Comparing value-at-risk methodologies

In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust methodologies have higher probability to predict V aRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate V aR for returns of S˜ao Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.

Podem os baixos salários ser apontados como uma das fontes de corrupção no setor público?: um estudo sobre os diferenciais de salário público/privado nos governos estaduais brasileiros

Na literatura econômica, encontramos o argumento de que as políticas salariais que resultem em uma remuneração inferior no setor público podem funcionar como um estímulo ao corrupt behavior por parte do funcionalismo público. No Brasil, a existência de fracos controles administrativos e a baixa punição corroboram para validade desta relação sem, porém existirem indícios de que o salário pago no setor público seja inferior ao praticado no setor privado. Diante disso, este trabalho tem como objetivo testar a dinâmica dos salários pagos pelos governos estaduais brasileiros de forma a verificar se o nível de remuneração praticado, comparativamente ao setor privado, pode ser apontado como um dos fatores que causem a corrupção no país. Para o desenvolvimento da pesquisa empírica, trabalhamos com os micro dados da PNAD para os vinte e seis estados brasileiros e o Distrito Federal entre os anos de 1995 a 2004. Os resultados foram calculados utilizando a técnica de Oaxaca (1973) onde foi estimada a existência de um diferencial de salários público privado. A estimativa dos diferenciais foi realizada para a media dos salários e também para diferentes coortes de renda através do emprego de Quantile Regression sendo que, de forma geral foi detectada a presença prêmios nos salários do funcionalismo público estadual em praticamente todas as regiões brasileiras. Com base nos resultados encontrados, este trabalho conclui que, dada sua inexistência não há indícios de que os baixos salários no setor público possam ser apontados como causa da corrupção nos governos estaduais brasileiros.

Discriminação salarial por cor e gênero revisitada: uma abordagem de decomposição contrafactual utilizando regressões quantílicas

A desigualdade salarial, especialmente a resultante da discriminação contra negros e mulheres no mercado de trabalho, é um componente importante da elevada concentração de renda da economia brasileira. Ao contrário da grande maioria dos trabalhos já desenvolvidos nesta área, este trabalho não adota a hipótese de que os efeitos de atributos determinantes do salário são constantes e idênticos para os indivíduos ao longo da distribuição de renda. São estimadas as estruturas salariais para cada percentil da distribuição salarial para homens brancos, homens negros, mulheres brancas e mulheres negras utilizando a técnica de decomposição contrafactual por regressões quantílicas, proposta por Koenker e Bassett (1978) e desenvolvida por Machado e Mata (2004). Isto proporciona uma compreensão mais detalhada e abrangente dos fatores que determinam a remuneração do trabalho para diferentes níveis de renda e fornece uma medida mais completa do grau de discriminação contra os negros e mulheres no mercado de trabalho ao longo da distribuição salarial. Para os três grupos, a discriminação é crescente em relação à posição na distribuição salarial, indicando a dificuldade de se atingir posições melhor remuneradas no mercado de trabalho por parte de mulheres e negros. A discriminação afeta principalmente as mulheres negras, seguidas das mulheres brancas e dos homens negros. Para os homens negros, a discriminação é baixa entre os mais pobres e cresce nos níveis mais altos da distribuição. As mulheres brancas sofrem ao longo de toda a distribuição com maior efeito entre os 15% mais ricos. As mulheres negras sofrem com a discriminação por cor e gênero, estando assim na pior situação entre os grupos. A remuneração da educação estimada para os quatro grupos indica ganhos crescentes conforme a posição na distribuição salarial ampliando a desigualdade salarial intra-grupo, adicionalmente, observa-se uma desvalorização da educação dos negros de ambos os sexos na determinação salarial e que as mulheres sofrem algum tipo de discriminação no que diz respeito à educação apenas nos níveis salariais mais elevados. Os ganhos salariais obtidos com a equalização da escolaridade e formalização entre os grupos discriminados e os homens brancos indicam que, no caso da educação, homens e mulheres negros teriam ganhos ao longo de toda a distribuição, com ênfase entre os mais ricos. Para a formalização, a população nos decis inferiores da distribuição salarial seria a principal beneficiada.

