Estudo e análise estatística no mercado de ações brasileiro

The objective of this paper is to verify and analyze the existence in Brazil of stylized facts observed in financial time series: volatility clustering, probability distributions with fat tails, the presence of long run memory in absolute return time series, absence of linear return autocorrelation, gain/loss asymmetry, aggregative gaussianity, slow absolute return autocorrelation decay, trading volume/volatility correlation and leverage effect. We analyzed intraday prices for 10 stocks traded at the BM&FBovespa, responsible for 52.1% of the Ibovespa portfolio on Sept. 01, 2009. The data analysis confirms the stylized facts, whose behavior is consistent with what is observed in international markets.

Essays on Industrial Organization and Environmental Economics

This dissertation studies environmental regulation issues in the hog production industry as well as forces behind the reorganization of the industry during the past two decades. Federal and State-level environmental regulations imposed on U.S. hog production during the year 2003 are examined in Chapter 1. Based on the number of regulations passed by the Federal government and states, the 2003 regulatory index is constructed. The regulatory stringency index suggests that state-level regulations vary across states and have increased over the years. In addition, state-level regulations are more stringent than federal regulations. Chapter 2 develops an empirically implementable theoretical model which allows us to investigate the long-run effects of environmental regulations on the U.S. hog industry. Hog feeding operations (HFOs) are divided into large feeding operations (LHFOs) and small feeding operations (SHFOs). The impact of the presence of a large number of LHFOs on the entry and exit of CHFOs is also examined. Results of this study suggest that: Increased state-level regulation stringency significantly lowers the output of SHFOs; increased state-level regulation stringency significantly lowers the output of LHFOs; increased state-level regulation stringency significantly lowers the number of SHFOs; SHFO output rises significantly in states that have a greater number of LHFOs; LHFO output rises significantly in states that have a greater number of LHFOs; the number of SHFOs significantly increases in states that have a greater numbers of LHFOs; regulation increases the average SHFO size; and regulation decreases the average LHFO size. Chapter 3 examines the importance of input availability, market attractiveness, agglomeration economies and environmental regulations on the reorganization of U.S. hog production for a panel of 22 U.S. hog producing states which include, Northern states, Southern states and Midwest states for the period 1994-2006. Results from this study suggest that: Hog production in a state is positively affected by hog production in a nearby state, confirming the presence of agglomeration economies; Environmental regulations and high corn price have negative effects on state-level U.S. hog production; High hog prices, and favorable labor cost, and land values attract hog production; and transportation cost has no effect on hog production. Advisors: Azzeddine Azzam and Karina Schoengold

CC96-396 Productcion Flexibility Contracts: Provisions, Implications and the Participation Decision

The Federal Agriculture Improvement and Reform (FAIR) Act of 1996 (P.L. 104-127) was signed into law by President Clinton on April 4, 1996. Most provisions of the new law, including the commodity provisions, will be effective for seven years, 1996-2002. Unlike previous farm bills, provisions relating to commodity supports are grouped together under what is known as the Agricultural Market Transition Act (AMTA) program. Producers of seven commodities: corn, sorghum, barley, oats, wheat, rice and cotton must sign Productive Flexibility Contracts (PFCs) to participate in the AMTA. These seven commodities are referred to as "contract commodities." This publication focuses on the PFCs, beginning with an overview of contract provisions. Potential short- and long-run implications of PFCs are then discussed.

Health and Growth: Causality through Education

Purpose--The paper theoretically and empirically investigates the impact on human capital investment decisions and income growth of lowered life expectancy as a result of HIV/AIDS and other diseases. Design/methodology/approach--The theoretical model is a three-period overlapping generations model where individuals go through three stages in their life, namely, young, adult and old. The model extends existing theoretical models by allowing the probability of premature death to differ for individuals at different life stage, and by allowing for stochastic technological advances. The empirical investigation focuses on the effect of HIV/AIDS on life expectancy and on the role of health on educational investments and growth. We address potential endogeneity by using various strategies, such as controlling for country specific time-invariant unobservables and by using the male circumcision rate as an instrumental variable for HIV/AIDS prevalence. Findings--We show theoretically that an increased probability of premature death leads to less investment in human capital, and consequently slower growth. Empirically we show that HIV/AIDS has resulted in a substantial decline in life expectancy in African countries and these falling life expectancies are indeed associated with lower educational attainment and slower economic growth world wide. Originality/value--The theoretical and empirical findings reveal a causal link flowing from health to growth, which has been largely overlooked by the existing literature. The main implication is that health investments, that decrease the incidence of diseases like HIV/AIDS resulting on increases in life expectancy, through its complementarity with human capital investments lead to long run growth..

