Essays on economic regulation

It is known that stock prices of public listed regulated companies react to price revisions by the regulator, and that the information conveyed by this price reaction might be used by the regulator on the contract design. This paper builds on Laffont and Tirole's (1986) regulation model with observable costs to better understand the effects the inclusion of the stock market can have on the regulator-regulated firm relationship. Our numerical simulations show that the inclusion of the market induce more powerful incentive schemes, with higher cost-reducing efforts, smaller informational rent by the firms and higher overall social welfare. In particular, we find that when the regulator is committed, the presence of short-term investors can make the first-best contract feasible, and that in the non-commitment case the market affects the firm's strategy by making it reveal more information about its cost than it normally would.

Essays in Corporate Bankruptcy

Esta tese é composta por três ensaios sobre o mercado de crédito e as instituições que regem bancarrota corporativa. No capítulo um, trazemos evidências que questionam a ideia de que maiores níveis de proteção ao credor sempre promovem desenvolvimento do mercado de crédito. Desde a publicação dos artigos seminais de La Porta et al (1997,1998), a métrica de proteção ao credor que os autores propuseram -- o índice de proteção ao credor -- tem sido amplamente utilizada na literatura de Law and Finance como variável explicativa em modelos de regressão linear em forma reduzida para determinar a correlação entre proteção ao credor e desenvolvimento do mercado de crédito. Neste artigo, exploramos alguns problemas com essa abordagem. Do ponto de vista teórico, essa abordagem geralmente supõe uma relação monotônica entre proteção ao credor e expansão do crédito. Nós apresentamos um modelo teórico para um mercado de crédito com seleção adversa em que um nível intermediário de proteção ao credor é capaz de implementar equilíbrios first best. Este resultado está de acordo com diversos outros artigos teóricos, tanto em equilíbrio geral quanto em equilíbrio parcial. Do ponto de vista empírico, tiramos proveito das reformas realizadas por alguns países durante as décadas de 1990 e 2000 para implementar uma estratégia inspirada na literatura de treatment effects e estimar o efeito sobre o valor de mercado e sobre a dívida de: i) permitir automatic stay a firmas em recuperação; e ii) conceder aos credores o direito de afastar os administradores. Os resultados que obtivemos apontam para um impacto positivo de automatic stay sobre todas as variáveis que dependem do valor de mercado da firma. Não encontramos efeito sobre dívida, e não encontramos efeitos significativos do direito de afastar administradores sobre valor de mercado ou dívida. O capítulo dois avalia as consequências empíricas de uma reforma na lei de falências sobre um mercado de crédito pouco desenvolvido. No início de 2005, o Congresso Nacional brasileiro aprovou uma nova lei de falências, a lei 11.101/05. Usando dados de firmas brasileiras e não-brasileiras, nós estimamos, usando dois modelos diferentes, o efeito da reforma falimentar sobre variáveis contratuais e não-contratuais de dívida. Ambos os modelos produzem resultados similares. Encontramos um aumento no volume total de dívida e na dívida de longo prazo, e uma redução no custo de dívida. Não encontramos efeitos significativos sobre a estrutura de propriedade da dívida. No capítulo três, desenvolvemos um modelo estimável de equilíbrio em search direcionado aplicado ao mercado de crédito, modelo este que pode ser usado para realizar avaliações ex ante de mudanças institucionais que afetem o crédito (como reformas em leis de falência). A literatura em economia há muito reconhece uma relação causal entre instituições (como leis e regulações) e desenvolvimento dos mercados financeiros. Essa conclusão qualitativa é amplamente reconhecida, mas há pouca evidência de sua importância quantitativa. Com o nosso modelo, é possível estimar como contratos de dívida mudam em resposta a mudanças nos parâmetros que descrevem as instituições da economia. Também é possível estimar o impacto sobre investimentos realizados pelas firmas, bem como caracterizar a distribuição do tamanho, idade e produtividade das firmas antes e depois da mudança institucional. Como ilustração, realizamos um exercício empírico em que usamos dados de firmas brasileiras para simular o impacto de variações na taxa de recuperação de créditos sobre os valores médios e totais de dívida e capital das firmas. Encontramos dívida crescente e capital quase sempre também crescente na taxa de recuperação.

