Moral hazard and nonlinear pricing in a general equilibrium model

The paper analyzes a two period general equilibrium model with individual risk and moral hazard. Each household faces two individual states of nature in the second period. These states solely differ in the household's vector of initial endowments, which is strictly larger in the first state (good state) than in the second state (bad state). In the first period households choose a non-observable action. Higher leveis of action give higher probability of the good state of nature to occur, but lower leveIs of utility. Households have access to an insurance market that allows transfer of income across states of oature. I consider two models of financiaI markets, the price-taking behavior model and the nonlínear pricing modelo In the price-taking behavior model suppliers of insurance have a belief about each household's actíon and take asset prices as given. A variation of standard arguments shows the existence of a rational expectations equilibrium. For a generic set of economies every equilibrium is constraíned sub-optímal: there are commodity prices and a reallocation of financiaI assets satisfying the first period budget constraint such that, at each household's optimal choice given those prices and asset reallocation, markets clear and every household's welfare improves. In the nonlinear pricing model suppliers of insurance behave strategically offering nonlinear pricing contracts to the households. I provide sufficient conditions for the existence of equilibrium and investigate the optimality properties of the modeI. If there is a single commodity then every equilibrium is constrained optimaI. Ir there is more than one commodity, then for a generic set of economies every equilibrium is constrained sub-optimaI.

Contracting with repeated moral hazard and private evaluations

A repeated moral hazard setting in which the Principal privately observes the Agent’s output is studied. It is shown that there is no loss from restricting the analysis to contracts in which the Agent is supposed to exert effort every period, receives a constant efficiency wage and no feedback until he is fired. The optimal contract for a finite horizon is characterized, and shown to require burning of resources. These are only burnt after the worst possible realization sequence and the amount is independent of both the length of the horizon and the discount factor (δ). For the infinite horizon case a family of fixed interval review contracts is characterized and shown to achieve first best as δ → 1. The optimal contract when δ << 1 is partially characterized. Incentives are optimally provided with a combination of efficiency wages and the threat of termination, which will exhibit memory over the whole history of realizations. Finally, Tournaments are shown to provide an alternative solution to the problem.

Co-ordination failure, moral hazard and sovereign bankruptcy procedures

We study a model of sovereign debt crisis that combines problems of creditor coordination and debtor moral hazard. Solving the sovereign debtor's incentives leads to excessive 'rollover failure' by creditors when sovereign default occurs. We discuss how the incidence of crises might be reduced by international sovereign bankruptcy procedures and relate this to the current debate on revising international financial architecture. Paper prepared for Bank of England Conference on "The Role of the Official and Private Sectors in Resolving International Financial Crises", London, and for the Latin American Meeting of the Econometric Society, Sao Paolo, Brazil. (Preliminary draft circulated for comments, please do not cite without reference to the authors).

Renegociação de dívidas e moral hazard: uma análise do efeito da política de descontos no pagamento de dívidas de cartões de crédito

O Brasil vem vivenciando um aumento na demanda por cartões de crédito, principalmente nas classes baixas. Entretanto, a população de menor renda e menor qualificação representa maior riscos para a operação. Este fato é evidenciado pelas altas taxas de inadimplência. Exposto isso, empresas se utilizam de estratégias de renegociação de dívida na tentativa de recuperar parte do investimento realizado. Entretanto, poucos foram os estudos acerca da consequência no longo prazo destas estratégias. Utilizando os experimentos realizados por uma empresa de cartão de crédito, cujas campanhas de renegociação variavam mês a mês, este estudo, procurou evidências de que as ofertas de renegociação de dívidas podem afetar a reputação da firma, fazendo com que clientes da rede mesma rede social deste que recebeu a oferta de renegociação também fiquem inadimplentes. Concluímos que o aumento do desconto nas negociações tem um efeito significativo sobre o incentivo do cliente em honrar suas obrigações junto a empresa, ou seja, o aumento de 0,01 p.p. no desconto dado aos clientes aumenta em 0,05 sua probabilidade em atrasar sua fatura no próximo período.

Implied Hazard Rates Analysis Through Brazilian Corporate Debt

No Brasil, o mercado de crédito corporativo ainda é sub-aproveitado. A maioria dos participantes não exploram e não operam no mercado secundário, especialmente no caso de debêntures. Apesar disso, há inúmeras ferramentas que poderiam ajudar os participantes do mercado a analisar o risco de crédito e encorajá-los a operar esses riscos no mercado secundário. Essa dissertação introduz um modelo livre de arbitragem que extrai a Perda Esperada Neutra ao Risco Implícita nos preços de mercado. É uma forma reduzida do modelo proposto por Duffie and Singleton (1999) e modela a estrutura a termo das taxas de juros através de uma Função Constante por Partes. Através do modelo, foi possível analisar a Curva de Perda Esperada Neutra ao Risco Implícita através dos diferentes instrumentos de emissores corporativos brasileiros, utilizando Títulos de Dívida, Swaps de Crédito e Debêntures. Foi possível comparar as diferentes curvas e decidir, em cada caso analisado, qual a melhor alternativa para se tomar o risco de crédito da empresa, via Títulos de Dívida, Debêntures ou Swaps de Crédito.

