Changements démographiques et inégalités éducatives à Ouagadougou

Depuis plusieurs décennies, des études empiriques réalisées sur plusieurs pays développés ou en émergence ont montré que la baisse de la taille de la famille favorise l’investissement dans l’éducation des enfants, expliquant qu’un nombre élevé d’enfants a un effet d’amenuisement des ressources familiales. Les retombées positives de la baisse de la fécondité sur l’éducation sont largement étudiées et connues. En dépit des résultats controversés des premières études portant sur les pays de l’Afrique de l’Ouest, les récentes études empiriques tendent à confirmer l’effet positif de la baisse de la taille de la famille dans le contexte africain, du moins en milieu urbain. Par contre, jusqu’à présent, très peu d’études semblent intéressées à analyser la répartition de ces retombées entre les enfants, et encore moins à comprendre comment ces dernières affecteraient la structure des inégalités éducatives existantes. Notre étude s’intéresse à explorer la potentielle dimension démographique des inégalités socioéconomiques, notamment les inégalités éducatives dans le contexte de la baisse de la fécondité. Elle vise à apporter des évidences empiriques sur le lien entre la réduction de la taille de la famille et les inégalités éducatives au sein des ménages dans le contexte d’Ouagadougou, Capitale du Burkina Faso, qui connait depuis quelques décennies la chute de la fécondité. Elle analyse aussi l’effet de cette réduction sur la transmission intergénérationnelle des désavantages éducatifs. Pour ce faire, nous proposons un cadre conceptuel pour comprendre les mécanismes par lesquels la relation entre la réduction de la taille de la famille et les inégalités éducatives se tisse. Ce cadre conceptuel s’appuie sur une recension des écrits de divers auteurs à ce sujet. Par la suite, nous procédons à des analyses empiriques permettant de tester ces liens en utilisant les données du projet Demtrend collectées. Les résultats empiriques sont présentés sous forme d’articles scientifiques. Les conclusions du premier article indiquent que la relation entre le nombre d’enfants de la famille et l’éducation varie selon le contexte socioéconomique. En effet, pour les générations qui ont grandi dans un contexte socioéconomique colonial et postcolonial, où le mode de production était essentiellement agricole et l’éducation formelle n’était pas encore valorisée sur le marché du travail, la relation est très faible et positive. Par contre, pour les récentes générations, nous avons observé que la relation devient négative et fortement significative. De plus, les résultats de cet article suggèrent aussi que la famille d’origine des femmes a une incidence significative sur leur comportement de fécondité. Les femmes dont la mère avait un niveau de scolarité élevé (et étaient de statut socioéconomique aisé) ont moins d’enfants comparativement à celles dont leurs parents avaient un faible niveau de scolarité (et pauvres). En retour, leurs enfants sont aussi les plus éduqués. Ce qui sous-tend à un éventuel effet de levier de la réduction de la taille de la famille dans le processus de transmission intergénérationnelle des désavantages éducatifs. Le second article fait une comparaison entre les ménages de grande taille et ceux de petite taille en matière d’inégalités éducatives entre les enfants au sein des ménages familiaux, en considérant le sexe, l’ordre de naissance et les termes d’interaction entre ces deux variables. Les résultats de cet article montrent que généralement les enfants des familles de petite taille sont plus scolarisés et atteignent un niveau d’éducation plus élevé que ceux des grandes familles. Toutefois, les filles ainées des petites familles s’avèrent moins éduquées que leurs pairs. Ce déficit persiste après avoir considéré seulement les ménages familiaux monogames ou encore après le contrôle de la composition de la fratrie. L’émancipation des femmes sur le marché du travail résultant de la réduction de la taille de la famille et la faible contribution des pères dans les activités domestiques expliqueraient en partie cette situation. Malheureusement, nous n’avons pas pu contrôler l’activité économique des mères dans les analyses. Finalement, dans le cadre du troisième et dernier article, nous avons examiné l’effet d’avoir été confié par le passé sur les inégalités éducatives au sein de la fratrie, en comparant ceux qui ont été confiés aux autres membres de leur fratrie qui n’ont jamais été confiés. Dans cet article, nous avons considéré l’aspect hétérogène du confiage en le différenciant selon le sexe, la relation de la mère avec le chef du ménage d’accueil et l’âge auquel l’enfant a été confié. Les résultats montrent qu’avoir été confié dans le passé influence négativement le parcours scolaire des enfants. Cependant, cet effet négatif reste fort et significatif que pour les filles qui ont été confiées après leurs 10 ans d’âge. Un profil qui correspond à la demande de main-d’œuvre en milieu urbain pour l’accomplissement des tâches domestiques, surtout dans le contexte de la baisse de la taille de la famille et l’émancipation des femmes sur le marché du travail.