Partial economic reforrns and financial crises: an emerging markets perspective

The recent emerging market experiences have posed a challenge to the conventional wisdom that unsustainable fiscal deficits are the key to understanding financial crises in these countries. The health of the domestic banking system has emerged as the main driving force behind the perverse dynamics of partial reforms. The current paper shares this view and uses a model of contractual inefliciencies in the banking sector to understand the dynamics of these reforms. We find that the threat of a large exchange rate devaluation depends on the stock of international reserves relative to the stock of domestic credit that must be extended by the Central Bank in response to a large capital outflow. Moreover, if a country has a weak banking sector but high net reserve ratios, the capital flow reversal might only increase the vulnerability to a currency crisis without necessarily causing it. The results are in accordance with much of the empiricalliterature on the determinants of financiaI crises in emerging markets. Some aspectsof the recent policy debate on the introduction of capital controls are also analysed.

The effect of financiaI repression & enforcernent on entrepreneurship and economic deveIopment

This paper studies the effect of financiaI repression and contract enforcement on entrepreneurship and economic development. We construct and solve a general equilibrium mo deI with heterogeneous agents, occupational choice and two financiaI frictions: intermediation costs and financiaI contract enforcement. Occupational choice and firm size are determined endogenously, and depend on agent type (wealth and ability) and the credit market frictions. The mo deI shows that differences across countries in intermediation costs and enforcement generate differences in occupational choice, firm size, credit, output and inequality. Counterfactual experiments are performed for Latin American, European, transition and high growth Asian countries. We use empirical estimates of each country's financiaI frictions, and United States values for all other parameters. The results allow us to isolate the quantitative effect of these financiaI frictions in explaining the performance gap between each country and the United States. The results depend critically on whether à general equilibrium factor price effect is operative, which in turn depends on whether financiaI markets are open or closed. This yields a positive policy prescription: If the goal is to maximize steady-state efficiency, financial reforms should be accompanied by measures to increase financiaI capital mobility.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

The impact of the 2008 economic recession on three residential property type investments: a case study of five diverse zip codes in Washington DC, USA

There has been 47 recessions in the United States of America (US) since 1790. US recessions have increasingly affected economies of other countries in the world as nations become more and more interdependent on each other. The worst economic recession so far was the “Great Depression” – an economic recession that was caused by the 1929 crash of the stock market in the US. The 2008 economic recession in the US was a result of the burst of the “housing bubble” created by predatory lending. The economic recession resulted in increased unemployment (according to NBER 8.7 million jobs were lost from Feb. 2008 to Feb. 2010); decrease in GDP by 5.1%; increase in poverty level from 12.1% (2007) to 16.0% (2008) (NBER) This dissertation is an attempt to research the impact of the 2008 economic recession on different types of residential investments: a case study of five (5) diverse neighborhoods/zip codes in Washington DC, USA The main findings were that the effect of the 2008 economic depression on the different types of residential properties was dependent on the location of the property and the demographics/socio-economic factors associated with that location.

Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia

This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly price a chosen panel of stocks returns. With the assumption that states probabilities are homogeneous we back out the risk neutral distribution and calculate five primitive tail risk measures, all extracted from this risk neutral probability. The final measure is than set as the first principal component of the preliminary measures. Using six Fama-French size and book to market portfolios to calculate our tail risk, we find that it has significant predictive power when forecasting market returns one month ahead, aggregate U.S. consumption and GDP one quarter ahead and also macroeconomic activity indexes. Conditional Fama-Macbeth two-pass cross-sectional regressions reveal that our factor present a positive risk premium when controlling for traditional factors.