Decay of energy and suppression of Fermi acceleration in a dissipative driven stadium-like billiard

The behavior of the average energy for an ensemble of non-interacting particles is studied using scaling arguments in a dissipative time-dependent stadium-like billiard. The dynamics of the system is described by a four dimensional nonlinear mapping. The dissipation is introduced via inelastic collisions between the particles and the moving boundary. For different combinations of initial velocities and damping coefficients, the long time dynamics of the particles leads them to reach different states of final energy and to visit different attractors, which change as the dissipation is varied. The decay of the average energy of the particles, which is observed for a large range of restitution coefficients and different initial velocities, is described using scaling arguments. Since this system exhibits unlimited energy growth in the absence of dissipation, our results for the dissipative case give support to the principle that Fermi acceleration seems not to be a robust phenomenon. (C) 2012 American Institute of Physics. [http://dx.doi.org/10.1063/1.3699465]

An ecological economic interpretation of the Jevons effect

This article develops an ecological economic interpretation of the Jevons effect. Moreover, it is argued that under the neoclassical paradigm there are no elements with which to foresee the long-term existence of this phenomenon. The objective of these arguments is to demonstrate that the Jevons effect can be used to compare the ability of neoclassical and ecological economics describing the social appropriation of nature. This is elaborated in two steps. First, we show the importance of the thesis that the economy cannot be cut off from the biophysical materiality of what is produced to give consistency to the so-called Khazzoom-Brookes postulate. It is made clear that this supposition is exogenous to the neoclassical paradigm. Second, the supposition of the biophysical materiality of what is produced is utilized to make an ecological economic interpretation of the Jevons effect. Afterwards, a comparison is made between the neoclassical and the ecological economic perspectives. This comparison leads to the following conclusions: (i) the persistent presence of the Jevons effect in the long run is an anomaly in the neoclassical paradigm; (ii) the observation of the non-existence of the Jevons effect is a refutation of the supposition that economic growth and biophysical materiality are not separable, a central thesis defended by ecological economists. This situation makes possible to use the Jevons effect as a 'laboratory test' to compare the ability of neoclassical and ecological economic paradigms to describe the social appropriation of nature. (C) 20111 Elsevier B.V. All rights reserved.

Transiting exoplanets from the CoRoT space mission XXIII. CoRoT-21b: a doomed large Jupiter around a faint subgiant star

CoRoT-21, a F8IV star of magnitude V = 16 mag, was observed by the space telescope CoRoT during the Long Run 01 ( LRa01) in the first winter field (constellation Monoceros) from October 2007 to March 2008. Transits were discovered during the light curve processing. Radial velocity follow-up observations, however, were performed mainly by the 10-m Keck telescope in January 2010. The companion CoRoT-21b is a Jupiter-like planet of 2.26 +/- 0.33 Jupiter masses and 1.30 +/- 0.14 Jupiter radii in an circular orbit of semi-major axis 0.0417 +/- 0.0011 AU and an orbital period of 2.72474 +/- 0.00014 days. The planetary bulk density is ( 1.36 +/- 0.48) x 10(3) kg m(-3), very similar to the bulk density of Jupiter, and follows an M-1/3 - R relation like Jupiter. The F8IV star is a sub-giant star of 1.29 +/- 0.09 solar masses and 1.95 +/- 0.2 solar radii. The star and the planet exchange extreme tidal forces that will lead to orbital decay and extreme spin-up of the stellar rotation within 800 Myr if the stellar dissipation is Q(*)/k2(*) <= 107.

