Ensaios em opções reais e investimento sob incerteza

Esta tese é composta por três artigos, nos quais são apresentadas extensões e aplicações da Teoria das Opções Reais, todas de interesse para formuladores de política econômica no Brasil. O primeiro faz uma análise original da questão da bioprospecção, ou a exploração da diversidade biológica para fins econômicos. Duas estruturas alternativas para o desenho do mecanismo de concessão, visando o uso sustentável da biodiversidade brasileira, são sugeridas: (i) um modelo de projetos de P&D com maturidade incerta, no qual a intensidade do processo de Poisson que governa o tempo de maturação é explicitamente dependente do nível da biodiversidade no local concedido; (ii) um modelo de Agente-Principal, onde o Estado delega o exercício da opção de investimento à empresa de pesquisa biotecnológica. O segundo artigo avança a analogia entre opções de venda (“put options”) e cotas de importação. Os parâmetros relevantes para apreçar as licenças são agora obtidos endogenamente, a partir da interação entre a firma importadora e os produtores domésticos. Por fim, no terceiro, é feita análise pioneira do mercado paralelo de títulos precatórios no Brasil. Um modelo para a valoração de tais títulos é construído e proposto, tendo por base o arcabouço institucional existente sobre o assunto, tanto no governo central, como nos estados e municípios.

Avaliação de projetos de investimento em cogeração de energia utilizando bagaço de cana-de-açúcar em biorrefinarias a partir do uso da teoria das opções reais

O cenário de continuo aumento do consumo de derivados do petróleo aliado a conscientização de que é necessário existir um equilíbrio com relação a exploração de recursos naturais e preservação do meio ambiente, vem impulsionando a busca por fontes alternativas de energia. Esse crescente interesse vem se aplicando a geração de energia a partir de biomassa da cana de açúcar, que vem se tornando cada vez mais comuns no Brasil, porém ainda existe um imenso potencial a ser explorado. Dentro deste contexto, se torna relevante a tomada de decisão de investimentos em projetos de cogeração e este trabalho busca incrementar a analise e tomada de decisão com a utilização da Teoria das Opções Reais, uma ferramenta de agregação de valor às incertezas, cabendo perfeitamente ao modelo energético brasileiro, onde grandes volatilidades do preço de energia são observadas ao longo dos anos. O objetivo do trabalho é determinar o melhor momento para uma biorrefinaria investir em unidades de cogeração. A estrutura do trabalho foi dividida em três cenários de porte de biorrefinarias, as de 2 milhões de capacidade de moagem de cana-de-açúcar por ano, as de 4 milhões e as de 6 milhões, visando assim ter uma representação amostral das biorrefinarias do país. Além disso, analisaram-se três cenários de volatilidade atrelados ao preço futuro de energia, dado que a principal variável de viabilização deste tipo de projeto é o preço de energia. As volatilidades foram calculadas de acordo com histórico do ambiente regulado, o dobro do ambiente regulado e projeção de PLD, representando, respectivamente, níveis baixos, médios e altos, de volatilidade do preço de energia. Após isso, foram elaboradas as nove árvores de decisão, que demonstram para os gestores de investimento que em um cenário de baixa volatilidade cria-se valor estar posicionado e ter a opção real de investir ou adiar investimento para qualquer porte de usina. No cenário de média volatilidade de preço, aconselha-se ao gestor estar posicionado em usinas de médio a grande porte para viabilização do investimento. Por fim, quando o cenário de preços é de grande volatilidade, tem-se um maior risco e existe a maior probabilidade de viabilização do investimento em usinas de grande porte.

The Eaton-Gersovitz-Arellano environment with collateral

Neste artigo eu introduzo colateralização no ambiente de dívida soberana de Eaton-Gersovitz-Arellano. Esta colateralização pode ser vista como Investimento Estrangeiro Direto. A entrada de recursos colateralizados serve como uma estratégia de comprometimento dos países. Ao abrir a economia para este tipo de aporte de recursos, meu modelo prescreve maior tomada de dívida em equilíbrio pelos países e menos uso de default como instrumento de suavização da trajetória de consumo. Além destas características, eu mostro que limitação de colateral pode gerar mais default em equilíbrio do que um modelo sem Investimento Estrangeiro Direto ou colateral.