The BRICS: some historical experiences, growth challenges and opportunities

The acronym BRICS was a fad among the media and global investors. Now, the acronym sounds passé. However, the group of countries remains important, from both political and economic reasons. They have a large aggregate size, 28% of the global GDP and 42% of the world’s population, high growth potential due to the current significant misallocation of resources and relatively low stock of human capital, structural transformation is in progress and one of them, China, is taking steps to become a global power and a challenger to the US dominance. This paper provides a brief overview of the five economies, Brazil, Russia, India, China and South Africa. We focus on some aspects of their history, the Chinese initiatives in international finance and geopolitical strategic moves, their growth experience and structural transformation over the last 35 years, trade and investment integration into the global economy and among themselves, the growth challenges faced by their economies and the potential gains to the Brazilian economy from a stronger integration with the other BRICS. In association with its efforts to be a global power, China aims to become a major player in global finance and to achieve the status of global currency for the renminbi, which would be the first currency of an emerging economy to attain such position. Despite the similarities, the BRICS encompass very diverse economies. In the recent decades, China and India showed stellar growth rates. On the other hand, Brazil, Russia and South Africa have expanded just in line with global output growth with the Russian economy exhibiting high volatility. China is by far the largest economy, and South Africa the smallest, the only BRICS economy with a GDP lower than US$ 1 trillion. Russia abandoned communism almost 25 years ago, but reversed many of the privatizations of 90’s. China is still ruled by communism, but has a vibrant private sector and recently has officially declared market forces to play a dominant role in its economy. Brazil, Russia and South Africa are global natural resources powerhouses and commodity exporters while China and India are large commodity importers. Brazil is relatively closed to international trade of goods and services, in marked contrast to the other four economies. Brazil, India and South Africa are dependent on external capital flows whereas China and Russia are capital exporters. India and South Africa have younger populations and a large portion living below the poverty line. Despite its extraordinary growth experience that lifted many millions from poverty, China still has 28% of its population classified as poor. Russia and China have much older populations and one of their challenges is to deal with the effects of a declining labor force in the near future. India, China and South Africa face a long way to urbanization, while Brazil and Russia are already urbanized countries. China is an industrial economy but its primary sector still absorbs a large pool of workers. India is not, but the primary sector employs also a large share of the labor force. China’s aggregate demand structure is biased towards investment that has been driving its expansion. Brazil and South Africa have an aggregate demand structure similar to the developed economies, with private consumption accounting for approximately 70%. The same similarity applies to the supply side, as in both economies the share of services nears 70%. The development problem is a productivity problem, so microeconomic reforms are badly needed to foster long-term growth of the BRICS economies since they have lost steam due a variety of factors, but fundamentally due to slower total factor productivity growth. China and India are implementing ambitious reform programs, while Brazil is dealing with macroeconomic disequilibria. Russia and South Africa remain mute about structural reforms. There are some potential benefits to Brazil to be extracted from a greater economic integration with the BRICS, particularly in natural resources intensive industries and services. Necessary conditions to the materialization of those gains are the removal of the several sources of resource misallocation and strong investment in human capital.

ECONOMIC ANALYSIS of AMAZON RIVER PRAWN FARMING TO THE MARKETS FOR LIVE BAIT and JUVENILES IN PANTANAL, BRAZIL

The implementation of a hypothetical aquaculture facility with hatchery, nursery and grow-out earthen ponds for raising the Amazon River Prawn Macrobrachium amazonicum in the Pantanal was considered. Eight larviculture cycles per year were projected: four to produce post-larvae for stocking in grow-out bait ponds, and four to stock nursery tanks to sell juveniles as seed to grow-out farms, which produce prawns for human consumption. Annual production would be 146,880 dozen bait prawns and 2,938 thousand juveniles. The assumed sale prices were US$ 1.38 per dozen baits and US$ 15.39 per thousand juveniles. The net present value was US$ 555,890.79, internal rate of return was 48% per year, payback period was 2.4 years and benefit-cost ratio was 3.90. The breakeven price to cover total costs per dozen baits was US$ 0.70 and per thousand juveniles was US$ 17.00, indicating that the selling price assumed for juveniles in base scenario is not realistic. Net return was US$ 84,773.80. The results indicate that this activity would be a lucrative and attractive investment in the Pantanal.

Desenvolvimento, pobreza e meio ambiente no seridó potiguar: um estudo centrado nas micro-regiões do seridó oriental e ocidental

This research work intends to carry out a study focused on the dynamic between development, poverty reduction and conservation of natural resources. To consider this relationship to the region chosen was the micro-region of Eastern and Western Seridó in the state of Rio Grande do Norte. In recent years, several studies (Araújo, 2011; BASTOS, 2009) have pointed out that after a period of economic crisis in its tripodproductive, formed by the activities of farming, cotton farming, mining and faced in the eighties, this region of the State of Rio Grande do Norte, has not only shown signs of economic recovery but also improve their social indicators. On the other hand, studies of desertification as the view of the state of RN (produced in cooperation between the Government of RN and research institutions) and the Sustainable Development Plan of Seridó (ADES, 2000), indicate that there is an ongoing French process of degradation of natural resources that is capable of compromising the ability of sustaining such a system. To verify this reality and likely finding this relationship, this work is adopted for this study, the analysis of evolution of secondary data from official bodies such as the IBGE on HDI, per capita income and other social indicators between 2000 and 2009. Here is another time of the survey analysis of qualitative data collected from interviews with institutions of academic intervention in nature, researchers at the Federal University of Rio Grande do Norte (UFRN) State agencies that address the issue of the Middle Environment in Seridó: Institute for Sustainable Development of the NB (IDEMA) and the Brazilian Institute of Environment and the Amazon (IBAMA) and institutions of direct intervention in the region, as the Agency's Sustainable Development Seridó (adhesive) and the Joint Semi-Arid (ASA). After crossing data from quantitative and qualitative, it was found that the dynamics of the region's economic Seridó Potiguar partially answers the improvement of social indicators of poverty. Contribution by the State in this shared stock transfer income. Regarding the influence of productive restructuring in the region on issues of environment, it is noted that the ceramic tile industry, responsible for the absorption percentage of the population with limited ingress into the urban economy, given the low education, accounts for the increase of susceptibility to the ongoing process of desertification in North Seridó Rio Grande. We conclude finally that the guarantee of increased income, freedom and conservation of natural resources ensures primarily by changing the beliefs and values, especially on the part of the business sector, which use natural resources so predatory, aimed at maintaining their rates of return on investment. And concomitantly, the synchronization between technological change, through the use of new energy sources, and institutional change.