Essays on Wage and Price Formation in Sweden

Study IReal Wage Determination in the Swedish Engineering Industry This study uses the monopoly union model to examine the determination of real wages and in particular the effects of active labour market programmes (ALMPs) on real wages in the engineering industry. Quarterly data for the period 1970:1 to 1996:4 are used in a cointegration framework, utilising the Johansen's maximum likelihood procedure. On a basis of the Johansen (trace) test results, vector error correction (VEC) models are created in order to model the determination of real wages in the engineering industry. The estimation results support the presence of a long-run wage-raising effect to rises in the labour productivity, in the tax wedge, in the alternative real consumer wage and in real UI benefits. The estimation results also support the presence of a long-run wage-raising effect due to positive changes in the participation rates regarding ALMPs, relief jobs and labour market training. This could be interpreted as meaning that the possibility of being a participant in an ALMP increases the utility for workers of not being employed in the industry, which in turn could increase real wages in the industry in the long run. Finally, the estimation results show evidence of a long-run wage-reducing effect due to positive changes in the unemployment rate. Study IIIntersectoral Wage Linkages in Sweden The purpose of this study is to investigate whether the wage-setting in certain sectors of the Swedish economy affects the wage-setting in other sectors. The theoretical background is the Scandinavian model of inflation, which states that the wage-setting in the sectors exposed to international competition affects the wage-setting in the sheltered sectors of the economy. The Johansen maximum likelihood cointegration approach is applied to quarterly data on Swedish sector wages for the period 1980:1–2002:2. Different vector error correction (VEC) models are created, based on assumptions as to which sectors are exposed to international competition and which are not. The adaptability of wages between sectors is then tested by imposing restrictions on the estimated VEC models. Finally, Granger causality tests are performed in the different restricted/unrestricted VEC models to test for sector wage leadership. The empirical results indicate considerable adaptability in wages as between manufacturing, construction, the wholesale and retail trade, the central government sector and the municipalities and county councils sector. This is consistent with the assumptions of the Scandinavian model. Further, the empirical results indicate a low level of adaptability in wages as between the financial sector and manufacturing, and between the financial sector and the two public sectors. The Granger causality tests provide strong evidence for the presence of intersectoral wage causality, but no evidence of a wage-leading role in line with the assumptions of the Scandinavian model for any of the sectors. Study IIIWage and Price Determination in the Private Sector in Sweden The purpose of this study is to analyse wage and price determination in the private sector in Sweden during the period 1980–2003. The theoretical background is a variant of the “Imperfect competition model of inflation”, which assumes imperfect competition in the labour and product markets. According to the model wages and prices are determined as a result of a “battle of mark-ups” between trade unions and firms. The Johansen maximum likelihood cointegration approach is applied to quarterly Swedish data on consumer prices, import prices, private-sector nominal wages, private-sector labour productivity and the total unemployment rate for the period 1980:1–2003:3. The chosen cointegration rank of the estimated vector error correction (VEC) model is two. Thus, two cointegration relations are assumed: one for private-sector nominal wage determination and one for consumer price determination. The estimation results indicate that an increase of consumer prices by one per cent lifts private-sector nominal wages by 0.8 per cent. Furthermore, an increase of private-sector nominal wages by one per cent increases consumer prices by one per cent. An increase of one percentage point in the total unemployment rate reduces private-sector nominal wages by about 4.5 per cent. The long-run effects of private-sector labour productivity and import prices on consumer prices are about –1.2 and 0.3 per cent, respectively. The Rehnberg agreement during 1991–92 and the monetary policy shift in 1993 affected the determination of private-sector nominal wages, private-sector labour productivity, import prices and the total unemployment rate. The “offensive” devaluation of the Swedish krona by 16 per cent in 1982:4, and the start of a floating Swedish krona and the substantial depreciation of the krona at this time affected the determination of import prices.

Overlapping of ESP/EAP and content courses revisited

[ES] This paper deals with some key issues in a controversial topic, that of the existing overlapping between ESP/EAP courses and simultaneously-run content courses. Some examples are provided and analyzed to be aware of the need of ESP/EAP practitioners to have a fairly deep knowledge of those technical matters they have to deal with in order to be as genuinely communicative as possible. Later on, a list of principles for designing successful ESP/EAP courses is presented and justified. After putting into practice a communicative approach founded on those principles for a period of five years, the opinion of those students who have taken two ESP/EAP courses was gathered –an ad hoc questionnaire was developed for the purpose–. data are analyzed to hypothesize the long-run correlation between applying the above mentioned principles and the positive opinion of students on their teachers when those principles are applied at university level.