The distribution of male wages in Brazil

This paper examines the evolution of wage inequality in Brazil in the 1980s and 1990s . It tries to investigate the role played by changing economic returns to education and to experience over this period together with the evolution of within-group inequality. It applies a quantile regression approach on grouped data to the Brazilian case. Results using repeated cross-sections of a Brazilian annual household survey indicate that : i) Male wage dispersion remained basically constant overall in the 1980's and 1990' s but has increased substantially within education and age groups. ii) Returns to experience increased significantly over this period, with the rise concentrated on the iliterate/primary school group iii) Returns to college education have risen over time, whereas return to intermediate and high-school education have fallen iv) The apparent rise in within-group inequality seems to be the result of a fall in real wages, since the difference in wage leveIs has dec1ined substantially over the period, especially within the high-educated sample. v) Returns to experience rise with education. vi) Returns to education rise over the life-cycle. vii) Wage inequality increases over the life-cycle. The next step i~ this research will try to conciliate all these stylised facts.

Do borrowing constraints decrease intergenerational mobility? evidence from Brazil

In this paper, we find evidence that suggests that borrowing constraints may be an important determinant of intergenerational mobility in Brazil. This result contrasts sharply with studies for developed countries, such as Canada and the US, where credit constraints do not seem to play an important role in generating persistence of inequality. Moreover, we find that the social mobility is lower in Brazil in comparison with developed countries. We follow the methodology proposed by Grawe (2001), which uses quantile regression, and obtain two results. First, the degree of intergenerational persistence is greater for the upper quantiles. Second, the degree of intergenerational persistence declines with income at least for the upper quantiles. Both findings are compatible with the presence of borrowing constraints affecting the degree of intergenerational persistence, as predicted by the theory.

An essay on economic growth: classical determinants, convergence and financial development

This dissertation surveys the literature on economic growth. I review a substantial number of articles published by some of the most renowned researchers engaged in the study of economic growth. The literature is so vast that before undertaking new studies it is very important to know what has been done in the field. The dissertation has six chapters. In Chapter 1, I introduce the reader to the topic of economic growth. In Chapter 2, I present the Solow model and other contributions to the exogenous growth theory proposed in the literature. I also briefly discuss the endogenous approach to growth. In Chapter 3, I summarize the variety of econometric problems that affect the cross-country regressions. The factors that contribute to economic growth are highlighted and the validity of the empirical results is discussed. In Chapter 4, the existence of convergence, whether conditional or not, is analyzed. The literature using both cross-sectional and panel data is reviewed. An analysis on the topic of convergence using a quantile-regression framework is also provided. In Chapter 5, the controversial relationship between financial development and economic growth is analyzed. Particularly, I discuss the arguments in favour and against the Schumpeterian view that considers financial development as an important determinant of innovation and economic growth. Chapter 6 concludes the dissertation. Summing up, the literature appears to be not fully conclusive about the main determinants of economic growth, the existence of convergence and the impact of finance on growth.

O argumento de inclusão enquanto política de acesso à universidade pública

There are a great number of evidences showing that education is extremely important in many economic and social dimensions. In Brazil, education is a right guaranteed by the Federal Constitution; however, in the Brazilian legislation the right to the three stages of basic education: Kindergarten, Elementary and High School is better promoted and supported than the right to education at College level. According to educational census data (INEP, 2009), 78% of all enrolments in College education are in private schools, while the reverse is found in High School: 84% of all matriculations are in public schools, which shows a contradiction in the admission into the universities. The Brazilian scenario presents that public universities receive mostly students who performed better and were prepared in elementary and high school education in private schools, while private universities attend students who received their basic education in public schools, which are characterized as low quality. These facts have led researchers to raise the possible determinants of student performance on standardized tests, such as the Brazilian Vestibular exam, to guide the development of policies aimed at equal access to College education. Seeking inspiration in North American models of affirmative action policies, some Brazilian public universities have suggested rate policies to enable and facilitate the entry of "minorities" (blacks, pardos1, natives, people of low income and public school students) to free College education. At the Federal University of the state Rio Grande do Norte (UFRN), the first incentives for candidates from public schools emerged in 2006, being improved and widespread during the last 7 years. This study aimed to analyse and discuss the Argument of Inclution (AI) - the affirmative action policy that provides additional scoring for students from public schools. From an extensive database, the Ordinary Least Squares (OLS) technique was used as well as a Quantile Regression considering as control the variables of personal, socioeconomic and educational characteristics of the candidates from the Brazilian Vestibular exam 2010 of the Federal University of the state Rio Grande do Norte (UFRN). The results demonstrate the importance of this incentive system, besides the magnitude of other variables

Motherhood wage penalties and labour market segmentation: Evidence from Argentina

Includes bibliography.

