Protection for sale in a developing country : democracy vs. dictatorship

For a "genuine" small open economy that has experienced both dictatorship and democracy, we find support for the predictions of the Grossman-Helpman (1994) "Protection for Sale" model. In contrast to previous studies, we use various protection measures (including tariffs, the direct measure of the theoretical model) and perform both single-year and panel regressions. Using Turkish industry-level data, the government's weight on welfare is estimated to be much larger than that on contributions. More importantly, we find that this weight is generally higher for the democratic regime than for dictatorship.

Fiscal policy and US-Canadian trade

A factor-augmented vector autoregressive (FAVAR) model is applied to determine the effects of a rise in US government expenditure on the United States and Canadian economies. The results obtained reasonably characterize the effect of a rise in US government spending to the United States and Canadian economies emphasizing the role of the traded goods sector.

Practitioners' corner: data dependent endogeneity correction in cointegrated panels

This paper examines the small-sample performance of several information based criteria that can be employed to facilitate data dependent endogeneity correction in estimation of cointegrated panel regressions. The Monte Carlo evidence suggests that the criteria generally perform well but that there are differences of practical importance. In particular, the evidence suggests that, although the estimators of the cointegration vectors generally perform well, the criterion with best small-sample performance also leads to the best performing estimator. © Blackwell Publishing Ltd, 2005.

Feasible estimation in cointegrated panels

In this paper we propose a simple procedure for data dependent determination of the number of lags and leads to use in feasible estimation of cointegrated panel regressions. Results from Monte Carlo simulations suggests that the feasible estimators considered enjoys excellent precision in terms of root mean squared error and reasonable power with effective size hovering close to the nominal level. The good performance of the feasible estimators is verified empirically through an application to the long run money demand.

A variação de ativos e retorno das ações no mercado de capitais brasileiro

A literatura de finanças tem encontrado diversas relações entre indicadores financeiros e o retorno de ações. Testamos a relação entre variação dos ativos totais e o retorno das ações para o mercado de capitais brasileiro. Foram realizadas regressões em painéis para testar se esta relação permanece válida mesmo em uma economia emergente como a do Brasil. Comparou-se a capacidade previsora da variação do ativo total com outros indicadores financeiros conhecidos na literatura

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.

Previsão da inadimplência bancária no Brasil através dos métodos FAVAR e FAVECM

O objetivo do presente trabalho é utilizar modelos econométricos de séries de tempo para previsão do comportamento da inadimplência agregada utilizando um conjunto amplo de informação, através dos métodos FAVAR (Factor-Augmented Vector Autoregressive) de Bernanke, Boivin e Eliasz (2005) e FAVECM (Factor-augmented Error Correction Models) de Baneerjee e Marcellino (2008). A partir disso, foram construídas previsões fora da amostra de modo a comparar a eficácia de projeção dos modelos contra modelos univariados mais simples - ARIMA - modelo auto-regressivo integrado de média móvel e SARIMA - modelo sazonal auto-regressivo integrado de média móvel. Para avaliação da eficácia preditiva foi utilizada a metodologia MCS (Model Confidence Set) de Hansen, Lunde e James (2011) Essa metodologia permite comparar a superioridade de modelos temporais vis-à-vis a outros modelos.

Títulos de dívida corporativa de empresas brasileiras: investir em emissões do mercado interno ou externo?

O objetivo deste trabalho é analisar a diferença de rentabilidade entre emissões de títulos de dívida corporativa de empresas brasileiras nos mercados local e externo. Sob a ótica do investidor interessado em comprar esses títulos, busca-se responder se, protegendo-se contra oscilações de fatores como câmbio e juros e controlando pelo prazo de vencimento, seria mais rentável em média adquirir um título local ou externo de um mesmo emissor. Para isso, analisamos 177 emissões de debêntures e 119 emissões de títulos no exterior de 31 companhias não financeiras brasileiras no período entre janeiro de 2004 e abril de 2013. Regressões em painel com efeitos fixos para controlar pelas características de cada emissor verificam que, em média, o título no mercado externo paga de 164 a 197 bps a mais que o do mercado local, e que tal diferença é estatisticamente significante.