Forstentomologische Untersuchungen an Eichen unterschiedlicher Vitalität des Pfälzerwaldes

Seit Beginn der Waldzustandserhebungen im Jahr 1984 verschlechterte sich der Zustand der Eiche sowohl auf Bundesebene als auch im Land Rheinland-Pfalz deutlich. 1998 konnten nur noch 5 % der rheinland-pfälzischen Eichen in die Kategorie "ohne Schadensmerkmale" eingestuft werden. Vor diesem Hintergrund ergab sich die Notwendigkeit, die biotischen Stress- und Schadfaktoren näher zu untersuchen. Im Rahmen der vorliegenden Arbeit lag der Fokus auf den holzbewohnenden Käfern von Traubeneichen (Quercus petraea) aus dem Pfälzerwald. Zu diesem Zweck wurden für die erste Probenserie Untersuchungsbäume aus den Vitalitätsstufen 'vital', 'geschädigt', 'ein Jahr tot' und 'zwei Jahre tot' ausgewählt und in die drei Straten Stammfuß, Kronenansatz und Derbholz unterteilt. In der zweiten Probenserie kamen keine 'vitalen' Stämme mehr zum Einsatz. Die einzelnen Proben wurden in Fasseklektoren überführt, in denen die xylobionten Käfer ihre Entwicklung beenden und schlüpfen konnten. Die erste Probenserie wurde im Herbst 1998 entnommen, die zweite Serie im darauffolgenden Herbst. Zusätzlich zu diesen Laboruntersuchungen wurden Freilanduntersuchungen mit Stammeklektoren an vier stehenden Eichen im Wald durchgeführt. Die gefangenen Tiere wurden nach Ordnungen sortiert und gezählt, die Käfer nach Möglichkeit bis zur Art bestimmt. Die Ergebnisse der ersten und zweiten Serie wurden in Abundanzen (Ind./m² Rindenoberfläche) umgerechnet, um einen Vergleich der Proben untereinander möglich zu machen. Insgesamt wurden aus den Fasseklektoren beider Serien Käfer mit einer Abundanz von 36.990 Ind./m² ausgewertet. In den Fallen der Stammeklektoren wurden insgesamt 1.487 Käfer gefunden. Den weitaus größten Teil der Käfer der Fasseklektoren stellen die Borkenkäfer (Scolytidae). Dieses Ergebnis schlägt sich auch in der Betrachtung der Dominanz der einzelnen Arten nieder. In nahezu allen Fällen gehörten die Hauptarten in die Familie Scolytidae. Der mit den Absterbeerscheinungen der Eichen in Verbindung gebrachte Prachtkäfer Agrilus biguttatus (Buprestidae) trat in deutlich geringeren Abundanzen auf. Aufgrund seiner Fraßtätigkeit (Ringelung der Larven im Kambialbereich der Bäume) gehört er aber zu den potentiell stark schädigenden Käfern. Neben A. biguttatus sind auch A. sulcicollis und die gefundenen Borkenkäfer in der Lage, vorgeschädigte und geschwächte Eichen zu befallen und noch weiter zu schwächen. Aus waldhygienischen Gründen sollten deshalb regelmäßige Kontrollen durchgeführt werden. Bei erkennbarem Befall sollten die betroffenen Bäume gefällt und aus dem Bestand entfernt werden. Langfristig können die Vermeidung von nicht-standortgerechtem Eichenanbau und das Anlegen von naturnahen Mischbeständen zu den waldbaulichen Maßnahmen gerechnet werden, die eine Reduktion des Infektionsrisikos zur Folge haben. Die 'ein Jahr toten' Bäume wiesen die mit Abstand höchste Abundanz an Lebendholzbesiedlern auf. Bäume, die bereits ein Jahr länger tot im Bestand standen, wurden von deutlich weniger Lebendholzbesiedlern befallen, d.h. von 'zwei Jahre toten' Bäumen ging ein potentiell geringerer Infektionsdruck aus als von 'ein Jahr toten' Eichen. Im Laufe des Verrottungsprozesses verringert sich diese Gefahr noch weiter, da die Holzfeuchte weiter abnimmt und die Lebendholzbesiedler keine Nahrungsgrundlage mehr vorfinden. Besonders die Gefahr des Neubefalls durch Agrilus von mindestens zweijährig toten Bäumen besteht kaum, weil zumindest die Larven der ersten Stadien des Prachtkäfers auf lebendes Gewebe angewiesen sind.

