The polictical economy informed lobbies

We analize a discrete type version of a common agency model with informed principals of Martimort and Moreira (2005) in the context of lobby games. We begin discussing issues related to the common values nature of the model, i.e.the agent cares directly about the principal’s utility function. With this feature the equilibrium of Martimort and Moreira (2005) is not valid. We argue in favor of one solution, although we are not able to fully characterize the equilibrium in this context. We then turn to an application: a modification of the Grossman and Helpman (1994) model of lobbying for tariff protection to incoporate assimetric information (but disconsidering the problem of common values) in the lobbies objective function. We show that the main results of the original model do not hold and that lobbies may behave less agressively towards the police maker when there is private information in the lobbies valuation for the tariffs.

Essays on asymmetric information problems without the single-crossing property: applications to corporate finance

The objective of this dissertation is to re-examine classical issues in corporate finance, applying a new analytical tool. The single-crossing property, also called Spence-irrlees condition, is not required in the models developed here. This property has been a standard assumption in adverse selection and signaling models developed so far. The classical papers by Guesnerie and Laffont (1984) and Riley (1979) assume it. In the simplest case, for a consumer with a privately known taste, the single-crossing property states that the marginal utility of a good is monotone with respect to the taste. This assumption has an important consequence to the result of the model: the relationship between the private parameter and the quantity of the good assigned to the agent is monotone. While single crossing is a reasonable property for the utility of an ordinary consumer, this property is frequently absent in the objective function of the agents for more elaborate models. The lack of a characterization for the non-single crossing context has hindered the exploration of models that generate objective functions without this property. The first work that characterizes the optimal contract without the single-crossing property is Araújo and Moreira (2001a) and, for the competitive case, Araújo and Moreira (2001b). The main implication is that a partial separation of types may be observed. Two sets of disconnected types of agents may choose the same contract, in adverse selection problems, or signal with the same levei of signal, in signaling models.

Dinâmica monetária eficiente sob encontros aleatórios: uma classe de métodos numéricos que exploram concavidade

A dificuldade em se caracterizar alocações ou equilíbrios não estacionários é uma das principais explicações para a utilização de conceitos e hipóteses que trivializam a dinâmica da economia. Tal dificuldade é especialmente crítica em Teoria Monetária, em que a dimensionalidade do problema é alta mesmo para modelos muito simples. Neste contexto, o presente trabalho relata a estratégia computacional de implementação do método recursivo proposto por Monteiro e Cavalcanti (2006), o qual permite calcular a sequência ótima (possivelmente não estacionária) de distribuições de moeda em uma extensão do modelo proposto por Kiyotaki e Wright (1989). Três aspectos deste cálculo são enfatizados: (i) a implementação computacional do problema do planejador envolve a escolha de variáveis contínuas e discretas que maximizem uma função não linear e satisfaçam restrições não lineares; (ii) a função objetivo deste problema não é côncava e as restrições não são convexas; e (iii) o conjunto de escolhas admissíveis não é conhecido a priori. O objetivo é documentar as dificuldades envolvidas, as soluções propostas e os métodos e recursos disponíveis para a implementação numérica da caracterização da dinâmica monetária eficiente sob a hipótese de encontros aleatórios.

Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais

Neste artigo estimamos e simulamos um modelo macroeconômico aberto de expectativas racionais (Batini e Haldane [4]) para a economia brasileira, com o objetivo de identificar as características das regras monetárias ótimas e a dinâmica de curto prazo gerada por elas. Trabalhamos com uma versão forward-Iooking e uma versão backward-Iooking a fim de comparar o desempenho de três parametrizações de regras monetárias, que diferem em relação à variável de inflação: a tradicional regra de Taylor, que se baseia na inflação passada; uma regra que combina inflação e taxa de câmbio real (ver Ball [5]) e uma regra que utiliza previsões de inflação (ver Bank af England [3]). Resolvemos o modelo numericamente e contruímos fronteiras eficientes em relação às variâncias do produto e da infiação por simulações estocásticas, para choques i.i.d. ou correlacionados. Os conjuntos de regras ótimas para as duas versões são qualitativamente distintos. Devido à incerteza quanto ao grau de forward-Iookingness sugerimos a escolha das regras pela soma das funções objetivos nas duas versões. Concluímos que as regras escolhidas com base neste critério têm perdas moderadas em relação às regras ótimas, mas previnem perdas maiores que resultariam da escolha da regra com base na versão errada. Finalmente calculamos funções de resposta a impulso dos dois modelos para algumas regras selecionadas, a fim de avaliar como diferentes regras monetárias alteram a dinâmica de curto prazo dos dois modelos.

