Equilibrium theory with asymmetric information and infinitely many states

Radner (1968) proved the existence of a competitive equilibrium for differential information economies with finitely many states. We extend this result to economies with infinitely many states of nature.

Essays on asymmetric information problems without the single-crossing property: applications to corporate finance

The objective of this dissertation is to re-examine classical issues in corporate finance, applying a new analytical tool. The single-crossing property, also called Spence-irrlees condition, is not required in the models developed here. This property has been a standard assumption in adverse selection and signaling models developed so far. The classical papers by Guesnerie and Laffont (1984) and Riley (1979) assume it. In the simplest case, for a consumer with a privately known taste, the single-crossing property states that the marginal utility of a good is monotone with respect to the taste. This assumption has an important consequence to the result of the model: the relationship between the private parameter and the quantity of the good assigned to the agent is monotone. While single crossing is a reasonable property for the utility of an ordinary consumer, this property is frequently absent in the objective function of the agents for more elaborate models. The lack of a characterization for the non-single crossing context has hindered the exploration of models that generate objective functions without this property. The first work that characterizes the optimal contract without the single-crossing property is Araújo and Moreira (2001a) and, for the competitive case, Araújo and Moreira (2001b). The main implication is that a partial separation of types may be observed. Two sets of disconnected types of agents may choose the same contract, in adverse selection problems, or signal with the same levei of signal, in signaling models.

A family of autoregressive conditional duration models

This paper develops a family of autoregressive conditional duration (ACD) models that encompasses most specifications in the literature. The nesting relies on a Box-Cox transformation with shape parameter λ to the conditional duration process and a possibly asymmetric shocks impact curve. We establish conditions for the existence of higher-order moments, strict stationarity, geometric ergodicity and β-mixing property with exponential decay. We next derive moment recursion relations and the autocovariance function of the power λ of the duration process. Finally, we assess the practical usefulness of our family of ACD models using NYSE price duration data on the IBM stock. The results warrant the extra flexibility provided either by the Box-Cox transformation or by the asymmetric response to shocks.

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.

Optimal regulation of oil fields under asymmetric information

Neste trabalho é analisada a relação entre um regulador e uma empresa petrolífera. Há várias incertezas inerentes à essa relação e o trabalho se concentra nos efeitos da assimetria de informação. Fazemos a caracterização da regulação ótima sob informação assimétrica, quando o regulador deve desenhar um mecanismo que induz a firma a revelar corretamente sua informação privada. No caso em que a rma não pode se comprometer a não romper o acordo, mostramos que o regulador pode não implementar o resultado ótimo que é obtido sob informação completa. Nesse caso, o regulador não consegue compartilhar os riscos com a firma de forma ótima. Por fim, é apresentado um exemplo, em que mostramos que a condição de Spence-Mirrlees (SMC) pode não valer. Esse resultado aparece de forma natural no modelo.

Essays on structural transformation, growth and education

This thesis aims to study the impact of structural change on the trajectory of development of emerging economies. More speci cally, we seek to understand how the reallocation of labor from less productive sectors of the economy (e.g., agriculture) to more productive sectors (e.g., industry and services) contributed to the growth of labor productivity in these economies. The thesis is divided into three chapters, besides the introduction. The rst chapter studies the relationship between structural change and economic development in Latin American economies. While the process of reallocation of labor was important to the dynamics of productivity in the period of convergence of these economies, low productivity in some sectors of the economy explained most of the reduction in productivity in the most recent period. In the second chapter, I study the main determinants of growth of the Chinese economy between 1980 and 2005. I show that the increased ow of trade and strong productivity growth in the agricultural sector contributed signi -cantly to China s development in the period. In the third chapter, I study the apparent contradiction between increased levels of schooling and reduction of per capita income in African economies compared to the U.S. economy. The main conclusion is that reducing educational costs explain the retreat of the education di¤erential between African economies and the United States.