Growing research where economies grow: essays on strategy and international expansion of companies from emerging countries

In recent years, emerging countries have assumed an increasingly prominent position in the world economy, as growth has picked up in these countries and slowed in developed economies. Two related phenomena, among others, can be associated with this growth: emerging countries were less affected by the 2008-2009 global economic recession; and they increased their participation in foreign direct investment, both inflows and outflows. This doctoral dissertation contributes to research on firms from emerging countries through four independent papers. The first group of two papers examines firm strategy in recessionary moments and uses Brazil, one of the largest emerging countries, as setting for the investigation. Data were collected through a survey on Brazilian firms referring to the 2008-2009 global recession, and 17 hypotheses were tested using structural equation modeling based on partial least squares. Paper 1 offered an integrative model linking RBV to literatures on entrepreneurship, improvisation, and flexibility to indicate the characteristics and capabilities that allow a firm to have superior performance in recessions. We found that firms that pre-recession have a propensity to recognize opportunities and improvisation capabilities for fast and creative actions have superior performance in recessions. We also found that entrepreneurial orientation and flexibility have indirect effects. Paper 2 built on business cycle literature to study which strategies - pro-cyclical or counter-cyclical – enable superior performance in recessions. We found that while most firms pro-cyclically reduce costs and investments during recessions, a counter-cyclical strategy of investing in opportunities created by changes in the environment enables superior performance. Most successful are firms with a propensity to recognize opportunities, entrepreneurial orientation to invest, and flexibility to efficiently implement these investments. The second group of two papers investigated international expansion of multinational enterprises, particularly the use of distance for their location decisions. Paper 3 proposed a conceptual framework to examine circumstances under which distance is less important for international location decisions, taking the new perspective of economic institutional distance as theoretical foundation. The framework indicated that the general preference for low-distance countries is lower: (1) when the company is state owned, rather than private owned; (2) when its internationalization motives are asset, resource, or efficiency seeking, as opposed to market seeking; and (3) when internationalization occurred after globalization and the advent of new technologies. Paper 4 compared five concurrent perspectives of distance and indicated their suitability to the study of various issues based on industry, ownership, and type, motive, and timing of internationalization. The paper also proposed that distance represents the disadvantages of host countries for international location decisions; as such, it should be used in conjunction with factors that represent host country attractiveness, or advantages as international locations. In conjunction, papers 3 and 4 provided additional, alternative explanations for the mixed empirical results of current research on distance. Moreover, the studies shed light into the discussion of differences between multinational enterprises from emerging countries versus those from advanced countries.

O princípio constitucional da redução das desigualdades regionais e o transporte de gás natural

In a country of continental dimensions as Brazil, one of the top challenges to its economic growth is the logistic related to energetical demand supply. We live now in the era of environmental protection and, in this new context of priorizations, it passes trough the search for alternative energies for the energetic matrix, due the petroleum elevated costs in the global market (and its finitude), but also due its pollution over the environment. This attempt of substitution needs solutions related to the national reality, into a national long term developing plan and based at a juridical-economic analysis of its realization. This study will look for, also based in an economical analysis, the juridical legitimity of choosing natural gas as the new protagonist of national economic growth (as a substitute of petroleum) and the necessary boost that must be done by law, based on an economic policy focused strictly for that fact, as a modifying agent of this reality. This study, therefore, will always be turned to a constitutional aspect, respecting the principles of economic order and the goal of reducing regional inequalities, which must influence the making off of a developing plan. At the end, it will try to demonstrate the juridical viability of such undertaking, tuned in jus-economical criteria. Another goal is related to the analysis of the natural gas industry, due the regulation of its transport has a major importance for national energetic integration, not only because this activity be characterized as a net industry, still under control of a natural monopoly, but also because the competitive or cooperative profile that should be priorized at the beginning of the economic planning for this activity (such as investment policies and its own rules that will submit private agents)

Use of scrap tire rubber in place of SBS in modified asphalt as an environmentally correct alternative for Brazil

