The private memory of aggregate shocks

Em economias caracterizadas por choques agregados e privados, mostramos que a alocação ótima restrita pode depender de forma não-trivial dos choques agregados. Usando versões dos modelos de Atkeson e Lucas (1992) e Mirrlees (1971) de dois períodos, é mostrado que a alocação ótima apresenta memória com relação aos choques agregados mesmo eles sendo i.i.d. e independentes dos choques individuais, quando esses últimos choques não são totalmente persistentes. O fato de os choques terem efeitos persistentes na alocação mesmo sendo informação pública, foi primeiramente apresentado em Phelan (1994). Nossas simulações numéricas indicam que esse não é um resultado pontual: existe uma relação contínua entre persistência de tipos privados e memória do choque agregado.

Transformação estrutural na América Latina

I investigate the role of sectoral di¤erences in labor productivity and the process of structural transformation (reallocation of labor across sectors) in accounting for the time path of aggregate productivity across six Latin American countries (Brazil, Chile, Argentina, Colombia, Mexico and Venezuela) during the period from 1950 to 2003. Although they have started the process of structural transformation in di¤erent times, all of them went through a common process. I consider a simple three-sector-model of structural transformation and calibrate it to the experience of the six latin american economies. I use the model to measure sectoral labor productivity di¤erences between these countries and the United States. I have found that the services sector can explain the recent decrease of labor productivity in Brazil, Argentina and Mexico, after these countries had gone through a catch up in relative productivity (considering the United States as a benchmark) during the period from 1950 to 1980. Among Latin American economies, only the Chilean one has been catching up in relative productivity from 1980 to the present. There are some cases like Colombia, Mexico and Venezuela that the ine¢ ciency of all sectors was responsible for the failure in reducing the gap of productivity in relation to the United States during the last years of the sample.

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

Unemployment insurance an analysis of optimal mechanisms under aggregate shocks

The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism.

An essay about the effect of vague accounting standards on the decision making process of auditors

Vague words and expressions are present throughout the standards that comprise the accounting and auditing professions. Vagueness is considered to be a significant source of inexactness in many accounting decision problems and many authors have argued that the neglect of this issue may cause accounting information to be less useful. On the other hand, we can assume that the use of vague terms in accounting standards is inherent to principle based standards (different from rule based standards) and that to avoid vague terms, standard setters would have to incur excessive transaction costs. Auditors are required to exercise their own professional judgment throughout the audit process and it has been argued that the inherent vagueness in accounting standards may influence their decision making processes. The main objective of this paper is to analyze the decision making process of auditors and to investigate whether vague accounting standards create a problem for the decision making process of auditors, or lead to a better outcome. This paper makes the argument that vague standards prompt the use of System 2 type processing by auditors, allowing more comprehensive analytical thinking; therefore, reducing the biases associated with System 1 heuristic processing. If our argument is valid, the repercussions of vague accounting standards are not as negative as presented in previous literature, instead they are positive.

Evidenciação dos instrumentos financeiros derivativos: uma análise crítica sobre hedge accounting

Esse estudo de natureza qualitativa, busca por meio de uma pesquisa exploratória e descritiva analisar se as divulgações nas notas explicativas dos instrumentos financeiros derivativos contabilizados pela metodologia do hedge accounting, efetuados em 2009 pelas empresas brasileiras não financeiras listadas na BM&FBOVESPA atendem a lista de exigências de divulgação do IFRS 7. A relevância desse estudo se deve a dois fatores. O primeiro fator é que a utilização de instrumentos financeiros derivativos tem se tornado cada vez mais comum no mercado mundial e brasileiro, devido a seu grande desenvolvimento e evolução. Apesar de que esses instrumentos, quando utilizados de forma adequada, possam ser excelentes ferramentas para minimizar risco, seu uso descuidado pode levar ao prejuízo e até mesmo à falência de organizações, como foi visto na crise do subprime e outras anteriores. Portanto, a mensuração, evidenciação e controle desses instrumentos tornam-se cada vez mais importantes para que realmente possamos entender o impacto desses instrumentos nos negócios das companhias no curto e no longo prazo. O segundo fator é que com o advento da lei 11.638/07, alterada pela lei 11.941/08, determinou-se que deveremos estar com nossas normas contábeis convergidas para o International Financial Report Standards (IFRS) até o final de 2010. Significa que devemos a partir desse momento seguir os seus pronunciamentos no que se refere a apresentação (IAS 32), reconhecimento e mensuração (IAS 39) e divulgações (IFRS 7) dos instrumentos financeiros. Portanto esse estudo nos permite verificar o quanto as empresas já atendem ou não o IFRS 7.