Frauen und AIDS in Tansania /// Arbeitspapiere / Institut für Ethnologie und Afrikastudien ; 60

Mehr als die Hälfte aller HIV-positiven Tansanier sind Frauen. Ihre schwächere gesellschaftliche Stellung ist einer der Faktoren, der dazu beiträgt, dass sie einem erhöhten Infektionsrisiko ausgesetzt sind. Aufgrund geringerer Bildungschancen und einer anhaltenden gesellschaftlichen Idealvorstellung von der Frau als Mutter sind Frauen auch auf dem Arbeitsmarkt benachteiligt. Im Kontext von HIV/AIDS werden afrikanische Frauen häufig als passive Opfer der Epidemie dargestellt und es wird zu selten aufgezeigt, wie sie als Akteure eigene Strategien im Kampf gegen die Krankheit entwickeln. In letzter Zeit gewinnen Frauenorganisationen an Bedeutung, denn viele Frauen wollen ausdrücklich eigenverantwortlich und ohne Männer arbeiten. Eine solche Organisation ist die in meiner Arbeit vorgestellte NGO KIWAMWAKU („Kikundi cha Wanawake Mwanga kupambana na Ukimwi“ – Vereinigung von Frauen aus Mwanga zum Kampf gegen AIDS). Meine Forschung hat gezeigt, dass Frauen ihre gesellschaftliche Stellung durch das Engagement in einer NGO verbessern können. Sie können ein eigenes Einkommen erwirtschaften und nützliche Kenntnisse etwa in der Führung einer Organisation erlangen. Allerdings profitieren nicht alle Beteiligten gleichermaßen. Die drei Leiterinnen der erforschten NGO verfügten über die meisten Vorteile; sie profitierten finanziell, aber auch ideell, denn sie genossen durch ihre Arbeit hohes Ansehen im gesamten Mwanga-Distrikt. Dagegen konnten einige der Klientinnen nur in sehr geringem Maße von Interventionen profitieren. Letztlich bin ich jedoch überzeugt davon, dass durch solche Frauenorganisationen ein wichtiger Prozess angestoßen worden ist, durch den Frauen mittel- oder langfristig eine stärkere Stellung innerhalb der tansanischen Gesellschaft erlangen können, was sich wiederum positiv auf die immer noch steigenden HIV/AIDS-Infektionsraten auswirken kann.

Italia e Francia nell'Ungheria di Trianon (1919-1939): due modelli di penetrazione politico-culturale

Italy and France in Trianon’s Hungary: two political and cultural penetration models During the first post-war, the Danubian Europe was the theatre of an Italian-French diplomatic challenge to gain hegemony in that part of the continent. Because of his geographical position, Hungary had a decisive strategic importance for the ambitions of French and Italian foreign politics. Since in the 1920s culture and propaganda became the fourth dimension of international relations, Rome and Paris developed their diplomatic action in Hungary to affirm not only political and economic influence, but also cultural supremacy. In the 1930, after Hitler’s rise to power, the unstoppable comeback of German political influence in central-eastern Europe determined the progressive decline of Italian and French political and economic positions in Hungary: only the cultural field allowed a survey of Italian-Hungarian and French-Hungarian relations in the contest of a Europe dominated by Nazi Germany during the Second World War. Nevertheless, the radical geopolitical changes in second post-war Europe did not compromise Italian and French cultural presence in the new communist Hungary. Although cultural diplomacy is originally motivated by contingent political targets, it doesn’t respect the short time of politics, but it’s the only foreign politics tool that guarantees preservations of bilateral relations in the long run.