Otimização de alavancagem e gestão de risco em estratégias long-short

Alavancagem em hedge funds tem preocupado investidores e estudiosos nos últimos anos. Exemplos recentes de estratégias desse tipo se mostraram vantajosos em períodos de pouca incerteza na economia, porém desastrosos em épocas de crise. No campo das finanças quantitativas, tem-se procurado encontrar o nível de alavancagem que otimize o retorno de um investimento dado o risco que se corre. Na literatura, os estudos têm se mostrado mais qualitativos do que quantitativos e pouco se tem usado de métodos computacionais para encontrar uma solução. Uma forma de avaliar se alguma estratégia de alavancagem aufere ganhos superiores do que outra é definir uma função objetivo que relacione risco e retorno para cada estratégia, encontrar as restrições do problema e resolvê-lo numericamente por meio de simulações de Monte Carlo. A presente dissertação adotou esta abordagem para tratar o investimento em uma estratégia long-short em um fundo de investimento de ações em diferentes cenários: diferentes formas de alavancagem, dinâmicas de preço das ações e níveis de correlação entre esses preços. Foram feitas simulações da dinâmica do capital investido em função das mudanças dos preços das ações ao longo do tempo. Considerou-se alguns critérios de garantia de crédito, assim como a possibilidade de compra e venda de ações durante o período de investimento e o perfil de risco do investidor. Finalmente, estudou-se a distribuição do retorno do investimento para diferentes níveis de alavancagem e foi possível quantificar qual desses níveis é mais vantajoso para a estratégia de investimento dadas as restrições de risco.

Does liquidity constraints matter for Ricardian equivalence?

The paper analysis a general equilibrium model with two periods, several households and a government that has to finance some expenditures in the first period. Households may have some private information either about their type (adverse selection) or about some action levei chosen in the first period that affects the probability of certain states of nature in the second period (moral hazard). Trade of financiai assets are intermediated by a finite collection of banks. Banks objective functions are determined in equilibrium by shareholders. Due to private information it may be optimal for the banks to introduce constraints in the set of available portfolios for each household as wellas household specific asset prices. In particular, households may face distinct interest rates for holding the risk-free asset. The government finances its expenditures either by taxing households in the first period or by issuing bonds in the first period and taxing households in the second period. Taxes may be state-dependent. Suppose government policies are neutml: i) government policies do not affect the distribution of wealth across households; and ii) if the government decides to tax a household in the second period there is a portfolio available for the banks that generates the Mme payoff in each state of nature as the household taxes. Tben, Ricardian equivalence holds if and only if an appropriate boundary condition is satisfied. Moreover, at every free-entry equilibrium the boundary condition is satisfied and thus Ricardian equivalence holds. These results do not require any particular assumption on the banks' objective function. In particular, we do not assume banks to be risk neutral.

