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.

Non-durable consumption and real-estate prices in Brazil: panel-data analysis at the state level

Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the welfare literature in Brazil and that in the U.S., the U.K., and other developed countries. Our first motivation relates to the fact that real estate is probably more important here than elsewhere as a proportion of wealth, which potentially makes the impact of a price change bigger here. Our second motivation relates to the fact that real-estate prices boomed in Brazil in the last five years. Prime real estate in Rio de Janeiro and São Paulo have tripled in value in that period, and a smaller but generalized increase has been observed throughout the country. Third, we have also seen a recent consumption boom in Brazil in the last five years. Indeed, the recent rise of some of the poor to middle-income status is well documented not only for Brazil but for other emerging countries as well. Regarding consumption and real-estate prices in Brazil, one cannot imply causality from correlation, but one can do causal inference with an appropriate structural model and proper inference, or with a proper inference in a reduced-form setup. Our last motivation is related to the complete absence of studies of this kind in Brazil, which makes ours a pioneering study. We assemble a panel-data set for the determinants of non-durable consumption growth by Brazilian states, merging the techniques and ideas in Campbell and Cocco (2007) and in Case, Quigley and Shiller (2005). With appropriate controls, and panel-data methods, we investigate whether house-price variation has a positive effect on non-durable consumption. The results show a non-negligible significant impact of the change in the price of real estate on welfare consumption), although smaller then what Campbell and Cocco have found. Our findings support the view that the channel through which house prices affect consumption is a financial one.

The effects of gender segregation at the establishment level: an empirical analysis using a panel of matched employer-employee data

This paper studies the relationship between segregation of women across establish- ments and the wages of males and females. To investigate this issue empirically we use a panel of matched employer-employee data from Brazil. Various longitudinal models are used to assess the wage impact of establishment gender segregation. Overall, the results indicate that the e ect of establishment female proportion on the wages of males and females is negative. We also compare these longitudinal results with cross-section estimates, which are the usual ones obtained in the related literature. This com- parison suggests that unmeasured, time-invariant worker- and establishment-speci c e ects are correlated with the establishment female composition.

Factors affecting the technical efficiency of production of the Brazilian banking system : a comparison of four statistical models in the context of data envelopment analysis

This paper uses an output oriented Data Envelopment Analysis (DEA) measure of technical efficiency to assess the technical efficiencies of the Brazilian banking system. Four approaches to estimation are compared in order to assess the significance of factors affecting inefficiency. These are nonparametric Analysis of Covariance, maximum likelihood using a family of exponential distributions, maximum likelihood using a family of truncated normal distributions, and the normal Tobit model. The sole focus of the paper is on a combined measure of output and the data analyzed refers to the year 2001. The factors of interest in the analysis and likely to affect efficiency are bank nature (multiple and commercial), bank type (credit, business, bursary and retail), bank size (large, medium, small and micro), bank control (private and public), bank origin (domestic and foreign), and non-performing loans. The latter is a measure of bank risk. All quantitative variables, including non-performing loans, are measured on a per employee basis. The best fits to the data are provided by the exponential family and the nonparametric Analysis of Covariance. The significance of a factor however varies according to the model fit although it can be said that there is some agreements between the best models. A highly significant association in all models fitted is observed only for nonperforming loans. The nonparametric Analysis of Covariance is more consistent with the inefficiency median responses observed for the qualitative factors. The findings of the analysis reinforce the significant association of the level of bank inefficiency, measured by DEA residuals, with the risk of bank failure.

Stage level measurement of information and communication technology in organizations

Na moderna Economia do Conhecimento, na Era do Big Data, entender corretamente o uso e a gestão da Tecnologia de Informação e Comunicação (TIC) tendo como base o campo acadêmico de estudos de Sistemas de Informação (SI), torna-se cada vez mais relevante e estratégico para as organizações que pretendem: permanecer em atividade, estar aptas para atender novas demandas (internas e externas) e enfrentar as complexas mudanças na competição de mercado. Esta pesquisa utiliza a teoria dos estágios de crescimento, fundamentada pelos estudos de Richard L. Nolan nos anos 70. A literatura acadêmica relacionada com modelos de estágios de crescimento e o contexto do campo de estudo de SI, fornecem as bases conceituais deste estudo. A pesquisa identifica um modelo com seus construtos relacionados aos estágios de crescimento das iniciativas da TIC/SI organizacional, partindo das variáveis de benchmark de segundo nível de Nolan, e propõe sua operacionalização com a criação e desenvolvimento de uma escala. De caráter exploratório e descritivo, a pesquisa traz contribuição teórica ao paradigma da teoria dos estágios de crescimento, adicionando um novo processo de crescimento em sua estrutura conceitual. Como resultado, é disponibilizado além de um instrumento de escala bilíngue (português e inglês), recomendações e regras para aplicação de um instrumento de pesquisa do tipo survey, na continuidade deste estudo. Como implicação geral desta pesquisa, é esperado que seu uso e aplicação ao mensurar a avaliação do nível de estágio da TIC/SI em organizações, possam auxiliar dois perfis de indivíduos: acadêmicos que estudam essa temática, assim como, profissionais que buscam respostas de suas ações práticas nas organizações onde trabalham.