Essays on banking theory and history of financial arrangements

Esta tese contém dois capítulos, cada um lidando com a teoria e a história dos bancos e arranjos financeiros. No capítulo 1, busca-se extender uma economia Diamond-Dybvig com monitoramento imperfeito dos saques antecipados e realizar uma comparação do bem estar social em cada uma das alocações possíveis, como proposto em Presscott and Weinberg(2003). Esse monitoramento imperfeito é implementado a partir da comunicação indireta ( através de um meio de pagamento) entre os agentes e a máquina de depósitos e saques que é um agregado do setor produtivo e financeiro. A extensão consiste em estudar alocações onde uma fração dos agentes pode explorar o monitoramento imperfeito e fraudar a alocação contratada ao consumirem mais cedo além do limite, usando múltiplos meios de pagamento. Com a punição limitada no período de consumo tardio, essa nova alocação pode ser chamada de uma alocação separadora em contraste com as alocações agregadoras onde o agente com habilidade de fraudar é bloqueado por um meio de pagamento imune a fraude, mas custoso, ou por receber consumo futuro suficiente para tornar a fraude desinteressante. A comparação de bem estar na gama de parâmetros escolhida mostra que as alocações separadoras são ótimas para as economias com menor dotação e as agregadoras para as de nível intermediário e as ricas. O capítulo termina com um possível contexto histórico para o modelo, o qual se conecta com a narrativa histórica encontrada no capítulo 2. No capítulo 2 são exploradas as propriedade quantitativas de um sistema de previsão antecedente para crises financeiras, com as váriaveis sendo escolhidas a partir de um arcabouço de ``boom and bust'' descrito mais detalhadamente no apêndice 1. As principais variáveis são: o crescimento real nos preços de imóveis e ações, o diferencial entre os juros dos títulos governamentais de 10 anos e a taxa de 3 meses no mercado inter-bancário e o crescimento nos ativos totais do setor bancário. Essas variáveis produzem uma taxa mais elevada de sinais corretos para as crises bancárias recentes (1984-2008) do que os sistemas de indicadores antecedentes comparáveis. Levar em conta um risco de base crescente ( devido à tendência de acumulação de distorções no sistema de preços relativos em expansões anteriores) também provê informação e eleva o número de sinais corretos em países que não passaram por uma expansão creditícia e nos preços de ativos tão vigorosa.

Evidence on the relationship between incentives and exogenous risk

Theoretical models on moral hazard provide competing predictions on the incentive-risk relationship. These predictions are derived under the assumptions of homogeneous agents and exogenous risk. However, the existing empirical evidence does not account for risk-aversion heterogeneity and risk endogeneity. This paper uses a well-built database on tenancy contracts to address these issues. Detailed information on cropping activities is used to measure the exogenous risk. Risk-aversion heterogeneity and other self-selection problems are addressed through a portfolio schedule and a subsample of farmers who simultaneously own and sharecrop different farms. This controlled exercise finds a direct relation between incentives and exogenous risk.

Bank networks and firm credit: an agent based model approach

Starting from the idea that economic systems fall into complexity theory, where its many agents interact with each other without a central control and that these interactions are able to change the future behavior of the agents and the entire system, similar to a chaotic system we increase the model of Russo et al. (2014) to carry out three experiments focusing on the interaction between Banks and Firms in an artificial economy. The first experiment is relative to Relationship Banking where, according to the literature, the interaction over time between Banks and Firms are able to produce mutual benefits, mainly due to reduction of the information asymmetry between them. The following experiment is related to information heterogeneity in the credit market, where the larger the bank, the higher their visibility in the credit market, increasing the number of consult for new loans. Finally, the third experiment is about the effects on the credit market of the heterogeneity of prices that Firms faces in the goods market.

Financial governance: the Brazilian experience on prudential regulation and its impacts on the effects of the 2008 financial crisis

The Brazilian economy was severely hit by the 2008 crisis. In the beginning of the crisis, the vast majorities of the economic agents and authorities thought that Brazil could face some sort of decoupling since some macroeconomic fundamentals were very good. What we saw, however, was that the Brazilian economy was not decoupled, and expectations faced a huge deterioration soon after the bankruptcy of Lehman Brothers in September 15th. Two aspects regarding the impact of crisis in Brazil, however, deserve a great deal of attention: (a) although deep, the impact did not last for a long time. Actually, the GDP growth experienced a good recovery in the second quarter of 2009, showing that the health of the Brazilian economy was good; (b) the Brazilian banking system performed very well during the crisis, although we cannot say the system was not in danger in the worst time of the crisis. In spite of the confidence crisis faced by the banking system 1, it showed a great deal of resilience. In this aspect, we argue that the restructure faced by the banking system in the aftermath of the Real Plan, as well as the development of a solid supervision regulation helped a lot the system to avoid the systemic crisis that was an open possibility to the Brazilian banking system in the end of 2008. These notes, thus, discusse why the Brazilian banking system performed pretty well in the 2008 financial crisis and how the Brazilian banking (and prudential) regulation can be taken as responsible for this good performance. More specifically, the paper back to the middle of the 1990s, when the Real Plan was implemented, in order to understand the role played by the restructuring of the Brazilian financial system in helping to pave the way to the great resilience experienced by the Brazilian banking system during the 2008 crisis. More specifically, the prudential regulation that was implemented in Brazil in the aftermath of the Real Plan seems to play a decisive role in the resilience of the system nowadays.