Ensaios sobre mercados artificiais com dois ativos utilizando algoritmos genéticos

A abordagem de Modelos Baseados em Agentes é utilizada para trabalhar problemas complexos, em que se busca obter resultados partindo da análise e construção de componentes e das interações entre si. Os resultados observados a partir das simulações são agregados da combinação entre ações e interferências que ocorrem no nível microscópico do modelo. Conduzindo, desta forma, a uma simulação do micro para o macro. Os mercados financeiros são sistemas perfeitos para o uso destes modelos por preencherem a todos os seus requisitos. Este trabalho implementa um Modelo de Mercado Financeiro Baseado em Agentes constituído por diversos agentes que interagem entre si através de um Núcleo de Negociação que atua com dois ativos e conta com o auxílio de formadores de mercado para promover a liquidez dos mercados, conforme se verifica em mercados reais. Para operação deste modelo, foram desenvolvidos dois tipos de agentes que administram, simultaneamente, carteiras com os dois ativos. O primeiro tipo usa o modelo de Markowitz, enquanto o segundo usa técnicas de análise de spread entre ativos. Outra contribuição deste modelo é a análise sobre o uso de função objetivo sobre os retornos dos ativos, no lugar das análises sobre os preços.

Intervenções governamentais no mercado de crédito bancário brasileiro: bancos públicos e bancos privados varejistas competem entre si?

O presente estudo investiga se há competição entre os bancos públicos e privados varejistas na presença de intervenções governamentais impostas ao mercado de crédito bancário brasileiro, tais como o aumento da oferta de crédito via bancos públicos e a campanha de redução dos spreads bancários capitaneada pelos bancos governamentais. Os resultados encontrados no modelo Diff-in-Diff indicam que os bancos públicos apresentam ritmo de crescimento do estoque de crédito, nível de aprovisionamento, rentabilidade da carteira de crédito, retorno operacional, bem como custo do funding superiores aos bancos privados após o tratamento. Ademais, há evidências de mudanças na estratégia de alocação de recursos dos bancos privados em relação aos pares públicos, tendo as instituições bancárias privadas preferido aumentar a participação de ativos líquidos no balanço em detrimento de operações de crédito após o tratamento. Esses resultados sugerem que os bancos privados não competem com os bancos públicos no segmento de varejo quando estes adotam estratégias de alocação de recursos difusas à maximização do lucro esperado para um dado risco.

Uso de técnicas de otimização baseadas em derivadas como suporte do planejamento operacional de redes de distribuição de energia elétrica

The usual programs for load flow calculation were in general developped aiming the simulation of electric energy transmission, subtransmission and distribution systems. However, the mathematical methods and algorithms used by the formulations were based, in majority, just on the characteristics of the transmittion systems, which were the main concern focus of engineers and researchers. Though, the physical characteristics of these systems are quite different from the distribution ones. In the transmission systems, the voltage levels are high and the lines are generally very long. These aspects contribute the capacitive and inductive effects that appear in the system to have a considerable influence in the values of the interest quantities, reason why they should be taken into consideration. Still in the transmission systems, the loads have a macro nature, as for example, cities, neiborhoods, or big industries. These loads are, generally, practically balanced, what reduces the necessity of utilization of three-phase methodology for the load flow calculation. Distribution systems, on the other hand, present different characteristics: the voltage levels are small in comparison to the transmission ones. This almost annul the capacitive effects of the lines. The loads are, in this case, transformers, in whose secondaries are connected small consumers, in a sort of times, mono-phase ones, so that the probability of finding an unbalanced circuit is high. This way, the utilization of three-phase methodologies assumes an important dimension. Besides, equipments like voltage regulators, that use simultaneously the concepts of phase and line voltage in their functioning, need a three-phase methodology, in order to allow the simulation of their real behavior. For the exposed reasons, initially was developped, in the scope of this work, a method for three-phase load flow calculation in order to simulate the steady-state behaviour of distribution systems. Aiming to achieve this goal, the Power Summation Algorithm was used, as a base for developing the three phase method. This algorithm was already widely tested and approved by researchers and engineers in the simulation of radial electric energy distribution systems, mainly for single-phase representation. By our formulation, lines are modeled in three-phase circuits, considering the magnetic coupling between the phases; but the earth effect is considered through the Carson reduction. It s important to point out that, in spite of the loads being normally connected to the transformer s secondaries, was considered the hypothesis of existence of star or delta loads connected to the primary circuit. To perform the simulation of voltage regulators, a new model was utilized, allowing the simulation of various types of configurations, according to their real functioning. Finally, was considered the possibility of representation of switches with current measuring in various points of the feeder. The loads are adjusted during the iteractive process, in order to match the current in each switch, converging to the measured value specified by the input data. In a second stage of the work, sensibility parameters were derived taking as base the described load flow, with the objective of suporting further optimization processes. This parameters are found by calculating of the partial derivatives of a variable in respect to another, in general, voltages, losses and reactive powers. After describing the calculation of the sensibility parameters, the Gradient Method was presented, using these parameters to optimize an objective function, that will be defined for each type of study. The first one refers to the reduction of technical losses in a medium voltage feeder, through the installation of capacitor banks; the second one refers to the problem of correction of voltage profile, through the instalation of capacitor banks or voltage regulators. In case of the losses reduction will be considered, as objective function, the sum of the losses in all the parts of the system. To the correction of the voltage profile, the objective function will be the sum of the square voltage deviations in each node, in respect to the rated voltage. In the end of the work, results of application of the described methods in some feeders are presented, aiming to give insight about their performance and acuity