Evidências internacionais dos efeitos da atuação de investidores institucionais na anomalia dos accruals

Os investidores institucionais, tais como os fundos de pensão, são entidades que administram recursos de numerosos grupos de pessoas, e que, por isso, tendem a gerir grandes carteiras de investimento e a ter incentivos para se tornar bem informados. Por isso, espera-se que eles sejam bons representantes da classe de investidores sofisticados, ou bem informados, e que o aumento de sua presença no mercado de capitais melhore a velocidade do ajuste do preço, contribuindo para evitar ineficiências do mercado, como, por exemplo, a anomalia dos accruals (Sloan, 1996), que é um atraso na revisão dos preços diante da informação sobre a magnitude dos accruals do lucro. Assim, o objetivo deste estudo é analisar, em diversos países, o impacto da participação de investidores institucionais sobre a anomalia dos accruals. São formuladas quatro hipóteses: (i) a proporção de informações sobre o desempenho futuro da empresa refletida no preço de sua ação é positivamente relacionada com o percentual de participação societária dos investidores institucionais; (ii) quanto maior for o percentual da participação societária de investidores institucionais, maior será a qualidade do lucro; (iii) quanto maior for a value relevance do lucro, maior será a anomalia dos accruals; e (iv) quanto maior for a participação societária dos investidores institucionais, menor será a anomalia dos accruals. Para se atingir os objetivos, a bibliografia sobre investidores institucionais, investidores sofisticados e anomalia dos accruals é analisada e cotejada com a literatura sobre value relevance e qualidade do lucro, em especial com o de Dechow e Dichev (2002). A pesquisa empírica utiliza dados de empresas não financeiras listadas nas bolsas de valores da Alemanha, do Brasil, da Espanha, dos Estados Unidos, da França, da Holanda, da Itália, do Reino Unido e da Suíça, e cobre o período de 2004 a 2013. A amostra contempla entre 2.314 e 4.076 empresas, totalizando entre 15.902 e 20.174 observações, a depender do modelo estimado. São realizadas regressões com dados em painel, uma abordagem de equações aparentemente não relacionadas (Seemingly Unrelated Regression - SUR) e a aplicação do teste de Mishkin (1983). Constata-se que nos Estados Unidos e na Itália os investidores institucionais são mais bem informados que os demais, e que na Alemanha, nos Estados Unidos, na França e no Reino Unido eles exercem um papel de monitoramento, pressionando por lucros de qualidade superior. Não se constata, porém, relação positiva entre value relevance do lucro e anomalia dos accruals, nem entre participação de investidores institucionais e esta anomalia. O estudo enriquece a discussão sobre o mercado ser eficiente a longo prazo, mas apresentar anomalias no curto prazo; enfatiza a importância de o investidor ser capaz de converter informações em previsão e avaliação; discute o vínculo entre o papel de monitoramento dos investidores institucionais e a qualidade do lucro; e avalia a relação entre a atuação destes investidores e o prices lead earnings.

Pituitary adenylate cyclase-activating polypeptide type 1 receptor (PAC1) gene is suppressed by transglutaminase 2 activation