Structural transformation and productivity in Latin America

This article examines the e¤ects of sectorial shifts and structural transformation on the recent productivity path of Latin America. We use a four-sector (agriculture, industry, modern services and traditional services) general equilibrium model calibrated to the main economies in the region. The model very closely replicates labor reallocations across sectors and the growth of aggregate labor productivity from 1950 to 2005. Structural transformation explains a sizeable portion of the region s convergence in the rst decades. In most cases, the poor performance of the traditional services sector is the main cause of the slowdown in productivity growth observed in the region after the mid-1970s and is a key factor in explaining the divergence during this period.

Construction of facilities under asymmetric information: do constitutional constraints matter?

This paper studies construction of facilities in a federal state under asymmetric information. A country consists of two regions, each ruled by a local authority. The federal government plans to construct a facility in one of the regions. The facility generates a local value in the host region and has spillover effects in the other region. The federal government does not observe the local value because it is the local authority's private information. 80 the federal governrnent designs an incentive-compatible mechanism, specifying if the facility should be constructed and a balanced scheme of interregional transfers to finance its cost. The federal governrnent is constitutionally constrained to respect a given leveI of each region's welfare. We show that depending upon the facility's local value and the spillover effect, the governrnent faces different incentive problems. Moreover, their existence depends crucially on how stringent constitutional constraints are. Therefore, the optimal mechanism will also depend upon these three features of the model.

Transformation of brain drain of brain gain: incentives to attract talented workforce

The key for the future of any country, firm or group lies in the talent, skills, experience, knowledge and capabilities of its people. Migration of human capital resource on an international level depicts the impact on the developing country having its highly educated individuals migrating to developed countries known as “Brain Drain.” Therefore, evaluation of short-term and long-term talent needs and impacts on any country is critical. This paper aims to complement the existing theoretical brain drain and brain gain literature, focusing on the interaction between investment in education, training, healthcare and government to attract highly talented individuals to a developing a country. The migration study is inclusive of the analysis of the highly talented resources that have committed to or are planning to resettle in their developing native countries after investing in themselves through education. The motivational factors of these highly talented individuals are evaluated to determine key needs and drives attracting these individuals back to China from a developed country (aka. reserve migration).

The rite of passage from regular to connoisseur consumer: the role of the taste transformation ritual in the specialty coffee context

Apesar de o campo da cultura de consumo ter abordado o papel do ritual no consumo, definindo e descrevendo este constructo e explicando suas dimensões, significados culturais, elementos, componentes e práticas, assim como revelando a diferenciação nas práticas dos consumidores, nenhuma pesquisa ainda identificou como os consumidores, por meio de práticas de ritual, estabelecem e manipulam suas próprias diferenciações em relação a outros consumidores durante o rito de passagem deles de uma categoria cultural de pessoa para outra. Tendo como base conceitos-chaves da teoria sobre ritual, minha pesquisa aborda o papel do ritual no consume de apreciação. Conduzindo um estudo etnográfico sobre consumo de apreciação de cafés especiais, eu realizei uma imersão no campo, visitando e observando consumidores em cafeterias independentes de destaque na América do Norte – Toronto, Montreal, Seattle e Nova York – de agosto de 2013 a julho de 2014. Eu também realizei uma imersão no contexto de cafés especiais no Brasil em Belo Horizonte e São Paulo, de agosto de 2014 a janeiro de 2015, para comparar e contrastar as culturas de consume de cafés especiais de Brasil, Estados Unidos e Canadá. Eu usei entrevistas longas, observação participante, netnografia, introspecção e análise histórica de artigos de jornais para coletar os dados, que foram interpretados utilizando a abordagem hermenêutica, comparando os consumidores em diferentes estágios durante o rito de passagem de apreciação. Para estender meu entendimento sobre o consumo de apreciação, eu também coletei dados sobre o contexto de consumo de vinho. Nesta tese, eu introduzo a ideia de ritual de transformação do gosto, teorizando sobre o processo do rito de passagem de apreciação, que converte consumidores regulares em consumidores apreciadores. Minha pesquisa revela que consumidores apreciadores são amadores em diferentes estágios do rito de passagem de apreciação. Eles se transformam pelo estabelecimento e reforço de oposições entre o consume de massa e de apreciação. O ritual de transformação do gosto envolve os seguintes elementos: (1) variação nas escolhas de produtos de alta qualidade, (2) o lugar para realizar a degustação, (3) o momento da degustação, (4) o ato de degustar, (5) investimento de tempo e dinheiro, (6) aumento do capital subcultural e social, (7) perseverança no rito de passagem. Os consumidores apreciadores participam da comunidade de consumo de apreciação. Essa comunidade heterogênea é composta por profissionais excelentes, apreciadores e consumidores regulares. As forças que direcionam a comunidade, de acordo com o que foi identificado no estudo, são a produção de capital social e subcultural, emulação do profissional e das práticas de ritual de consumo, tensões de performance entre os membros da comunidade, amizade comercial e jogo de status. Eu desenvolvo uma ampla consideração teórica que desenvolve e estende um número de conceitos em relação a ritual e consumo, gosto, comunidade heterogênea e consumidores apreciadores.