Modelando a volatilidade dos retornos de Petrobrás usando dados de alta frequência

O objetivo do presente trabalho é analisar as características empíricas de uma série de retornos de dados em alta freqüência para um dos ativos mais negociados na Bolsa de Valores de São Paulo. Estamos interessados em modelar a volatilidade condicional destes retornos, testando em particular a presença de memória longa, entre outros fenômenos que caracterizam este tipo de dados. Nossa investigação revela que além da memória longa, existe forte sazonalidade intradiária, mas não encontramos evidências de um fato estilizado de retornos de ações, o efeito alavancagem. Utilizamos modelos capazes de captar a memória longa na variância condicional dos retornos dessazonalizados, com resultados superiores a modelos tradicionais de memória curta, com implicações importantes para precificação de opções e de risco de mercado

Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.

Three essays on trade and investment

From H. G. Johnson's work (Review of Economic Studies, 1953–54) on tariff retaliation, the questions of whether a country can win a “tariff war” and how or even the broader question of what will affect a country's strategic position in setting bilateral tariff have been tackled in various situations. Although it is widely accepted that a country will have strategic advantages in winning the tariff war if its relative monopoly power is sufficiently large, it is unclear what are the forces behind such power formation. The goal of this research is to provide a unified framework and discuss various forces such as relative country size, absolute advantages and relative advantages simultaneously. In a two-country continuum-of-commodity neoclassical trade model, it is shown that sufficiently large relative country size is a sufficient condition for a country to choose a non-cooperative tariff Nash equilibrium over free trade. It is also shown that technology disparities such as absolute advantage, rate of technology disparity and the distribution of the technology disparity all contribute to a country's strategic position and interact with country size. ^ Leverage effect is usually used to explain the phenomenon of asymmetric volatility in equity returns. However, leverage itself can only account for parts of the asymmetry. In this research, it is shown that stock return volatility is related to firms’ financial status. Financially constrained firms tend to be more sensitive to the return changes. Financial constraint factor explains why some firms tend to be more volatile than others. I found that the financial constraint factor explains the stock return volatility independent of other factors such as firm size, industry affiliation and leverage. Firms’ industry affiliations are shown to be very weak in differentiating volatility. Firm size is proven to be a good factor in distinguishing the different levels of volatility and volatility-return sensitivity. Leverage hypothesis is also partly corroborated and the situation where leverage effect is not applicable is discussed. Finally, I examined the macroeconomic policy's effects on overall market volatility. ^

Contratos futuros sobre o petróleo: um estudo sobre a assimetria na volatilidade

Mestrado em Contabilidade e Análise Financeira

SVR-GARCH com misturas de kernels gaussianos

Dissertação (mestrado)—Universidade de Brasília, Departamento de Administração, Programa de Pós-graduação em Administração, 2016.

Essays in Financial Econometrics

The first paper sheds light on the informational content of high frequency data and daily data. I assess the economic value of the two family models comparing their performance in forecasting asset volatility through the Value at Risk metric. In running the comparison this paper introduces two key assumptions: jumps in prices and leverage effect in volatility dynamics. Findings suggest that high frequency data models do not exhibit a superior performance over daily data models. In the second paper, building on Majewski et al. (2015), I propose an affine-discrete time model, labeled VARG-J, which is characterized by a multifactor volatility specification. In the VARG-J model volatility experiences periods of extreme movements through a jump factor modeled as an Autoregressive Gamma Zero process. The estimation under historical measure is done by quasi-maximum likelihood and the Extended Kalman Filter. This strategy allows to filter out both volatility factors introducing a measurement equation that relates the Realized Volatility to latent volatility. The risk premia parameters are calibrated using call options written on S&P500 Index. The results clearly illustrate the important contribution of the jump factor in the pricing performance of options and the economic significance of the volatility jump risk premia. In the third paper, I analyze whether there is empirical evidence of contagion at the bank level, measuring the direction and the size of contagion transmission between European markets. In order to understand and quantify the contagion transmission on banking market, I estimate the econometric model by Aït-Sahalia et al. (2015) in which contagion is defined as the within and between countries transmission of shocks and asset returns are directly modeled as a Hawkes jump diffusion process. The empirical analysis indicates that there is a clear evidence of contagion from Greece to European countries as well as self-contagion in all countries.

