Normative-informational positions: a modal-logical approach

This paper is a preliminary investigation into the application of the formal-logical theory of normative positions to the characterisation of normative-informational positions, pertaining to rules that are meant to regulate the supply of information. First, we present the proposed framework. Next, we identify the kinds of nuances and distinctions that can be articulated in such a logical framework. Finally, we show how such nuances can arise in specific regulations. Reference is made to Data Protection Law and Contract Law, among others. The proposed approach is articulated around two essential steps. The first involves identifying the set of possible interpretations that can be given to a particular norm. This is done by using formal methods. The second involves picking out one of these interpretations as the most likely one. This second step can be resolved only by using further information (e.g., the context or other parts of the regulation).

The contagion effect of public debt on monetary policy: the brazilian experience

This paper attempts to explain why the Brazilian inter-bank interest rate is so high compared with rates practiced by other emerging economies. The interplay between the markets for bank reserves and government securities feeds into the inter-bank rate the risk premium of the Brazilian public debt.

Testing the hypothesis of contagion using multivariate volatility models

The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.

Evaluation of contagion or interdependence in the financial crises of Asia and Latin America, considering the macroeconomic fundamentals

This article investigates the existence of contagion between countries on the basis of an analysis of returns for stock indices over the period 1994-2003. The economic methodology used is that of multivariate GARCH family volatility models, particularly the DCC models in the form proposed by Engle and Sheppard (2001). The returns were duly corrected for a series of country-specific fundamentals. The relevance of this procedure is highlighted in the literature by the work of Pesaran and Pick (2003). The results obtained in this paper provide evidence favourable to the hypothesis of regional contagion in both Latin America and Asia. As a rule, contagion spread from the Asian crisis to Latin America but not in the opposite direction

The influence of emotional contagion on products evaluation

Emotional Contagion is the mechanism that includes mimicking and the automatic synchronization of facial expressions, vocalizations, postures, and movements with another person and, consequently, convergence of emotions between the sender and receiver. Researches of this mechanism conducted usually in the fields of Psychology and Marketing tends to investigate face-to-face interactions. However, the question remains to what extent, if any, emotional contagion may occur with facial expressions in photos, since many purchase situations are brought on by catalogues or websites. This thesis has the goal to verify this gap and, in addition, verify whether emotional contagion is more common in females than in males as stated in previous studies. Emotions have been studied because it is intuitively apparent that emotions affect the dynamics of the interaction between a salesperson and customers (Verbeke, 1997); in other words, emotions may significantly affect consumer behavior. Therefore, this thesis also verified whether the facial expressions that transmit emotions could be associated to product evaluations. To investigate these questions, an experiment was done with 171 participants, which were exposed to either smiling (positive emotion) or neutral advertising. The differences between the individual advertisements were limited to the facial expressions of figures in the advertisements (either smiling or neutral/without smiling). One specialist and two students analyzed videotaped records of the participants’ responses, and found that participants who saw the positive stimulus mimicked the picture (smiling back) confirming the Emotional Contagion in Photos (the first hypothesis). The second hypothesis was to analyze if there is difference based in gender. The results demonstrated that there is not a significant difference between genders; female and male equally suffer Emotional Contagion. The third hypothesis was related to whether the positive emotions vs. neutral emotions acquired from the positive facial expression in the photo are associated to a positive evaluation of the product also displayed in the photo. Evidences show that the ad with a positive expression could change more positively the attitude, the sympathy, the reliability, and the intention of purpose of the participant compared to those who were exposed to the neutral condition. Therefore, the analysis concludes that the facial expressions displayed in photos produce emotional contagion and may interfere on the evaluation product. A discussion of the theoretical and practical implications and limitations for these findings are presented.

Analysis of contagion from the constant conditional correlation model with Markov regime switching

Over the last decades, the analysis of the transmissions of international nancial events has become the subject of many academic studies focused on multivariate volatility models volatility. The goal of this study is to evaluate the nancial contagion between stock market returns. The econometric approach employed was originally presented by Pelletier (2006), named Regime Switching Dynamic Correlation (RSDC). This methodology involves the combination of Constant Conditional Correlation Model (CCC) proposed by Bollerslev (1990) with Markov Regime Switching Model suggested by Hamilton and Susmel (1994). A modi cation was made in the original RSDC model, the introduction of the GJR-GARCH model formulated in Glosten, Jagannathan e Runkle (1993), on the equation of the conditional univariate variances to allow asymmetric e ects in volatility be captured. The database was built with the series of daily closing stock market indices in the United States (SP500), United Kingdom (FTSE100), Brazil (IBOVESPA) and South Korea (KOSPI) for the period from 02/01/2003 to 09/20/2012. Throughout the work the methodology was compared with others most widespread in the literature, and the model RSDC with two regimes was de ned as the most appropriate for the selected sample. The set of results provide evidence for the existence of nancial contagion between markets of the four countries considering the de nition of nancial contagion from the World Bank called very restrictive. Such a conclusion should be evaluated carefully considering the wide diversity of de nitions of contagion in the literature.