Optimum contribution selection using differential evolution

Um programa baseado na técnica de evolução diferencial foi desenvolvido para a definição da contribuição genética ótima na seleção de candidatos a reprodução. A função- objetivo a ser otimizada foi composta pelo mérito genético esperado da futura progênie e pela coascendência média dos animais em reprodução. Conjuntos de dados reais e simulados de populações com gerações sobrepostas foram usados para validar e testar o desempenho do programa desenvolvido. O programa se mostrou computacionalmente eficiente e viável para ser aplicado na prática e as consequências esperadas de sua aplicação, em comparação a procedimentos empíricos de controle da endogamia e/ou com a seleção baseada apenas no valor genético esperado, seriam a melhora da resposta genética futura e limitação mais efetiva da taxa de endogamia.

Uso de técnicas de otimização baseadas em derivadas como suporte do planejamento operacional de redes de distribuição de energia elétrica

The usual programs for load flow calculation were in general developped aiming the simulation of electric energy transmission, subtransmission and distribution systems. However, the mathematical methods and algorithms used by the formulations were based, in majority, just on the characteristics of the transmittion systems, which were the main concern focus of engineers and researchers. Though, the physical characteristics of these systems are quite different from the distribution ones. In the transmission systems, the voltage levels are high and the lines are generally very long. These aspects contribute the capacitive and inductive effects that appear in the system to have a considerable influence in the values of the interest quantities, reason why they should be taken into consideration. Still in the transmission systems, the loads have a macro nature, as for example, cities, neiborhoods, or big industries. These loads are, generally, practically balanced, what reduces the necessity of utilization of three-phase methodology for the load flow calculation. Distribution systems, on the other hand, present different characteristics: the voltage levels are small in comparison to the transmission ones. This almost annul the capacitive effects of the lines. The loads are, in this case, transformers, in whose secondaries are connected small consumers, in a sort of times, mono-phase ones, so that the probability of finding an unbalanced circuit is high. This way, the utilization of three-phase methodologies assumes an important dimension. Besides, equipments like voltage regulators, that use simultaneously the concepts of phase and line voltage in their functioning, need a three-phase methodology, in order to allow the simulation of their real behavior. For the exposed reasons, initially was developped, in the scope of this work, a method for three-phase load flow calculation in order to simulate the steady-state behaviour of distribution systems. Aiming to achieve this goal, the Power Summation Algorithm was used, as a base for developping the three phase method. This algorithm was already widely tested and approved by researchers and engineers in the simulation of radial electric energy distribution systems, mainly for single-phase representation. By our formulation, lines are modeled in three-phase circuits, considering the magnetic coupling between the phases; but the earth effect is considered through the Carson reduction. Its important to point out that, in spite of the loads being normally connected to the transformers secondaries, was considered the hypothesis of existence of star or delta loads connected to the primary circuit. To perform the simulation of voltage regulators, a new model was utilized, allowing the simulation of various types of configurations, according to their real functioning. Finally, was considered the possibility of representation of switches with current measuring in various points of the feeder. The loads are adjusted during the iteractive process, in order to match the current in each switch, converging to the measured value specified by the input data. In a second stage of the work, sensibility parameters were derived taking as base the described load flow, with the objective of suporting further optimization processes. This parameters are found by calculating of the partial derivatives of a variable in respect to another, in general, voltages, losses and reactive powers. After describing the calculation of the sensibility parameters, the Gradient Method was presented, using these parameters to optimize an objective function, that will be defined for each type of study. The first one refers to the reduction of technical losses in a medium voltage feeder, through the installation of capacitor banks; the second one refers to the problem of correction of voltage profile, through the instalation of capacitor banks or voltage regulators. In case of the losses reduction will be considered, as objective function, the sum of the losses in all the parts of the system. To the correction of the voltage profile, the objective function will be the sum of the square voltage deviations in each node, in respect to the rated voltage. In the end of the work, results of application of the described methods in some feeders are presented, aiming to give insight about their performance and acuity

