Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Financial disruption as a cost of sovereign default

This dissertation analyses quantitatively the costs of sovereign default for the economy, in a model where banks with long positions in government debt play a central role in the financial intermediation for private sector's investments and face financial frictions that limit their leverage ability. Calibration tries to resemble some features of the Eurozone, where discussions about bailout schemes and default risk have been central issues. Results show that the model captures one important cost of default pointed out by empirical and theoretical literature on debt crises, namely the fall in investment that follows haircut episodes, what can be explained by a worsening in banks' balance sheet conditions that limits credit for the private sector and raises their funding costs. The cost in terms of output decrease is though not significant enough to justify the existence of debt markets and the government incentives for debt repayment. Assuming that the government is able to alleviate its constrained budget by imposing a restructuring on debt repayment profile that allows it to cut taxes, our model generates an important difference for output path comparing lump-sum taxes and distortionary. For our calibration, quantitative results show that in terms of output and utility, it is possible that the effect on the labour supply response generated by tax cuts dominates investment drop caused by credit crunch on financial markets. We however abstract from default costs associated to the breaking of existing contracts, external sanctions and risk spillovers between countries, that might also be relevant in addition to financial disruption effects. Besides, there exist considerable trade-offs for short and long run path of economic variables related to government and banks' behaviour.

On the cost of sympathy : a alternative model of insurance markets

The paper provides an alternative model for insurance market with three types of agents: households, providers of a service and insurance companies. Households have uncertainty about future leveIs of income. Providers, if hired by a household, perform a diagnoses and privately learn a signal. For each signal there is a procedure that maximizes the likelihood of the household obtaining the good state of nature. The paper assumes that providers care about their income and also about the likelihood households will obtain the good state of nature (sympathy assumption). This assumption is satisfied if, for example, they care about their reputation or if there are possible litigation costs in case they do not use the appropriate procedure. Finally, insurance companies offer contracts to both providers and households. The paper provides sufficient conditions for the existence of equilibrium and shows that the sympathy assumption 1eads to a 10ss of welfare for the households due to the need to incentive providers to choose the least expensive treatment.

On endogenous cost of altruism

The paper extends the cost of altruism model, analyzed in Lisboa (1999). There are three types of agents: households, providers of a service and insurance companies. Households have uncertainty about future leveIs of income. Providers, if hired by a household, have to choose a non-observable leveI of effort, perform a diagnoses and privately learn a signal. For each signal there is a procedure that maximizes the likelihood of the household obtaining the good state of nature. Finally, insurance companies offer contracts to both providers and households. The paper provides suflicient conditions for the existence of equilibrium and shows the optimal contract induces providers to care about their income and also about the likelihood households will obtain the good state of nature, which in Lisboa (1999) was stated as altruism assumption. Equilibrium is inefficient in comparison with the standard moral hazard outcome whenever high leveIs of effort is chosen precisely due to the need to incentive providers to choose the least expensive treatment for some signals. We show, however that an equilibrium is always constrained optimal.

Three applications of the marginal cost of public funds concept

This paper illustrates the use of the marginal cost of public funds concept in three contexts. First, we extend Parry’s (2003) analysis of the efficiency effects excise taxes in the U.K., primarily by incorporating the distortion caused by imperfect competition in the cigarette market and distinguishing between the MCFs for per unit and ad valorem taxes on cigarettes. Our computations show, contrary to the standard result in the literature, that the per unit tax on cigarettes has a slightly lower MCF than the ad valorem tax on cigarettes. Second, we calculate the MCF for a payroll tax in a labour market with involuntary unemployment, using the Shapiro and Stiglitz (1984) efficiency wage model as our framework. Our computations, based on Canadian labour market data, indicate that incorporating the distortion caused by involuntary unemployment raises the MCF by 25 to 50 percent. Third, we derive expressions for the distributionally-weighted MCFs for the exemption level and the marginal tax rate for a “flat tax”, such as the one that has been adopted by the province of Alberta. This allows us to develop a restricted, but tractable, version of the optimal income tax problem. Computations indicate that the optimal marginal tax rate may be quite high, even with relatively modest pro-poor distributional preferences.

The marginal cost of funds from public sector borrowing

An expression for the welfare cost of a marginal increase in the public debt is derived using a simple AK endogenous growth model. This measure of the marginal cost of public funds (MCF) can be interpreted as the marginal benefit-cost ratio that a debtfinanced public project needs in order to generate a net social gain. The model predicts an increase in the public debt ratio will have little effect on the optimal public expenditure ratio and that most of the adjustment will occur on the tax side of the budget.

Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina

The paper provides evidence on what affects at the margin the cost and availability of bank credit for firms in Argentina. We study in particular how banks use different pieces of private and public information to screen firms and overcome informational asymmetries in the credit market. Some private information is transferable, like balance sheet data. Private information generated in relationships is not. To capture the closeness of bank relationships, we resort to the concentration of bank credit and the number of credit lines in a bank. We also consider public information available in the Central de Deudores. The cost of credit is measured using overdrafts, the most expensive line of credit, at the bank that charges the highest rate for overdrafts. We find that the cost of credit is smaller for a firm with a close relationship to the marginal bank. Firms with large assets, a high sales/assets ratio, and a low debt/assets ratio pay a lower interest rate at the margin. A good credit history (no debt arrears and no bounced checks) and collateral also reduce the marginal interest rate. The availability of credit is measured by unused credit lines as a proportion of total liabilities with the main bank. The availability of credit depends positively on a close relationship with the main bank. Large assets, a high return over assets, a high sales/assets ratio, a low debt/assets ratio, a good credit history, and collateral lead to higher credit availability. Our measure of unused credit lines is less ambiguous than traditional measures like leverage, which may indicate financial distress rather than availability of credit.

