Comparative advantage, heterogeneous firms and variable mark-ups

We develop a model of comparative advantage with monopolistic competition, that incorporates heterogeneous firms and endogenous mark-ups. We analyse how these features vary across countries with different factor endowments, and across markets of different size. In this model we can obtain trade gains via two channels. First, when we open the economy, most productive firms start to export their product, then, they demand more producing factors and wages rises, thus, those firms that are less productive will be forced to stop to produce. Second channel is via endogenous mark-ups, when we open the economy, the competition gets ``tougher'', then, mark-ups falls, thus, those firms that are less productive will stop to produce. We also show that comparative advantage works as a ``third channel'' of trade gains, because, all trade gains results are magnified in comparative advantage industry of both countries. We also make a numerical exercise to see how endogenous variables of the model vary when trade costs fall.

Growth and distribution: a revised classical model

This paper discusses distribution and the historical phases of capitalism. It assumes that technical progress and growth are taking place, and, given that, its question is on the functional distribution of income between labor and capital, having as reference classical theory of distribution and Marx’s falling tendency of the rate of profit. Based on the historical experience, it, first, inverts the model, making the rate of profit as the constant variable in the long run and the wage rate, as the residuum; second, it distinguishes three types of technical progress (capital-saving, neutral and capital-using) and applies it to the history of capitalism, having the UK and France as reference. Given these three types of technical progress, it distinguishes four phases of capitalist growth, where only the second is consistent with Marx prediction. The last phase, after World War II, should be, in principle, capital-saving, consistent with growth of wages above productivity. Instead, since the 1970s wages were kept stagnant in rich countries because of, first, the fact that the Information and Communication Technology Revolution proved to be highly capital using, opening room for a new wage of substitution of capital for labor; second, the new competition coming from developing countries; third, the emergence of the technobureaucratic or professional class; and, fourth, the new power of the neoliberal class coalition associating rentier capitalists and financiers

Pricing and hedging of oil futures : a unifying approach

We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of inventories for the identification of different pricing regimes. In an empirical study the hedging performance of our model is compared with five other one- and two-factor pricing models. The hedging problem considered is related to Metallgesellschaft´s strategy to hedge long-term forward commitments with short-term futures. The results show that the downside risk distribution of our inventory based model stochastically dominates those of the other models.

Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing

Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate is an affine function of this vector. The model is characterized by a specific form for the stochastic differential equation (SDE) for the evolution of the state vector. This SDE presents restrictions on its drift term which rule out arbitrages in the market. In this paper we solve the following inverse problem: Suppose the term structure of interest rates is modeled by a linear combination of Legendre polynomials with random coefficients. Is there any SDE for these coefficients which rules out arbitrages? This problem is of particular empirical interest because the Legendre model is an example of factor model with clear interpretation for each factor, in which regards movements of the term structure. Moreover, the Affine structure of the Legendre model implies knowledge of its conditional characteristic function. From the econometric perspective, we propose arbitrage-free Legendre models to describe the evolution of the term structure. From the pricing perspective, we follow Duffie et al. (2000) in exploring Legendre conditional characteristic functions to obtain a computational tractable method to price fixed income derivatives. Closing the article, the empirical section presents precise evidence on the reward of implementing arbitrage-free parametric term structure models: The ability of obtaining a good approximation for the state vector by simply using cross sectional data.

Imperfectly credible disinflation under endogenous time-dependent pricing

The real effects of an imperfectly credible disinflation depend critically on the extent of price rigidity. Therefore, the study of how policymakers’ credibility affects the outcome of an announced disinflation should not be dissociated from the analysis of the determinants of the frequency of price adjustments. In this paper we examine how the policymaker’s credibility affects the outcome of an announced disinflation in a model with endogenous time-dependent pricing rules. Both the initial degree of price ridigity, calculated optimally, and, more notably, the changes in contract length during disinflation play an important role in the explanation of the effects of imperfect credibility. We initially evalute the costs of disinflation in a setup where credibility is exogenous, and then allow agents to update beliefs about the “type” of monetary authority that they face. We show that, in both cases, the interaction between the endogeneity of time-dependent rules and imperfect credibility increases the output costs of disinflation.

Nonlinear pricing beyond the demand profile approach

Wilson [16] introduced a general methodology to deal with monopolistic pricing in situations where customers have private information on their tastes (‘types’). It is based on the demand profile of customers: For each nonlinear tariff by the monopolist the demand at a given level of product (or quality) is the measure of customers’ types whose marginal utility is at least the marginal tariff (‘price’). When the customers’ marginal utility has a natural ordering (i.e., the Spence and Mirrlees Condition), such demand profile is very easy to perform. In this paper we will present a particular model with one-dimensional type where the Spence and Mirrlees condition (SMC) fails and the demand profile approach results in a suboptimal solution for the monopolist. Moreover, we will suggest a generalization of the demand profile procedure that improves the monopolist’s profit when the SMC does not hold.

Optimal growth in a two-sector model without discounting: a geometric investigation

We characterize optimal policy in a two-sector growth model with xed coeÆcients and with no discounting. The model is a specialization to a single type of machine of a general vintage capital model originally formulated by Robinson, Solow and Srinivasan, and its simplicity is not mirrored in its rich dynamics, and which seem to have been missed in earlier work. Our results are obtained by viewing the model as a specific instance of the general theory of resource allocation as initiated originally by Ramsey and von Neumann and brought to completion by McKenzie. In addition to the more recent literature on chaotic dynamics, we relate our results to the older literature on optimal growth with one state variable: speci cally, to the one-sector setting of Ramsey, Cass and Koopmans, as well as to the two-sector setting of Srinivasan and Uzawa. The analysis is purely geometric, and from a methodological point of view, our work can be seen as an argument, at least in part, for the rehabilitation of geometric methods as an engine of analysis.