Ownership, Multiple Blockholders and Performance: A study of the Indonesian Banking Industry

The objective of this study is to provide empirical evidence on how ownership structure and owner’s identity affect performance, in the banking industry by using a panel of Indonesia banks over the period 2000–2009. Firstly, we analysed the impact of the presence of multiple blockholders on bank ownership structure and performance. Building on multiple agency and principal-principal theories, we investigated whether the presence and shares dispersion across blockholders with different identities (i.e. central and regional government; families; foreign banks and financial institutions) affected bank performance, in terms of profitability and efficiency. We found that the number of blockholders has a negative effect on banks’ performance, while blockholders’ concentration has a positive effect. Moreover, we observed that the dispersion of ownership across different types of blockholders has a negative effect on banks’ performance. We interpret such results as evidence that, when heterogeneous blockholders are present, the disadvantage from conflicts of interests between blockholders seems to outweigh the advantage of the increase in additional monitoring by additional blockholder. Secondly, we conducted a joint analysis of the static, selection, and dynamic effects of different types of ownership on banks’ performance. We found that regional banks and foreign banks have a higher profitability and efficiency as compared to domestic private banks. In the short-run, foreign acquisitions and domestic M&As reduce the level of overhead costs, while in the long-run they increase the Net Interest Margin (NIM). Further, we analysed NIM determinants, to asses the impact of ownership on bank business orientation. Our findings lend support to our prediction that the NIM determinants differs accordingly to the type of bank ownership. We also observed that banks that experienced changes in ownership, such as foreign-acquired banks, manifest different interest margin determinants with respect to domestic or foreign banks that did not experience ownership rearrangements.

Politiche Antitrust e crescita economica

Negli ultimi anni le istituzioni e la regolamentazione hanno svolto un ruolo sempre più importante nell’analisi della crescita economica. Tuttavia, non è facile interpretare le istituzioni e gli effetti dei regolamenti sulla crescita attraverso indicatori che tendono a “misurare” le istituzioni. Lo scopo di questa ricerca è analizzare la relazione di lungo periodo tra la crescita economica e la regolamentazione e il ruolo della regolamentazione antitrust sulla crescita economica. La stima econometrica dei modelli di crescita con la concorrenza e gli indicatori di potere di mercato si base su un dataset appositamente costruito che copre 211 Paesi, su un arco temporale massimo di 50 anni (da 1960 a 2009). In particolare, cerchiamo di identificare un quadro analitico volto a integrare l’analisi istituzionale ed economica al fine di valutare il ruolo della regolamentazione e, più in generale, il ruolo delle istituzioni nella crescita economica. Dopo una revisione della letteratura teorica ed empirica sulla crescita e le istituzioni, vi presentiamo l’analisi dell'impatto normativo (RIA) in materia di concorrenza, e analizziamo le principali misure di regolamentazione, la governance e le misure antitrust. Per rispondere alla nostra domanda di ricerca si stimano modelli di crescita prendendo in considerazione tre diverse misure di regolamentazione: la Regulation Impact (RI), la Governance (GOV), e la libertà economica (LIB). Nel modello a effetti fissi, RI, gli effetti della legislazione antitrust sulla crescita economica sono significativi e positivi, e gli effetti di durata antitrust sono significativi, ma negativi. Nel pannel dinamico, GOV, gli effetti dell’indicatore di governance sulla crescita sono notevoli, ma negativo. Nel pannel dinamico, LIB, gli effetti della LIB sono significativi e negativi.

A new global wheat marketmodel (GLOWMM) for the analysis of wheat export prices

Food commodity prices fluctuations have important impacts on poverty and food insecurity across the world. Conventional models have not provided a complete picture of recent price spikes in agricultural commodity markets, while there is an urgent need for appropriate policy responses. Perhaps new approaches are needed in order to better understand international spill-overs, the feedback between the real and the financial sectors and also the link between food and energy prices. In this paper, we present results from a new worldwide dynamic model that provides short and long-run impulse responses of wheat international prices to various real shocks.