Welfare cost of inflation considering adoption decisions and interest-bearing deposits

Attanasio et al. (JPE, 2002) have used microeconomic data on households to provide new estimates of the welfare costs of infiation using Bailey's unidimensional welfare measure as a basis for their calculations. Such a measure does not properly take into consideration lhe fact that the majority of households in their sample (58.7 percent) holds not only bank deposits and currency, but also a second type of interest-bearing assct. This work devises alternative formulas which account for the existence of bank deposits and a sccond interest-bearing asset in the economy, as well as for adoption decisions regarding alternative financiai technologies.

Quality of Cotesia flavipes (Hymenoptera: Braconidae) reared at different host densities and the estimated cost of its commercial production

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Performance, carcass characteristics and gain cost of feedlot cattle fed a high level of concentrate and different feed additives

The objective of this study was to evaluate the effects of feeding cattle with isoprotein and isoenergetic diets, with and without the addition of polyclonal antibody preparation (PAP), yeasts (YST) or monensin sodium (MON) on performance, carcass characteristics and gain cost in feedlot. Ninety-five 20-month old bullocks (323.3±21.8 kg) were distributed in 25 pens. The completely randomized experimental design had a 2 × 2 + 1 factorial arrangement and the treatments were replicated 5 times. There was no effect of MON for DMI throughout the feedlot period; however, MON reduced the dry matter intake (DMI) in g/kg of BW in the first 28 days when compared with the other treatments. The gain cost decreased with MON addition in relation to the other treatments. Inclusion of YST decreased average daily gain (ADG), final body weight, hot carcass weight, carcass weight, gain to feed ratio and DMI in g/kg body weight, worsening feed conversion and increasing the gain cost in the feeding periods. Inclusion of PAP increased ADG and decreased the gain cost, besides improving feed conversion. For MON and PAP, a difference was found for kidney-pelvic fat and kidney-pelvic fat per 100 kg of hot carcass weight. For MON and YST, there was a difference in ADG, feed conversion, gain cost and carcass yield and kidney-pelvic fat per 100 kg of hot carcass. Treatment YST worsened performance in relation to the non-supplemented treatments. Feeding PAP to animals did not influence performance and carcass characteristics of bullocks in feedlot negatively. Thus, PAP shows potential to substitute MON in cattle feeding using isoprotein and isoenergetic diets.

Dosimetry and cost of imaging osseointegrated implants with film-based and computed tomography

Thermoluminescent dosimeters were used to measure radiation doses at craniofacial sites in a tissue-equivalent phantom during film-based multidirectional tomography with the Tomax Ultrascan (Incubation Industries, Ivyland, Pa.) and during computed tomography with the Elscint Excel 2400 (Elscint Corp., Tel Aviv, Israel). Mean absorbed doses for presurgical mandibular and maxillary canine and molar implant assessments were converted to equivalent doses, which were then multipied by published weighting factors and summed to give effective doses. The computed tomgraphy device consistently delivered higher doses than the Tomax Ultrascan to all anatomic locations; the differences were most pronounced when only one or two implant sites were evaluated. The reasons for the dose disparities are considered both anatomically and procedurally. A survey of examination cost revealed film-based multidirectional tomography to be less expensive than computed tomography.

Energetic cost of predation: Aerobic metabolism during prey ingestion by juvenile rattlesnakes, Crotalus durissus

We investigated the cost of prey ingestion in the South American rattlesnake, Crotalus durissus, to see if the capacity to generate energy aerobically could be a constraint on the size of the prey that can be ingested. To accomplish this goal, we measured time and aerobic metabolism (inferred from oxygen consumption) of juvenile C. durissus ingesting prey ranging from 10 to 50% of their own body mass. Time needed for prey ingestion increased with prey size, with prey representing 10 and 20% of snake size being ingested with the same effort. Whole animal rates of oxygen consumption increased linearly with prey size, but at a slower pace for snakes ingesting prey larger than 30% of their body mass. Aerobic factorial power input necessary for prey ingestion increased with prey size, and for snakes ingesting prey representing 50% of their body mass it equaled the aerobic factorial scope for exercise. For the maximum prey size tested, the aerobic derived energy necessary for prey ingestion represented 0.02% of the total energy content of the prey. Within the prey size range we studied, the cost of ingestion did not constitute any constraint on the size of the prey that can be ingested. These constraints are set by morphological (gape size), ecological (predation risk), and, probably, by physiological parameters, as suggested by the tendency of V̇O2 during ingestion to increase at a slower pace at relative larger prey sizes.

Advanced ceramics: Evaluation of the mechanism of stock removal and ground surface quality

The aim of this work is to evaluate the mechanism of stock removal and the ground surface quality of advanced ceramics grounded by a plane tangential grinding process with diamond grinding wheels. The analysis of the grinding performance was done regarding the cutting surface wear behavior of the grinding wheel for ceramic workpieces. The discussion about the results emphasized the wear mechanism of the grinding wheel cutting surface and the cutting phenomenology of the grinding process. The grounded surface was evaluated using Scanning Electron Microscopy (SEM). © 1999 Society of Automotive Engineers, Inc.

Advanced ceramics: Evaluation of the mechanism of stock removal and ground surface quality

The aim of this work is to evaluate the mechanism of stock removal and the ground surface quality of advanced ceramics machined by a surface grinding process using diamond grinding wheels. The analysis of the grinding performance was done regarding the cutting surface wear behavior of the grinding wheel for ceramic workpieces. The ground surface was evaluated using Scanning Electron Microscopy (SEM). As a result it can be said that the mechanism of material removal in the grinding of ceramic is largely one of brittle fracture. The increase of the hmax can reduce the tangential force required by the process. Although, it results in an increase in the surface damage, reducing the mechanical properties of the ground component.