras monet��rias ��timas e a din��mica de curto prazo gerada por elas. Trabalhamos com uma vers��o forward-Iooking e uma vers��o backward-Iooking a fim de comparar o desempenho de tr��s parametriza����es de regras monet��rias, que diferem em rela����o �� vari��vel de infla����o: a tradicional regra de Taylor, que se baseia na infla����o passada; uma regra que combina infla����o e taxa de c��mbio real (ver Ball [5]) e uma regra que utiliza previs��es de infla����o (ver Bank af England [3]). Resolvemos o modelo numericamente e contru��mos fronteiras eficientes em rela����o ��s vari��ncias do produto e da infia����o por simula����es estoc��sticas, para choques i.i.d. ou correlacionados. Os conjuntos de regras ��timas para as duas vers��es s��o qualitativamente distintos. Devido �� incerteza quanto ao grau de forward-Iookingness sugerimos a escolha das regras pela soma das fun����es objetivos nas duas vers��es. Conclu��mos que as regras escolhidas com base neste crit��rio t��m perdas moderadas em rela����o ��s regras ��timas, mas previnem perdas maiores que resultariam da escolha da regra com base na vers��o errada. Finalmente calculamos fun����es de resposta a impulso dos dois modelos para algumas regras selecionadas, a fim de avaliar como diferentes regras monet��rias alteram a din��mica de curto prazo dos dois modelos.

An essay about the effect of vague accounting standards on the decision making process of auditors

Vague words and expressions are present throughout the standards that comprise the accounting and auditing professions. Vagueness is considered to be a significant source of inexactness in many accounting decision problems and many authors have argued that the neglect of this issue may cause accounting information to be less useful. On the other hand, we can assume that the use of vague terms in accounting standards is inherent to principle based standards (different from rule based standards) and that to avoid vague terms, standard setters would have to incur excessive transaction costs. Auditors are required to exercise their own professional judgment throughout the audit process and it has been argued that the inherent vagueness in accounting standards may influence their decision making processes. The main objective of this paper is to analyze the decision making process of auditors and to investigate whether vague accounting standards create a problem for the decision making process of auditors, or lead to a better outcome. This paper makes the argument that vague standards prompt the use of System 2 type processing by auditors, allowing more comprehensive analytical thinking; therefore, reducing the biases associated with System 1 heuristic processing. If our argument is valid, the repercussions of vague accounting standards are not as negative as presented in previous literature, instead they are positive.

O rateio de ICMS por desempenho de munic��pios no Cear�� e seu impacto em indicadores do sistema de avalia����o da educa����o

De todo ICMS arrecadado pelos estados brasileiros, 25% �� distribu��do aos munic��pios. Os estados s��o respons��veis por definir as regras de distribui����o de 25% destes 25% do ICMS que �� transferido aos munic��pios, os outros 75% seguem o crit��rio do Valor Adicionado Fiscal. Alguns estados alteraram suas leis para que a distribui����o seja realizada em fun����o do desempenho dos munic��pios em algumas ��reas com o intuito de incentiva-lo a melhorarem sua performance em busca de uma maior fatia do ICMS. Seguindo esta l��gica est�� o estado do Cear�� onde 100% do ICMS distribu��do segundo regras estaduais �� calculado a partir do desempenho dos munic��pios em indicadores de resultado nas ��reas da educa����o (72%), sa��de (20%) e meio ambiente (8%). Este estudo tem como objetivo estimar o efeito que a mudan��a da Lei de distribui����o do ICMS do Cear�� teve em indicadores de resultado da ��rea da educa����o: IDEB e Prova Brasil. Para tanto, foi utilizado o m��todo da Dupla Diferen��a por meio da constru����o de grupos de controle e tratamento. Assim, comparou-se a evolu����o do desempenho, anteriormente e posteriormente �� mudan��a, de munic��pios cearenses com munic��pios parecidos de estados vizinhos, por��m, n��o submetidos a mesma regra de distribui����o de ICMS. De forma complementar, foram feitas outras duas analises separando os munic��pios do estado do Cear�� entre ganhadores e perdedores de recursos de ICMS com a mudan��a na Lei e entre os detentores dos melhores e piores desempenhos de PIB per capita. Os resultados apontam impactos positivos no desempenho dos munic��pios cearenses tanto no IDEB quanto na Prova Brasil. Mesmo os munic��pios que perderam recursos com mudan��a das regras de distribui����o de ICMS, melhoraram sua performance na educa����o. Os munic��pios mais pobres do estado, que apresentam desempenho pior do que os munic��pios mais ricos, aumentaram o desempenho reduzindo a diferen��a de profici��ncia se comparada aos munic��pios mais ricos. Neste sentido, h�� ind��cios de que a mudan��a na Lei do ICMS implementada pelo estado do Cear�� gerou impactos positivos no desempenho dos munic��pios no IDEB e na Prova Brasil.