The effect of financial leverage on real and accrual-based earnings management

Past research has documented a substitution effect between real earnings management (RM) and accrual-based earnings management (AM), depending on relative costs. This study contributes to this research by examining whether levels of (and changes in) financial leverage have an impact on this empirically documented trade-off. We hypothesise that in the presence of high leverage, firms that engage in earnings manipulation tactics will exhibit a preference for RM due to a lower possibility—and subsequent costs—of getting caught. We show that leverage levels and increases positively and significantly affect upward RM, with no significant effect on income-increasing AM, while our findings point towards a complementarity effect between unexpected levels of RM and AM for firms with very high leverage levels and changes. This is interpreted as an indication that high leverage could attract heavy outsider scrutiny, making it necessary for firms to use both forms of earnings management in order to achieve earnings targets. Furthermore, we document that equity investors exhibit a significantly stronger penalising reaction to AM vs. RM, indicating that leverage-induced RM is not as easily detectable by market participants as debt-induced AM, despite the fact that the former could imply deviation from optimal business practices.

Excess leverage and productivity growth in emerging economies:is there a threshold effect?

This paper studies the relationship between leverage and growth, focusing on a large sample of firms in emerging economies of central and eastern Europe (CEE). Contrary to the general wisdom, we find that deviation from optimal leverage, especially, excess leverage is common among firms in many CEE countries. Using firm-level panel data from a group of transition countries, the paper provides support to the hypothesis that leverage positively affects productivity growth but only below an endogenously determined threshold level.

Determinants of credit default swap spread, the effect of the financial crisis in the us markets

The purpose of this study is to define what determinants affect the Credit spread. There are two theoretical frameworks to study this: structural models and reduced form models. Structural models indicate that the main determinants are company leverage, volatility and risk-free interest rate, and other market and firm-specific variables. The purpose is to determine which of these theoretical determinants can explain the CDS spread and also how these theoretical determinants are affected by the financial crisis in 2007. The data is collected from 30 companies in the US Markets, mainly S&P Large Cap. The sample time-frame is 31.1.2004 – 31.12.2009. Empirical studies indicate that structural models can explain the CDS spreads well. Also, there were significant differences between bear and bull markets. The main determinants explaining CDS spreads were leverage and volatility. The other determinants were significant, depending on the sample period. However, these other variables did not explain the spread consistently.

The Effect of Risk-Based Factors on the Value Premium: The Finnish Evidence

This thesis examines the effect of operating leverage and financial leverage on the value premium in the Finnish stock markets 2002-2012. The purpose of the thesis is to examine whether operating leverage and financial leverage affect firm`s BE/ME and stock returns. The accounting data has been collected from Amadeus database and market-based data from the Datastream database. Sample used in this thesis covers years from 1998 to 2012. This thesis confirms the findings of previous research of tight connection between operating leverage and BE/ME and reinforces the findings of previous research that relation between financial leverage and BE/ME is not robust. In turn, relation between operating leverage, BE/ME and stock returns is not clearly perceived during the 2002-2012 period in the Finnish stock markets.

Leverage analysis for linear mixed models

We consider a generalized leverage matrix useful for the identification of influential units and observations in linear mixed models and show how a decomposition of this matrix may be employed to identify high leverage points for both the marginal fitted values and the random effect component of the conditional fitted values. We illustrate the different uses of the two components of the decomposition with a simulated example as well as with a real data set.

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.

Leverage, Volatile Future Earnings Growth and Expected Stock Returns

We provide theory and evidence to complement Choi's [RFS, 2013] important new insights on the returns to equity in `value' firms. We show that higher future earnings growth ameliorates the value-reducing effect of leverage and, because the market for earnings is incomplete, reduces the earnings-risk sensitivity of the default option. Ceteris paribus, a levered firm with low (high) earnings growth is more sensitive to the first (second) of these effects thus generating higher (lower) expected returns. We demonstrate this by modeling equity as an Asian-style call option on net earnings and find significant empirical support for our hypotheses.