Contagion in financial networks: a network theory and agent-based approaches to modeling the spread of risk in financial systems

Esta dissertação estuda a propagação de crises sobre o sistema financeiro. Mais especi- ficamente, busca-se desenvolver modelos que permitam simular como um determinado choque econômico atinge determinados agentes do sistema financeiro e apartir dele se propagam, transformando-se em um problema sistêmico. A dissertação é dividida em dois capítulos,além da introdução. O primeiro capítulo desenvolve um modelo de propa- gação de crises em fundos de investimento baseado em ciência das redes.Combinando dois modelos de propagação em redes financeiras, um simulando a propagação de perdas em redes bipartites de ativos e agentes financeiros e o outro simulando a propagação de perdas em uma rede de investimentos diretos em quotas de outros agentes, desenvolve-se um algoritmo para simular a propagação de perdas através de ambos os mecanismos e utiliza-se este algoritmo para simular uma crise no mercado brasileiro de fundos de investimento. No capítulo 2,desenvolve-se um modelo de simulação baseado em agentes, com agentes financeiros, para simular propagação de um choque que afeta o mercado de operações compromissadas.Criamos também um mercado artificial composto por bancos, hedge funds e fundos de curto prazo e simulamos a propagação de um choque de liquidez sobre um ativo de risco securitizando utilizado para colateralizar operações compromissadas dos bancos.

Effect of Usnic Acid on Candida orthopsilosis and C. parapsilosis

The activity of usnic acid against Candida orthopsilosis and Candida parapsilosis on planktonic and biofilm conditions was investigated by using a broth microdilution and microplate methods. Potent in vitro activities against different Candida species were obtained. The metabolic activity of sessile cells of C. parapsilosis complex was reduced by 80% at four times the 80% inhibitory concentration. The in vitro studies support further efforts to determine whether usnic acid can be used clinically to cure patients with Candida infections.

Anti-Helicobacter pylori activity and immunostimulatory effect of extracts from Byrsonima crassa Nied. (Malpighiaceae)

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

Topliss method in the optimization of salicylic acid derivatives as potential antimycobacterial agents

The Topliss method was used to guide a synthetic path in support of drug discovery efforts toward the identification of potent antimycobacterial agents. Salicylic acid and its derivatives, p-chloro, p-methoxy, and m-chlorosalicylic acid, exemplify a series of synthetic compounds whose minimum inhibitory concentrations for a strain of Mycobacterium were determined and compared to those of the reference drug, p-aminosalicylic acid. Several physicochemical descriptors (including Hammett's sigma constant, ionization constant, dipole moment, Hansch constant, calculated partition coefficient, Sterimol-L and -B-4 and molecular volume) were considered to elucidate structure-activity relationships. Molecular electrostatic potential and molecular dipole moment maps were also calculated using the AM1 semi-empirical method. Among the new derivatives, m-chlorosalicylic acid showed the lowest minimum inhibitory concentration. The overall results suggest that both physicochemical properties and electronic features may influence the biological activity of this series of antimycobacterial agents and thus should be considered in designing new p-aminosalicylic acid analogs.

Comparative study between RBF and radial-PPS neural networks

The study of function approximation is motivated by the human limitation and inability to register and manipulate with exact precision the behavior variations of the physical nature of a phenomenon. These variations are referred to as signals or signal functions. Many real world problem can be formulated as function approximation problems and from the viewpoint of artificial neural networks these can be seen as the problem of searching for a mapping that establishes a relationship from an input space to an output space through a process of network learning. Several paradigms of artificial neural networks (ANN) exist. Here we will be investigated a comparative of the ANN study of RBF with radial Polynomial Power of Sigmoids (PPS) in function approximation problems. Radial PPS are functions generated by linear combination of powers of sigmoids functions. The main objective of this paper is to show the advantages of the use of the radial PPS functions in relationship traditional RBF, through adaptive training and ridge regression techniques.