A systematic component of the jump-risk premium in an AJD model

We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite set of new state variables that affect the paths of the primitive, under both the actual and the risk-neutral measure, by being related to the primitive's jump process. Those new variables are assumed to be commom to all the primitives. We present simulations to ensure that the model generates the volatility smile and compute the "discounted conditional characteristic function'' transform that permits the pricing of a wide range of derivatives.

Análise da precificação de imóveis na cidade do Rio de Janeiro utilizando Modelagem Hedônica e os efeitos da autocorrelação espacial

A escolha da cidade do Rio de Janeiro como sede de grandes eventos esportivos mundiais, a Copa do Mundo de Futebol de 2014 e os Jogos Olímpicos de 2016, colocou-a no centro de investimentos em infraestrutura, mobilidade urbana e segurança pública, com consequente impacto no mercado imobiliário, tanto de novos lançamentos de empreendimentos, quanto na revenda de imóveis usados. Acredita-se que o preço de um imóvel dependa de uma relação entre suas características estruturais como quantidade de quartos, suítes, vagas de garagem, presença de varanda, tal como sua localização, proximidade com centros de trabalho, entretenimento e áreas valorizadas ou degradadas. Uma das técnicas para avaliar a contribuição dessas características para a formação do preço do imóvel, conhecido na Econométrica como Modelagem Hedônica de Preços, é uma aplicação de regressão linear multivariada onde a variável dependente é o preço e as variáveis independentes, as respectivas características que deseja-se modelar. A utilização da regressão linear implica em observar premissas que devem ser atendidas para a confiabilidade dos resultados a serem analisados, tais como independência e homoscedasticidade dos resíduos e não colinearidade entre as variáveis independentes. O presente trabalho objetiva aplicar a modelagem hedônica de preços para imóveis localizados na cidade do Rio de Janeiro em um modelo de regressão linear multivariada, em conjunto com outras fontes de dados para a construção de variáveis de acessibilidade e socioambiental a fim de verificar a relação de importância entre elas para a formação do preço e, em particular, exploramos brevemente a tendência de preços em função da distância a favelas. Em atenção aos pré-requisitos observados para a aplicação de regressão linear, verificamos que a premissa de independência dos preços não pode ser atestada devido a constatação da autocorrelação espacial entre os imóveis, onde não apenas as características estruturais e de acessibilidade são levadas em consideração para a precificação do bem, mas principalmente a influência mútua que os imóveis vizinhos exercem um ao outro.

Invariant tests in an instrumental variables model with unknown data generating process

In this work we focus on tests for the parameter of an endogenous variable in a weakly identi ed instrumental variable regressionmodel. We propose a new unbiasedness restriction for weighted average power (WAP) tests introduced by Moreira and Moreira (2013). This new boundary condition is motivated by the score e ciency under strong identi cation. It allows reducing computational costs of WAP tests by replacing the strongly unbiased condition. This latter restriction imposes, under the null hypothesis, the test to be uncorrelated to a given statistic with dimension given by the number of instruments. The new proposed boundary condition only imposes the test to be uncorrelated to a linear combination of the statistic. WAP tests under both restrictions to perform similarly numerically. We apply the di erent tests discussed to an empirical example. Using data from Yogo (2004), we assess the e ect of weak instruments on the estimation of the elasticity of inter-temporal substitution of a CCAPM model.

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.

Understanding the tsunami with a simple model

In this paper, we use the approximation of shallow water waves (Margaritondo G 2005 Eur. J. Phys. 26 401) to understand the behaviour of a tsunami in a variable depth. We deduce the shallow water wave equation and the continuity equation that must be satisfied when a wave encounters a discontinuity in the sea depth. A short explanation about how the tsunami hit the west coast of India is given based on the refraction phenomenon. Our procedure also includes a simple numerical calculation suitable for undergraduate students in physics and engineering.

A simple and non-destructive model for individual leaf area estimation in citrus

Introduction. Leaf area is often related to plant growth, development, physiology and yield. Many non-destructive models have been proposed for leaf area estimation of several plant genotypes, demonstrating that leaf length, leaf width and leaf area are closely correlated. Thus, the objective of our study was to develop a reliable model for leaf area estimation from linear measurements of leaf dimensions for citrus genotypes. Materials and methods. Leaves of citrus genotypes were harvested, and their dimensions (length, width and area) were measured. Values of leaf area were regressed against length, width, the square of length, the square of width and the product (length x width). The most accurate equations, either linear or second-order polynomial, were regressed again with a new data set; then the most reliable equation was defined. Results and discussion. The first analysis showed that the variables length, width and the square of length gave better results in second-order polynomial equations, while the linear equations were more suitable and accurate when the width and the product (length x width) were used. When these equations were regressed with the new data set, the coefficient of determination (R(2)) and the agreement index 'd' were higher for the one that used the variable product (length x width), while the Mean Absolute Percentage Error was lower. Conclusion. The product of the simple leaf dimensions (length x width) can provide a reliable and simple non-destructive model for leaf area estimation across citrus genotypes.

Black string corrections in variable tension braneworld scenarios

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Double sampling (x)over-bar control chart for a first-order autoregressive moving average process model

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)