Universidade e educação ambiental

The society consists of the inter-relations between diverse symbolic fields of performance, where some agents if identify for values, habits and goals. The present thesis analyzed, taking for base the Theory of the Social Field of Pierre Bourdieu, the ambient field and the university, leaving of the principle that the university is one of the propitious places for the quarrel, study, knowledge elaboration, and that the ambient education is one of the ways of dissemination of knowledge and action in favor of the ambient question. It was looked to contextualize and to identify the main factors that configure the university while a social field, and to evidence the conflict and connector links with the ambientalism. It is perceived university as space of tensions, whose produced capital stock in the academic scope must be enough convincing in the direction of the social transformation, of the expansion of conscience, the critical matureness, and thus to appear as agent of social transformation. The joint between the diverse social fields, promoted for the university, will be able to contribute for knowledge formularization that can consist base for elaboration of politics and programs to answer to the problems of the society contemporary. It has the inter-relationship between the two fields, however, this relation still is fragile, needing that a continuity practical social that they make possible that the ambient question is part of the culture of the university. This will be able to give with the intensification of the actions and the inclusion of the ambient questions in the communication mechanisms and administrative management. To surpass discontinuities caused for changes of groups leading and for interests politician conjunctural are necessary that they create habitus, what passes for the institutionalization of practical and the constitution of a culture that the agents allow if to reorganize defending the interests of social transformation front to the economic interests, as much in the university how much in the ambient field

Nitrogen content identification in crop plants using spectral reflectance and artificial neural networks

The accurate identification of the nitrogen content in crop plants is extremely important since it involves economic aspects and environmental impacts. Several experimental tests have been carried out to obtain characteristics and parameters associated with the health of plants and its growing. The nitrogen content identification involves a lot of nonlinear parametes and complexes mathematical models. This paper describes a novel approach for identification of nitrogen content thought spectral reflectance of plant leaves using artificial neural networks. The network acts as identifier of relationships among pH of soil, fertilizer treatment, spectral reflectance and nitrogen content in the plants. So, nitrogen content can be estimated and generalized from an input parameter set. This approach can be form the basis for development of an accurate real time nitrogen applicator.

Population structure and stock assessment of Hoplias malabaricus (Characiformes: Erythrinidae) caught by artisanal fishermen in river-reservoir transition area in Brazil

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Mathematical tool to size rural digesters

Os biodigestores têm sido objetos de grande destaque devido a atual crise de energia e conseqüente busca de fontes alternativas. Outro fator que coloca os biodigestores em evidência é o intenso processo de modernização da agropecuária, que além da grande demanda de energia, produz um volume de resíduos animais e de culturas, que ocasiona muitas vezes problemas de ordem sanitária. O objetivo deste trabalho é fornecer uma ferramenta matemática para determinação de parâmetros para projetos de construção de biodigestores rurais, levando-se em consideração o atendimento de necessidades energéticas, obedecendo os dimensionamentos dos sistemas, fatores de rendimento e garantindo a funcionalidade. Para isto, foram formulados modelos de otimização não lineares, de fácil resolução, para os três principais tipos de biodigestores rurais. Com a resolução destes modelos são determinados a altura e o diâmetro que levem a um volume mínimo para cada tipo, com isto reduz-se a quantidade necessária de materiais de alvenaria e consequentemente o custo do biodigestor é diminuído.

A bio-economic appraisal of pair trawl fisheries off southeastern Brazil

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