Structural Transformation and Productivity in Latin America

We investigate the role of sectorial differences in labor productivity and the process of structural transformation (reallocation of labor across sectors) in accounting for the time path of aggregate productivity across six Latin American countries (Brazil, Chile, Argentina, Colombia, Mexico and Venezuela) from 1950 to 2003. We used a general equilibrium model with three sectors (agriculture, industry and services) calibrated to those six economies. The model is used to compare the trajectory of productivity in each sector of activity with that of the United States and it impact on aggregate productivity.While in Brazil and Argentina, the Service Sector was responsible for reversing the process of catch up in productivity that occurred until the 1980s, in others, like Colombia, Mexico and Venezuela, low productivity growth of the three sectors explain their poor performance.

Longevidade das micro e pequenas empresas prestadoras de serviços: um estudo das dimensões organizacionais e suas implicações

O presente estudo tem como objetivo fornecer subsídios para a discussão sobre a longevidade das micro e pequenas empresas (MPEs) prestadoras de serviços através da relação de parceria com a grande empresa. O enfoque delineia-se no espaço das dimensões organizacionais: estrutura e processos, comportamento, estratégias, tecnologia / inovação e ambiente. Tal escolha deu-se em função de duas razões: a primeira enquanto uma forma de recolocar na agenda de discussões brasileiras a questão da importância da vida longa às MPEs como agente dinamizador da economia; e a segunda, desmistificar a funcionalidade e indicadores de gestão a partir de sua longevidade. O estudo faz uma imersão diante dos desdobramentos das dimensões, com fatores que agregam um arcabouço de variáveis, discutidas à luz do referencial teórico do sistema sócio-técnico, estudos de ciclo de vida, na “lógica” da complexidade e nas evidências epistemológicas das dimensões organizacionais, creditando fatores tangíveis e intangíveis à margem de práticas da gestão das MPEs longevas. A estratégia metodológica sustentou-se em uma pesquisa quali-quantitativa, com investigação descritiva, explicativa e aplicada, com instrumentos de análise de dados primários e secundários e pesquisa de campo com aplicação de entrevistas e questionários. Foram pesquisadas 82 MPEs prestadoras de serviços com longevidade a partir de cinco anos e parceira da grande empresa. Após a análise dos dados evidenciou-se que as dimensões organizacionais alteram de forma sinérgica na vida dessas empresas. Os resultados comprovam ainda, que a parceria com a grande empresa explica significativamente na longevidade das MPEs. Ao final o estudo apresenta-se um quadro de indicadores de gestão das MPEs longevas, por dimensão organizacional.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

The long-run properties of a dynamic Mirrlees' model with aggregate shocks

Nós abordamos a existência de distribuições estacionárias de promessas de utilidade em um modelo Mirrlees dinâmico quando o governo tem record keeping imperfeito e a economia é sujeita a choques agregados. Quando esses choques são iid, provamos a existência de um estado estacionário não degenerado e caracterizamos parcialmente as alocações estacionárias. Mostramos que a proporção do consumo agregado é invariante ao estado agregado. Quando os choques agregados apresentam persistência, porém, alocações eficientes apresentam dependência da história de choques e, em geral, uma distribuição invariante não existe.

Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Essays on the credit channel of monetary policy: a case study for Brazil

The onset of the financial crisis in 2008 and the European sovereign crisis in 2010 renewed the interest of macroeconomists on the role played by credit in business cycle fluctuations. The purpose of the present work is to present empirical evidence on the monetary policy transmission mechanism in Brazil with a special eye on the role played by the credit channel, using different econometric techniques. It is comprised by three articles. The first one presents a review of the literature of financial frictions, with a focus on the overlaps between credit activity and the monetary policy. It highlights how the sharp disruptions in the financial markets spurred central banks in developed and emerging nations to deploy of a broad set of non conventional tools to overcome the damage on financial intermediation. A chapter is dedicated to the challenge face by the policymaking in emerging markets and Brazil in particular in the highly integrated global capital market. This second article investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term “structural” comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external finance premium and the credit volume produce large and persistent fluctuations in inflation and economic activity – accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. Counterfactual simulations demonstrate that the credit channel amplified the economic contraction in Brazil during the acute phase of the global financial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed. In the third articles, I make use of Bayesian estimation of a classical neo-Keynesian DSGE model, incorporating the financial accelerator channel developed by Bernanke, Gertler and Gilchrist (1999). The results present evidences in line to those already seen in the previous article: disturbances on the external finance premium – represented here by credit spreads – trigger significant responses on the aggregate demand and inflation and monetary policy shocks are amplified by the financial accelerator mechanism. Keywords: Macroeconomics, Monetary Policy, Credit Channel, Financial Accelerator, FAVAR, DSGE, Bayesian Econometrics