Pituitary adenylate cyclase-activating polypeptide (PACAP) functions as a neuroprotective factor through the PACAP type 1 receptor, PAC1. In a previous work, we demonstrated that nerve growth factor augmented PAC1 gene expression through the activation of Sp1 via the Ras/MAPK pathway. We also observed that PAC1 expression in Neuro2a cells was transiently suppressed during in vitro ischemic conditions, oxygen-glucose deprivation (OGD). Because endoplasmic reticulum (ER) stress is induced by ischemia, we attempted to clarify how ER stress affects the expression of PAC1. Tunicamycin, which induces ER stress, significantly suppressed PAC1 gene expression, and salubrinal, a selective inhibitor of the protein kinase RNA-like endoplasmic reticulum kinase signaling pathway of ER stress, blocked the suppression. In luciferase reporter assay, we found that two Sp1 sites were involved in suppression of PAC1 gene expression due to tunicamycin or OGD. Immunocytochemical staining demonstrated that OGD-induced transglutaminase 2 (TG2) expression was suppressed by salubrinal or cystamine, a TG activity inhibitor. Further, the OGD-induced accumulation of cross-linked Sp1 in nuclei was suppressed by cystamine or salubrinal. Together with cystamine, R283, TG2-specific inhibitor, and siRNA specific for TG2 also ameliorated OGD-induced attenuation of PAC1 gene expression. These results suggest that Sp1 cross-linking might be crucial in negative regulation of PAC1 gene expression due to TG2 in OGD-induced ER stress. © 2013 by The American Society for Biochemistry and Molecular Biology, Inc.

Predicting jurors' decisions: The effects of repeated expression and forewarning in civil voir dire

To help lawyers uncover jurors' attitudes and predict verdict, litigation experts recommend that attorneys encourage jurors to repeatedly express their attitudes during voir dire. While social cognitive literature has established that repeated expression of attitudes increases accessibility and behavior predictability, the persuasive twist on the method exercised in trials deserves empirical investigation. Only one study has examined the use of repeated expression within a legal context with the results finding that the tactic increased accessibility, but did not influence the attitude verdict relationship. This dissertation reexamines the ability of civil attitudes to predict verdict in a civil trial and investigates the use of repeated expression as a persuasive tactic utilized by both parties (Plaintiff and Defense) within a civil voir dire in an attempt to increase attitudinal strength, via accessibility, and change attitudes to better predict verdict. This project also explores potential moderators, repetition by the opposing party and the use of a forewarning, to determine their ability to counter the effects of repeated expression on attitudes and verdict.^ This dissertation project asked subjects to take on the role of jurors in a civil case. During the voir dire questioning session, the number of times the participants were solicited to express their attitudes towards litigation crisis by both parties was manipulated (one vs. five). Also manipulated was the inclusion of a forewarning statement from the plaintiff, within which mock jurors were cautioned about the repeated tactics that the defense may use to influence their attitudes. Subsequently, participants engaged in a response latency task which measured the accessibility of their attitudes towards various case-related issues. After reading a vignette of a fictitious personal injury case, participants rendered verdict decisions and responded to an attitude evaluation scale. Exploratory factor analyses, Probit regressions, and path analyses were used to analyze the data. Results indicated that the act of repeated expression influenced both the accessibility and value of litigation crisis attitudes thus increasing the attitude-verdict relationship, but only when only one party engaged in it. Furthermore, the forewarning manipulation did moderate the effect of repeated expression on attitude change and verdict, supporting our hypothesis.^

The fiscal consequences of deflation : evidence from the golden age of globalization

We study the fiscal consequences of deflation on a panel of 17 economies in the first wave of globalization, between 1870 and 1914. By means of impulse response analyses and panel regressions, we find that a 1 percent fall in the price level leads to an increase in the public debt ratio of about 0.23- 0.32 pp. and accounting for trade openness, monetary policy and the exchange rate raises the absolute value of the coefficient on deflation. Moreover, the public debt ratio increases when deflation is also associated with a period of economic recession. For government revenue, lagged deflation comes out with a statistically significant negative coefficient, while government primary expenditure seems relatively invariant to changes in prices.

A factor analytical method to interactive effects dynamic panel models with or without unit root

In a recent study, Bai (Fixed-Effects Dynamic Panel Models, A Factor Analytical Method. Econometrica 81, 285-314, 2013a) proposes a new factor analytic (FA) method to the estimation of dynamic panel data models, which has the unique and very useful property that it is completely bias-free. However, while certainly appealing, it is restricted to fixed effects models without a unit root. In many situations of practical relevance this is a rather restrictive consideration. The purpose of the current study is therefore to extend the FA approach to cover models with multiple interactive effects and a possible unit root.