An evolving possibilistic fuzzy modeling approach for value-at-risk estimation

Market risk exposure plays a key role for nancial institutions risk management. A possible measure for this exposure is to evaluate losses likely to incurwhen the price of the portfolio's assets declines using Value-at-Risk (VaR) estimates, one of the most prominent measure of nancial downside market risk. This paper suggests an evolving possibilistic fuzzy modeling approach for VaR estimation. The approach is based on an extension of the possibilistic fuzzy c-means clustering and functional fuzzy rule-based modeling, which employs memberships and typicalities to update clusters and creates new clusters based on a statistical control distance-based criteria. ePFM also uses an utility measure to evaluate the quality of the current cluster structure. Computational experiments consider data of the main global equity market indexes of United States, London, Germany, Spain and Brazil from January 2000 to December 2012 for VaR estimation using ePFM, traditional VaR benchmarks such as Historical Simulation, GARCH, EWMA, and Extreme Value Theory and state of the art evolving approaches. The results show that ePFM is a potential candidate for VaR modeling, with better performance than alternative approaches.

A note on learning chaotic sunspot equilibrium

In this paper we prove convergence to chaotic sunspot equilibrium through two learning rules used in the bounded rationality literature. The rst one shows the convergence of the actual dynamics generated by simple adaptive learning rules to a probability distribution that is close to the stationary measure of the sunspot equilibrium; since this stationary measure is absolutely continuous it results in a robust convergence to the stochastic equilibrium. The second one is based on the E-stability criterion for testing stability of rational expectations equilibrium, we show that the conditional probability distribution de ned by the sunspot equilibrium is expectational stable under a reasonable updating rule of this parameter. We also report some numerical simulations of the processes proposed.

Does absorptive capacity affect project performance? A study based on project management practices, organization learning, and knowledge

The literature has emphasized that absorptive capacity (AC) leads to performance, but in projects its influences still unclear. Additionally, the project success is not well understood by the literature, and AC can be an important mechanism to explain it. Therefore, the purpose of this study is to investigate the effect of absorptive capacity on project performance in the construction industry of S��o Paulo State. We study this influence through potential and realized absorptive capacity proposed by Zahra and George (2002). For achieving this goal, we use a combination of qualitative and quantitative research. The qualitative research is based on 15 interviews with project managers in different sectors to understand the main constructs and support the next quantitative phase. The content analysis was the technique used to analyze those interviews. In quantitative phase through a survey questionnaire, we collected 157 responses in the construction sector with project managers. The confirmatory factor analysis and hierarchical linear regression were the techniques used to assess the data. Our findings suggest that the realized absorptive capacity has a positive influence on performance, but potential absorptive capacity and the interactions effect have no influence on performance. Moreover, the planning and monitoring have a positive impact on budget and schedule, and customer satisfaction while risk coping capacity has a positive impact on business success. In academics terms, this research enables a better understanding of the importance of absorptive capacity in the construction industry and it confirms that knowledge application in processes and routines enhances performance. For management, the absorptive capacity enables the improvements of internal capabilities reflected in the increased project management efficiency. Indeed, when a company manages project practices efficiently it enhances business and project performance; however, it needs initially to improve its internal abilities to enrich processes and routines through relevant knowledge.