Environmental regulation, technology adoption and structural transformation: evidence from Brazilian sugarcane industry

We estimate the effects of the adoption of mechanized agriculture led by a new environmental regulation on structural change of local labor markets within a large emerging country, Brazil. In 2002, the state of S\~{a}o Paulo passed a law outlying the timeline to end sugarcane pre-harvest burning in the state. The environmental law led to the fast adoption of mechanized harvest. We investigate if the labor intensity of sugarcane production decreases; and, if so, if it leads to structural changes in the labor market. We use satellite data containing the type of sugarcane harvesting -- manual or mechanic harvest -- paired with official labor market data.%, also geomorphometric data base for our instrumental variable correction. We find suggestive evidence that mechanization of the field led to an increase in utilization of formal workers and a reduction in formal labor intensity in the sugarcane sector. This is partially compensated by an increase in the share of workers in other agricultural crops and in the construction and services sector. Although we find a reduction in employment in the manufacturing sector, the demand generated by the new agro-industries affected positively the all sectors via an increase in workers' wage.

Not delivering as one: asymmetric outcomes in firm-university collaborations

Extant literature examined the benefits of relational embeddedness in facilitating collaboration between organizations, as well as the necessity of firms to balance their knowledge generation into exploration and exploitation activities. However, the effects of relational embeddedness in the specific outputs of firm-university collaborations, as well as the elements that affect the exploratory nature of such outcomes remain underexplored. By examining fine grained data of more than 4.000 collaborative research and development projects by a firm and universities, 5.000 patents, and 300.000 scientific publications, it was proposed that relational embeddedness would have a positive effect on resource commitment and on joint scientific publications, but a negative effect on joint patents and exploratory outcomes resulting of such collaborations. Additionally, it was proposed that knowledge similarity would have a negative impact in exploratory endeavors made in such projects. Although some of the propositions were not supported by the data, this study revealed that relational embeddedness increases resource commitment and the production of joint scientific publications in such partnerships. At last, this study presents interesting opportunities for future research.

Asymmetric preferences in investment decisions in the Brazilian financial market

The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.

Asymmetric auctions and risk aversion within independent private valoues

We study tournaments with many ex-ante asymmetric (heterogeneous) contestants as an independent-private-values all-pay auction. The asymmetry is either with respect to the distribution of valuations for the prize or the risk preferences. By characterizing equilibria in tnonotone strategies we show that tournaments \:vith man~y heterogenous contestants are qualitatively distinct. First, with two (or many ex-ante identical) participants, a contestant always exerts some effort with positive probability. In contrast, with many asymmetric participants, one 1night not exert any effort at all, even if there is a positive probability that he has the highest valuation among ali. Second, in tournan1ents with t'wo (o r n1any ex-ante h01nogenous) contestants, equilibrium effort densities are decreasing. This prediction is at odds with experimental evidence that shows the empírica! density might be increasing at high effort levels. V\.lith rnany heterogeneous contestants, however. the increasing bid density is consistent with an equilibrium behavior.

Asymmetric post-natal development of superior cervical ganglion of paca (Agouti paca)

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