Reusing scrap tires has become a worldwide challenge, especially due to the great difficulty in finding ecologically and economically feasible ways to dispose of them. This has led to the creation of specific programs and legislation for reusing scrap tires. Research has shown that a certain percentage of scrap tire rubber can be added to asphalt compositions, and this has become a worldwide practice. This paper describes the properties of four asphalt compositions modified with scrap tire rubber (STR) prepared in the laboratory. These properties are then compared with those of asphalt modified with styrene butadiene styrene (SBS), a synthetic polymer and one of the most common modifiers, to verify the feasibility of using scrap tire rubber as a substitute for SBS. The scope of this study does not include an analysis of how STR affects end-of-life asphalt. The main findings indicate that STR is a potential substitute of SBS in paving material, and although it does not meet some of the standard specifications when compared with SBS, these issues can be overcome by proper care during storage and transportation. The substitution of SBS by STR also showed the potential for about 10% in expenditure savings. (C) 2012 Elsevier Ltd. All rights reserved.

A Bilevel Approach to Transmission Expansion Planning Within a Market Environment

We present a bilevel model for transmission expansion planning within a market environment, where producers and consumers trade freely electric energy through a pool. The target of the transmission planner, modeled through the upper-level problem, is to minimize network investment cost while facilitating energy trading. This upper-level problem is constrained by a collection of lower-level market clearing problems representing pool trading, and whose individual objective functions correspond to social welfare. Using the duality theory the proposed bilevel model is recast as a mixed-integer linear programming problem, which is solvable using branch-and-cut solvers. Detailed results from an illustrative example and a case study are presented and discussed. Finally, some relevant conclusions are drawn.

Turismo e meio ambiente: uma análise do ecoturismo e sua contribuição sócio-ambiental no distrito matutuine: caso da reserva especial de Maputo Moçambique

Mozambique holds a potential for tourism development, especially for nature tourism, due to the existence of conservation areas around the country. The Maputo Special Reserve (MES) is considered as one of the most important conservation area and has benefited from investment in order to incruse the development of tourism in the region. Currently the number of visitors to MES has grown substantially with the intention to develop recreational activities related to ecotourism. Now the challenge lies in the way of optimizing opportunities for tourism development in order to achieve economic benefitis reduction the lead to poverty, without degrading the environment. Ecotourism face the demands and environmental discussions has been assumed as an alternative to the tourist market focused on protected areas, as it is believed that this segment is able to reconcile tourism development and simultaneously improve the conservation of the natural environment and still ensure the recovery of local communities and promoting their welfare. This study aims to analyze, from the perception of the local community, social and environmental contribution of ecotourism in Maputo Special Reserve, Mozambique. The research sought to investigate the relationship between ecotourism development in the region and generate benefits for the socio-environmental communities for residents. To achieve the objective, was chosen a critical analysis about the generation of socio-environmental benefits versus ecotourism in which we opted for a qualitative and quantitative approach seeking to establish the degree of agreement and disagreement about the benefits generated by ecotourism through interviews with community members

Short report: Application of an alternative Aedes species (Diptera : Culicidae) surveillance method in Botucatu City, São Paulo, Brazil

One of the main problems with dengue is the control of Aedes aegypti, its major vector. In Brazil, the current control program for Ae. aegypti and Aedes albopictus populations includes larval density surveys. An interesting alternative is the use of a distinct index, the Premise Condition Index (PCI). This tool relates conditions of property, such as houses and yards, and the degree of shade with the occurrence of Aedes sp. oviposition, and is calculated as scores from 3 to 9. The lowest score indicates property in good condition and an unfavorable breeding environment, while the highest score indicates property at high risk for infestation by Aedes sp. The present study is based on the application of the PCI in an urban area of Botucatu, Brazil to confirm its effectiveness.