Chronic Pain and Depression in the Quality of Life of Women With Migraine - A Controlled Study

Background. Migraine is comorbid to depression and widespread chronic pain (WCP), but the influence of these conditions on the health-related quality of life (HRQoL) of individuals with episodic (EM) and chronic migraine (CM) is poorly understood. Objective.-To assess the prevalence of depressive symptoms and WCP in individuals with EM and CM, as well as to estimate the joint impact of these conditions on the HRQoL of these individuals. Methods.-All women aged 18 to 65 years with a first diagnosis of EM or CM from September of 2006 to September of 2008 seen in an outpatient headache service were invited to participate. They were asked to attend a separate appointment in the service, and to bring another woman of similar age that also agreed to participate. Depressive symptoms were assessed using the Beck Depression Inventory. Questions about WCP followed the protocol of the American College of Rheumatology. HRQoL was assessed using the Short-Form 36 (SF-36). Multivariate analysis modeled HRQoL as a function of headache status, depressive symptoms, and pain, using quantile regression. Results.-Sample consisted of 179 women, 53 in the EM group, 37 in the CM group and 89 in control group. Groups did not differ by demographics. Mean scores of SF-36 were 53.6 (standard deviation [SD] = 23.5) for EM, 44.2 (SD = 18.5) for CM and 61.8 (SD = 21.5) for controls. In multivariate analysis, SF-36 scores were predicted by a CM status (P =.02; -10.05 [95% CI -18.52; -1.58]) and by a Beck Depression Inventory score (P <.01; -1.27 [95% CI -1.55; -0.99]). The influence of WCP in the SF-36 scores approached significance (P =.08; -0.78 [95% CI -1.64; 0.88]). Age did not contribute to the model. Conclusion.-Women with migraine are at an increased chance of WCP, and the chance increases as a function of headache frequency. Both depressive symptoms and CM independently predict HRQoL status.

Iniquidades socioeconômicas na conformação dos padrões alimentares de crianças e adolescentes

OBJETIVO: Identificar e quantificar a influência dos fatores socioeconômicos sobre os padrões alimentares. MÉTODOS: Estudo transversal de base populacional com amostra de 1.136 crianças e adolescentes de 7 a 14 anos de idade, de ambos os sexos, matriculados na rede pública de Salvador (BA), Brasil. O consumo alimentar foi medido por meio do questionário qualitativo de frequência alimentar. Os padrões de consumo foram identificados por meio de análise de componentes principais. Para o estudo da influência dos indicadores socioeconômicos na conformação dos padrões alimentares, foram utilizados modelos de regressão quantílica. RESULTADOS: Os padrões alimentares extraídos foram classificados em padrão obesogênico e padrão tradicional. Nos modelos de regressão quantílica, ajustados por faixa etária e por sexo, o menor grau de instrução materna esteve associado negativamente, em níveis significantes, na maioria dos percentis, ao consumo de alimentos que integram o padrão obesogênico. A baixa renda associou-se negativamente aos maiores percentis (p>95). Os dados indicam não haver influência dos indicadores socioeconômicos sobre o consumo de alimentos que integram o padrão tradicional. CONCLUSÃO: Conclui-se que há influência dos fatores socioeconômicos na adesão ao padrão obesogênico de consumo. Esse conjunto de resultados requer a atenção dos gestores públicos para a identificação de um padrão de consumo ocidental, visualizado amplamente nos estudos em que se avaliam padrões de consumo adotados na atualidade pela população brasileira - sobretudo por crianças e adolescentes -, caracterizados por englobar componentes alimentares de risco para as doenças crônicas não transmissíveis.

The gender wage gap in developing and transition countries

The aim of my dissertation is to study the gender wage gap with a specific focus on developing and transition countries. In the first chapter I present the main existing theories proposed to analyse the gender wage gap and I review the empirical literature on the gender wage gap in developing and transition countries and its main findings. Then, I discuss the overall empirical issues related to the estimation of the gender wage gap and the issues specific to developing and transition countries. The second chapter is an empirical analysis of the gender wage gap in a developing countries, the Union of Comoros, using data from the multidimensional household budget survey “Enquete integrale auprès des ménages” (EIM) run in 2004. The interest of my work is to provide a benchmark analysis for further studies on the situation of women in the Comorian labour market and to contribute to the literature on gender wage gap in Africa by making available more information on the dynamics and mechanism of the gender wage gap, given the limited interest on the topic in this area of the world. The third chapter is an applied analysis of the gender wage gap in a transition country, Poland, using data from the Labour Force Survey (LSF) collected for the years 1994 and 2004. I provide a detailed examination of how gender earning differentials have changed over the period starting from 1994 to a more advanced transition phase in 2004, when market elements have become much more important in the functioning of the Polish economy than in the earlier phase. The main contribution of my dissertation is the application of the econometrical methodology that I describe in the beginning of the second chapter. First, I run a preliminary OLS and quantile regression analysis to estimate and describe the raw and conditional wage gaps along the distribution. Second, I estimate quantile regressions separately for males and females, in order to allow for different rewards to characteristics. Third, I proceed to decompose the raw wage gap estimated at the mean through the Oaxaca-Blinder (1973) procedure. In the second chapter I run a two-steps Heckman procedure by estimating a model of participation in the labour market which shows a significant selection bias for females. Forth, I apply the Machado-Mata (2005) techniques to extend the decomposition analysis at all points of the distribution. In Poland I can also implement the Juhn, Murphy and Pierce (1991) decomposition over the period 1994-2004, to account for effects to the pay gap due to changes in overall wage dispersion beyond Oaxaca’s standard decomposition.