Contagion and regulation in endogenous bank networks

We develop a simple model of endogenous bank networks to study financial contagion and how leverage regulation may affect it. Banks maximize expected profit by choosing the optimal allocation of resources between three different classes of assets. An interbank network arise as result of loans between banks, creating a direct channel of contagion in the financial system. Contagion may occur when the realized return of the risky asset is sufficiently low to make a bank insolvent, subsequently triggering a cascade effect that propagates through default in interbank loans. Contrary to what would be expected, our results show that despite forcing banks to deleverage, increasing minimum capital requirements may lead to a system with higher aggregate levels of default.

Speculative bubbles and contagion: analysis of volatility’s clusters during the DotCom bubble based on the dynamic conditional correlation model

Revendo a definição e determinação de bolhas especulativas no contexto de contágio, este estudo analisa a bolha do DotCom nos mercados acionistas americanos e europeus usando o modelo de correlação condicional dinâmica (DCC) proposto por Engle e Sheppard (2001) como uma explicação econométrica e, por outro lado, as finanças comportamentais como uma explicação psicológica. Contágio é definido, neste contexto, como a quebra estatística nos DCC’s estimados, medidos através das alterações das suas médias e medianas. Surpreendentemente, o contágio é menor durante bolhas de preços, sendo que o resultado principal indica a presença de contágio entre os diferentes índices dos dois continentes e demonstra a presença de alterações estruturais durante a crise financeira.

Informational synergies in consumer credit

Lenders can tap into multiple sources of private information to assess consumer credit risk but little is known about the informational synergies between these sources. Using unique panel data on checking accounts and credit card accounts from the same customers during 2007-2014, we find that activity measures from both account types contain information beyond credit scores and other controls. Checking accounts display warning indications earlier and more accurately than credit card accounts. We also investigate the consistency of information, the reasons for defaults, and selection effects. The evidence highlights sizeable informational synergies that lenders can use to manage credit relationships.

Speculative bubbles and contagion: analysis of volatility's clusters during the DotCom bubble based on the dynamic conditional correlation model

Reviewing the de nition and measurement of speculative bubbles in context of contagion, this paper analyses the DotCom bubble in American and European equity markets using the dynamic conditional correlation (DCC) model proposed by (Engle and Sheppard 2001) as on one hand as an econometrics explanation and on the other hand the behavioral nance as an psychological explanation. Contagion is de ned in this context as the statistical break in the computed DCCs as measured by the shifts in their means and medians. Even it is astonishing, that the contagion is lower during price bubbles, the main nding indicates the presence of contagion in the di¤erent indices among those two continents and proves the presence of structural changes during nancial crisis

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.

The informational turn in Philosophy: any novelty in the study of Mind?

The concept of information is analyzed starting from Adams' hypothesis in The Informational Turn in Philosophy, according to which there has been a far-reaching turn in Philosophy following the publication of Turing's article "Computing Machinery and Intelligence". Adams maintains that new guidelines are being indicated in philosophical research, having the concept of "information" as the basis for treatment of classical problems, such as the relationships between mind-body, perception-action, and the nature of knowledge, amongst others. Partially agreeing with Adams, we believe, however, that his hypothesis faces difficulties, the most fundamental of which concerns the different meanings given to the concept of information. We argue that even though the concept of information underlying the mechanicist proposal of Turing, according to which "to think is to compute", is indeed being employed in Philosophy, this is not because of its mechanistic nature, but mainly due to the representationist presupposition dominant in this area. From this point of view, the informational turn in philosophy would not provide any great novelty, given that since the earliest days philosophical approaches to the nature of mind have always been mainly representationist. The novelty would not lie specifically in the Turing thesis, but in reflections on the nature of information, especially ecological information, and its relation to action.

An objective reconstruction of the chain of contagion

North's clustering method, which is based on a much used ecological model, the nearest neighbor distance, was applied to the objective reconstruction of the chain of household-to-household transmission of variola minor (the mild form of smallpox). The discrete within-household outbreaks were considered as points which were ordered in a time sequence using a 10-40 day interval between introduction of the disease into a source household and a receptor household. The closer points in the plane were assumed to have a larger probability of being links of a chain of household-to-household spread of the disease. The five defining distances (Manhattan or city-block distance between presumptive source and receptor dwellings) were 100, 200, 300, 400 and 500 m. The subchain sets obtained with the five defining distances were compared with the subchains empirically reconstructed during the field study of the epidemic through direct investigation of personal contacts of the introductory cases with either introductory or subsequent cases from previously affected households. The criteria of fit of theoretical to empirical clusters were: (a) the number of clustered dwellings and subchains, (b) number of dwellings in a subchain and (c) position of dwellings in a subchain. The defining distance closet to the empirical findings was 200 m, which fully agrees with the travelling habits of the study population. Less close but acceptable approximations were obtained with 100, 300, 400 and 500 m. The latter two distances gave identical results, as if a clustering ceiling had been reached. It seems that North's clustering model may be used for an objective reconstruction of the chain of contagious whose links are discrete within-household outbreaks. © 1984.

Crisis and contagion: some new and old ideas

Includes bibliography