Rentabilidade da produção orgânica de alface em função do ambiente, preparo do solo e época de plantio

Além da produtividade física e da conservação do solo, o cultivo protegido e o preparo do solo, na olericultura, requerem altos investimentos, muito trabalho e insumos externos. Assim, o objetivo deste trabalho, foi identificar combinações entre ambiente, preparo do solo e época de plantio capazes de melhorar o desempenho econômico e a produtividade da cultura da alface em cultivo orgânico, em Rio Branco, Acre. O cultivo foi realizado em quatro tipos de ambientes: 1 - sombreamento proporcionado em 52% sob latada de maracujá; 2 - 35% de sombreamento sob estufa; 3 - 50% sob tela de sombreamento; e, 4 - cultivo a pleno sol (testemunha), considerando cada ambiente como um experimento, que avaliou-se três preparos de solo (plantio direto, cultivo mínimo e preparo convencional) em duas épocas de plantio (estiagem e chuvosa), sob delineamento de blocos ao acaso, com quatro repetições. Considerou-se como custo de produção a soma de todos os valores (insumos) e operações (serviços) utilizados no processo produtivo, incluindo-se os respectivos custos alternativos ou de oportunidade e a depreciação das instalações. O cultivo em estufa e sob tela de sombreamento aumenta a produtividade em época de estiagem, enquanto em época chuvosa, a produtividade é maior em cultivo sob estufa. O plantio direto e cultivo mínimo a pleno sol ou cultivo mínimo sob tela de sombreamento promovem maior produtividade no preparo convencional do solo. Proporcionam lucro supernormal (RMe > CTMe): o cultivo na época chuvosa (verão); sob sombreamento de latada de maracujá-amarelo; a pleno sol; o preparo convencional do solo sob latada e o plantio direto a pleno sol.

Alternative saline solutions to float foraminiferal tests

Flotation has been widely used in studies of recent foraminifera in order to concentrate tests and save time during picking. In this paper, four flotation agents with different densities were compared: (1) trichloroethylene, TCE (C2HCl3), with a density of 1.46 g mL(-1); (2) sodium nitrate/sodium thiosulfate solution, SNT (NaNO3 + Na2O3S2 center dot 5H(2)O), with a density of 1.46 g mL(-1); (3) zinc chloride Solution, ZC (ZHCl(2)), with a density of 1.70 g mL(-1); and (4) sodium polytungstate solution, SPT (3Na(2)WO(4) center dot 9WO(3) center dot 5H(2)O), with a density of 2.50 g mL(-1). Comparison was carried out by means of qualitative and quantitative data. Results showed that ZC and SPT were the best flotation agents, recovering 91% and 96% of the total tests, respectively, whereas TCE and SNT recovered 59.1% and 72.8%, respectively. Both quantitative and qualitative results significantly improved with a higher density of the flotation liquid. Therefore, substitution of TCE with ZC or SPT solutions is strongly encouraged, because they are, additionally, less harmful to health and the environment. ZC is the most cost-effective, since its results were not significantly different from those of the SPT treatment. Carbon tetrachloride (CCl4) was not considered in this comparative study, because it has been banned in many countries and it is highly harmful to health and the environment.

Factors that cause genotype by environment interaction and use of a multiple-trait herd-cluster model for milk yield of Holstein cattle from Brazil and Colombia

Descriptive herd variables (DVHE) were used to explain genotype by environment interactions (G x E) for milk yield (MY) in Brazilian and Colombian production environments and to develop a herd-cluster model to estimate covariance components and genetic parameters for each herd environment group. Data consisted of 180,522 lactation records of 94,558 Holstein cows from 937 Brazilian and 400 Colombian herds. Herds in both countries were jointly grouped in thirds according to 8 DVHE: production level, phenotypic variability, age at first calving, calving interval, percentage of imported semen, lactation length, and herd size. For each DVHE, REML bivariate animal model analyses were used to estimate genetic correlations for MY between upper and lower thirds of the data. Based on estimates of genetic correlations, weights were assigned to each DVHE to group herds in a cluster analysis using the FASTCLUS procedure in SAS. Three clusters were defined, and genetic and residual variance components were heterogeneous among herd clusters. Estimates of heritability in clusters 1 and 3 were 0.28 and 0.29, respectively, but the estimate was larger (0.39) in Cluster 2. The genetic correlations of MY from different clusters ranged from 0.89 to 0.97. The herd-cluster model based on DVHE properly takes into account G x E by grouping similar environments accordingly and seems to be an alternative to simply considering country borders to distinguish between environments.

Economic growth with equity: challenges for Latin America

Includes bibliography

Sustainable development: changing production patterns, social equity and the environment

Includes bibliography

Trade and the environment in the context of the World Trade Organization

Includes bibliography