Multilevel Analysis in Household Survey: An Application to Health Condition Data

The aim of this thesis is to apply multilevel regression model in context of household surveys. Hierarchical structure in this type of data is characterized by many small groups. In last years comparative and multilevel analysis in the field of perceived health have grown in size. The purpose of this thesis is to develop a multilevel analysis with three level of hierarchy for Physical Component Summary outcome to: evaluate magnitude of within and between variance at each level (individual, household and municipality); explore which covariates affect on perceived physical health at each level; compare model-based and design-based approach in order to establish informativeness of sampling design; estimate a quantile regression for hierarchical data. The target population are the Italian residents aged 18 years and older. Our study shows a high degree of homogeneity within level 1 units belonging from the same group, with an intraclass correlation of 27% in a level-2 null model. Almost all variance is explained by level 1 covariates. In fact, in our model the explanatory variables having more impact on the outcome are disability, unable to work, age and chronic diseases (18 pathologies). An additional analysis are performed by using novel procedure of analysis :"Linear Quantile Mixed Model", named "Multilevel Linear Quantile Regression", estimate. This give us the possibility to describe more generally the conditional distribution of the response through the estimation of its quantiles, while accounting for the dependence among the observations. This has represented a great advantage of our models with respect to classic multilevel regression. The median regression with random effects reveals to be more efficient than the mean regression in representation of the outcome central tendency. A more detailed analysis of the conditional distribution of the response on other quantiles highlighted a differential effect of some covariate along the distribution.

Socioeconomic, Temporal and Regional Variation in Body Mass Index among 188,537 Swiss Male Conscripts Born between 1986 and 1992

BACKGROUND Rising levels of overweight and obesity are important public-health concerns worldwide. The purpose of this study is to elucidate their prevalence and trends in Switzerland by analyzing variations in Body Mass Index (BMI) of Swiss conscripts. METHODS The conscription records were provided by the Swiss Army. This study focussed on conscripts 18.5-20.5 years of age from the seven one-year birth cohorts spanning the period 1986-1992. BMI across professional status, area-based socioeconomic position (abSEP), urbanicity and regions was analyzed. Two piecewise quantile regression models with linear splines for three birth-cohort groups were used to examine the association of median BMI with explanatory variables and to determine the extent to which BMI has varied over time. RESULTS The study population consisted of 188,537 individuals. Median BMI was 22.51 kg/m2 (22.45-22.57 95% confidence interval (CI)). BMI was lower among conscripts of high professional status (-0.46 kg/m2; 95% CI: -0.50, -0.42, compared with low), living in areas of high abSEP (-0.11 kg/m2; 95% CI: -0.16, -0.07 compared to medium) and from urban communities (-0.07 kg/m2; 95% CI: -0.11, -0.03, compared with peri-urban). Comparing with Midland, median BMI was highest in the North-West (0.25 kg/m2; 95% CI: 0.19-0.30) and Central regions (0.11 kg/m2; 95% CI: 0.05-0.16) and lowest in the East (-0.19 kg/m2; 95% CI: -0.24, -0.14) and Lake Geneva regions (-0.15 kg/m2; 95% CI: -0.20, -0.09). Trajectories of regional BMI growth varied across birth cohorts, with median BMI remaining high in the Central and North-West regions, whereas stabilization and in some cases a decline were observed elsewhere. CONCLUSIONS BMI of Swiss conscripts is associated with individual and abSEP and urbanicity. Results show regional variation in the levels and temporal trajectories of BMI growth and signal their possible slowdown among recent birth cohorts.