Limited liability and non-responsiveness in moral hazard and adverse selection problems

This work analyses the optimal menu of contracts offered by a risk neutral principal to a risk averse agent under moral hazard, adverse selection and limited liability. There are two output levels, whose probability of occurrence are given by agent’s private information choice of effort. The agent’s cost of effort is also private information. First, we show that without assumptions on the cost function, it is not possible to guarantee that the optimal contract menu is simple, when the agent is strictly risk averse. Then, we provide sufficient conditions over the cost function under which it is optimal to offer a single contract, independently of agent’s risk aversion. Our full-pooling cases are caused by non-responsiveness, which is induced by the high cost of enforcing higher effort levels. Also, we show that limited liability generates non-responsiveness.

Propagação vegetativa de jambeiro vermelho [Syzygium malaccense (L.) Merr. & L.M. Perry]

The Malay Apple [Syzygium malaccense (L.) Merr. & L. M. Perry] is an option for the producer as its fruits are attractive and well accepted by the consumer. The difficulty of culture of this species is that the plant is very tall and has a long juvenile period when propagated by seed, making its vegetative propagation necessary to anticipate the productive period and decrease its size. The possibility of vegetative propagation of this species was studied by cutting, layering, and grafting. In the cutting experiment, three doses of indolbutyric acid (IBA) (0, 1,000, 3,000, and 5,000 mg L(-1)) were tested in two lengths of herbaceous cuttings (15 and 25 cm). In the layering experiment, two periods of layering (summer and autumn) and four doses of IBA (0, 1,000, 4,000, 7,000, and 10,000 mg kg(-1)) were evaluated. For grafting, the compatibility between S. malaccense and S. jambos (L.) Alston as rootstock was studied with two diameters (0.5 and 0.8 cm) and in two periods (winter and summer), by method of full graft. For cuttings, the percentage of rooting was 20%, independently of the IBA doses, except for 5,000 mg L(-1) that showed negative effect on 15 cm cuttings; layering and grafting were not successful in the studied conditions.

APPLICATION of THE HAZARD ANALYSIS and CRITICAL CONTROL POINT (HACCP) SYSTEM on THE MUSHROOM PROCESSING LINE FOR FRESH CONSUMPTION

The Hazard Analysis and Critical Control Point (HACCP) is a preventive system that intends to guarantee the safety and harmlessness of food. It improves the quality of products as it eliminates possible defects during the process, and saves costs by practically eliminating final product inspection. This work describes the typical hazards encountered on the mushroom processing line for fresh consumption. Throughout the process, only the reception stage of mushrooms has been considered a critical control point (CCP). The main hazards at this stage were: the presence of unauthorised phytosanitary products; larger doses of such products than those permitted; the presence of pathogenic bacteria or thermo-stable enterotoxins. Putting into practice such knowledge would provide any industry that processes mushrooms for fresh consumption with a self-control HACCP-based system for its own productions.

Fecundity, body size and population dynamics of Chrysomya albiceps (Wiedemann, 1819) (Diptera: Calliphoridae)

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

Brown-throated three-toed sloth (Bradypus variegatus Shinz, 1825) as a new host for Leiuris leptocephalus (Rud., 1819) Leuckard, 1850

Vinte e três espécimes de Leiuris leptocephalus (Rud., 1819) Leuckard 1850 (Spirocercidae) foram recuperados do intestino delgado de uma fêmea de preguiça comum, Bradypus variegatus Shinz 1825 (Bradipodidae), em Ubatuba, estado de São Paulo. Os dados demonstram maior variabilidade morfométrica em relação aos dados da literatura, o que contribui para a caracterização morfológica desse nematódeo. Essa comunicação corresponde ao primeiro relato de B. variegatus como hospedeiro de L. leptocephalus.

The role of riverine forests for food supply for the omnivorous fish Brycon opalinus Cuvier, 1819 (Characidae) in the Serra do Mar, Southeast Brazil

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

Reproduction of Pirapitinga do Sul (Brycon opalinus Cuvier, 1819) in the Parque Estadual da Serra do Mar-Núcleo Santa Virgínia, São Paulo, Brazil

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

Gonadossomatic relation and reproductive strategy of Brycon opalinus (Cuvier, 1819) in the Serra do Mar State Park - Núcleo Santa Virgínia, Atlantic Forest, Brazil

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