Detection and classification of voltage disturbances using a Fuzzy-ARTMAP-wavelet network

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

Desenvolvimento de chatterbots educacionais: um estudo de caso voltado ao ensino de algoritmos

In development of Synthetic Agents for Education, the doubt still resides about what would be a behavior that could be considered, in fact, plausible for this agent's type, which can be considered as effective on the transmission of the knowledge by the agent and the function of emotions this process. The purpose of this labor has an investigative nature in an attempt to discover what aspects are important for this behavior consistent and practical development of a chatterbot with the function of virtual tutor, within the context of learning algorithms. In this study, we explained the agents' basics, Intelligent Tutoring Systems, bots, chatterbots and how these systems need to provide credibility to report on their behavior. Models of emotions, personality and humor to computational agents are also covered, as well as previous studies by other researchers at the area. After that, the prototype is detailed, the research conducted, a summary of results achieved, the architectural model of the system, vision of computing and macro view of the features implemented.

No mutations found in exons of TP53, H-RAS and K-RAS genes in liver of male Wistar rats submitted to a medium-term chemical carcinogenesis assay

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

Effect of Nd:YAG Irradiation and Fluoride Application on Dentine Resistance to Erosion in Vitro

Objective: In this paper we evaluated the effect of two fluoridated agents and Nd:YAG irradiation separately and in combination on dentine resistance to erosion. Background Data: The morphological changes in dentin induced by laser treatment may reduce the progression of erosive lesions. Due to the possibility of a synergistic effect of laser with fluoride, this study was conducted. Materials and Methods: Eighty bovine dentine samples (4 x 4 mm) were randomly divided into eight groups, according to the following treatments: G1: untreated (control); G2: acidic phosphate fluoride gel (APF 1.23%) for 4 min; G3: fluoride varnish (NaF 2.26%) for 6 h; G4: 0.5 W Nd: YAG laser (250 mu sec pulse, 10 Hz, 35 J/cm(2), 30 sec); G5: 0.75 W Nd: YAG laser (52.5 J/cm(2)); G6: 1.0 W Nd: YAG laser (70 J/cm(2)); G7: APF + 0.75 W Nd: YAG laser; and G8: NaF + 0.75 W Nd: YAG laser. After the treatments, half of each dentine surface was protected with nail varnish. The samples were stored in artificial saliva (30 mL/sample) for 24 h and submitted to four erosive 1-min cycles. Between the erosive attacks, the blocks were maintained in artificial saliva for 59 min. The erosive wear was evaluated by profilometry. Results: The mean wear (+/- SD, mu m) was: G1: 1.20 +/- 0.20; G2: 0.47 +/- 0.06; G3: 0.81 +/- 0.11; G4: 1.47 +/- 0.32; G5: 1.52 +/- 0.24; G6: 1.49 +/- 0.30; G7: 0.49 +/- 0.11; and G8: 1.06 +/- 0.31 (Tukey's test, p < 0.05). Conclusions: Laser irradiation was not able to reduce dentine erosion. However, fluoride application was able to increase the dentine's resistance to erosion, and APF showed better results than fluoride varnish.

In vivo evaluation of the biocompatibility of three current bonding agents

The aim of this in vivo study was to evaluate the biocompatibility of three current bonding agents and calcium hydroxide cement. Sixty polyethylene tubes filled with the following materials: Group 1: Prime & Bond NT (PB - Dentsply, US; Group 2: Bond 1 (BO - Jeneric/Pentron, US); Group 3: Optibond Solo (OP - Kerr, US); and Group 4 (control): calcium hydroxide cement - Dycal (CH - Dentsply, US) were implanted into the connective tissue of 30 rats. After 15, 30 and 60 days, the implants were excised and the animals sacrificed. The biopsies were immersed in Karnovsky (pH, 7.2) fixative solution for 48 hours, and processed using routine histological technique. Six-micron-thick sections were cut and stained with hematoxilin and eosin and Masson's trichome technique. Microscopic evaluation was used to compare the connective tissue reactions caused by the experimental and control materials adjacent to the tube opening. At 15 days, the experimental and control materials triggered a moderate to intense inflammatory response which gave rise to a thick capsule adjacent to the tube opening. With time, the inflammatory reaction decreased. At 60 days, the connective tissue adjacent to the bonding agents exhibited a persistent inflammatory response mediated by macrophages and giant cells which were engulfing displaced resin components. on the other hand, for the control group (calcium hydroxide) no inflammatory response associated with a thin capsule adjacent to the material was observed even at the 30-day period. The hard-setting calcium hydroxide cement allowed complete healing and was considered more biocompatible than the bonding agents.