Controle preditivo robusto baseado em desigualdades matriciais lineares aplicado a um sistema de tanques acoplados

This work deals with an on-line control strategy based on Robust Model Predictive Control (RMPC) technique applied in a real coupled tanks system. This process consists of two coupled tanks and a pump to feed the liquid to the system. The control objective (regulator problem) is to keep the tanks levels in the considered operation point even in the presence of disturbance. The RMPC is a technique that allows explicit incorporation of the plant uncertainty in the problem formulation. The goal is to design, at each time step, a state-feedback control law that minimizes a 'worst-case' infinite horizon objective function, subject to constraint in the control. The existence of a feedback control law satisfying the input constraints is reduced to a convex optimization over linear matrix inequalities (LMIs) problem. It is shown in this work that for the plant uncertainty described by the polytope, the feasible receding horizon state feedback control design is robustly stabilizing. The software implementation of the RMPC is made using Scilab, and its communication with Coupled Tanks Systems is done through the OLE for Process Control (OPC) industrial protocol

Estudo e implementação em plantas físicas de um controlador preditivo generalizado com restrições

This work shows a study about the Generalized Predictive Controllers with Restrictions and their implementation in physical plants. Three types of restrictions will be discussed: restrictions in the variation rate of the signal control, restrictions in the amplitude of the signal control and restrictions in the amplitude of the Out signal (plant response). At the predictive control, the control law is obtained by the minimization of an objective function. To consider the restrictions, this minimization of the objective function is done by the use of a method to solve optimizing problems with restrictions. The chosen method was the Rosen Algorithm (based on the Gradient-projection). The physical plants in this study are two didactical systems of water level control. The first order one (a simple tank) and another of second order, which is formed by two tanks connected in cascade. The codes are implemented in C++ language and the communication with the system to be done through using a data acquisition panel offered by the system producer

A modified Primal-Dual Logarithmic-Barrier Method for solving the Optimal Power Flow problem with discrete and continuous control variables

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

A contribution for thermoeconomic modelling: A methodology proposal

This work presents a thermoeconomic optimization methodology for the analysis and design of energy systems. This methodology involves economic aspects related to the exergy conception, in order to develop a tool to assist the equipment selection, operation mode choice as well as to optimize the thermal plants design. It also presents the concepts related to exergy in a general scope and in thermoeconomics which combines the thermal sciences principles (thermodynamics, heat transfer, and fluid mechanics) and the economic engineering in order to rationalize energy systems investment decisions, development and operation. Even in this paper, it develops a thermoeconomic methodology through the use of a simple mathematical model, involving thermodynamics parameters and costs evaluation, also defining the objective function as the exergetic production cost. The optimization problem evaluation is developed for two energy systems. First is applied to a steam compression refrigeration system and then to a cogeneration system using backpressure steam turbine. (C) 2010 Elsevier Ltd. All rights reserved.