Equilibria in security markets with a continuum of agents

We prove the existence of a competitive equilibrium for exchange economies with a measure space of agents and for which the commodity space is ` p, 1 < p < +∞. A vector x = (xn) in ` p may be interpreted as a security which promises to deliver xn units of numeraire at state (or date) n. Under assumptions imposing uniform bounds on marginal rates of substitution, positive results on core-Walras equivalence were established in Rustichini–Yannelis [21] and Podczeck [20]. In this paper we prove that under similar assumptions on marginal rates of substitution, the set of competitive equilibria (and thus the core) is non-empty.

Endogenous collateral

We study an economy where there are two types of assets. Consumers’ promises are the primitive defaultable assets secured by collateral chosen by the consumers themselves. The purchase of these personalized assets by financial intermediaries is financed by selling back derivatives to consumers. We show that nonarbitrage prices of primitive assets are strict submartingales, whereas nonarbitrage prices of derivatives are supermartingales. Next we establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents.

Autonomia dos centros de pós-graduação em economia: uma abordagem institucional e de história oral

Este trabalho pretende analisar os principais centros de pós-graduação e de pesquisa em economia localizados em São Paulo e no Rio de Janeiro, a partir do levantamento de documentos, programas, regulamentos e publicações de seus principais expoentes. Também pretendemos utilizar depoimentos desses expoentes para entender como os processos decisórios foram analisados de "dentro" da instituição. A história da vida do entrevistado permite que entremos no mundo das emoções, nos limites da racionalidade do ator histórico. Ao quebrarmos o esquematismo simplista, podemos desvendar as relações entre o indivíduo e a rede histórica. A memória, com suas falhas, distorções e inversões, torna-se um elemento de análise para explicar o presente, a partir da compreensão do passado sob a ótica de quem vivenciou os fatos.

Efeitos informais do salário mínimo e pobreza

Avaliamos a efetividade da política de salário mínimo nacional nos segmentos formais e informais do mercado de trabalho brasileiro. A nossa técnica consiste em mapear soluções de canto produzidas pela política de salário mínimo que são posteriormente utilizados como mecanismo de focalização na simulação de limites superiores dos efeitos de reajustes do salário mínimo sobre medidas de pobreza no Brasil. Destacamos dois “efeitos informais” do mínimo: i) a alta porcentagem de trabalhadores sem carteira assinada ganhando exatamente um mínimo, o que potencializa os efeitos aliviadores de pobreza do salário mínimo; e ii) A observação de remunerações que utilizam o salário mínimo, como numerário, em particular no setor formal.

Are one-sided S,s rules useful proxies for optimal pricing rules?

This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. It aims to assess whether one-sided pricing rules could be an adequate individual rule for macroeconomic models, despite its suboptimality. It aims to answer two questions. First, since agents are not fully rational, is it plausible that they use such a non-optimal rule? Second, even if the agents adopt optimal rules, is the economist committing a serious mistake by assuming that agents use one-sided Ss rules? Using parameters based on real economy data, we found that since the additional cost involved in adopting the simpler rule is relatively small, it is plausible that one-sided rules are used in practice. We also found that suboptimal one-sided rules and optimal two-sided rules are in practice similar, since one of the bounds is not reached very often. We concluded that the macroeconomic effects when one-sided rules are suboptimal are similar to the results obtained under two-sided optimal rules, when they are close to each other. However, this is true only when one-sided rules are used in the context where they are not optimal.

Endogenous collateral: arbitrage and equilibrium without bounded short sales

We study the implications of the absence of arbitrage in an two period economy where default is allowed and assets are secured by collateral choosen by the borrowers. We show that non arbitrage sale prices of assets are submartingales, whereas non arbitrage purchase prices of the derivatives (secured by the pool of collaterals) are supermartingales. We use these non arbitrage conditions to establish existence of equilibrium, without imposing bounds on short sales. The nonconvexity of the budget set is overcome by considering a continuum of agents. Our results are particularly relevant for the collateralized mortgage obligations(CMO) markets.

Asset pricing when risk sharing is limited by default: a theoretical framework

We study the asset pricing implications of an endowment economy when agents can default on contracts that would leave them otherwise worse off. We specialize and extend the environment studied by Kocherlakota (1995) and Kehoe and Levine (1993) to make it comparable to standard studies of asset pricillg. We completely charactize efficient allocations for several special cases. We illtroduce a competitive equilibrium with complete markets alld with elldogellous solvency constraints. These solvellcy constraints are such as to prevent default -at the cost of reduced risk sharing. We show a version of the classical welfare theorems for this equilibrium definition. We characterize the pricing kernel, alld compare it with the one for economies without participation constraints : interest rates are lower and risk premia can be bigger depending on the covariance of the idiosyncratic and aggregate shocks. Quantitative examples show that for reasonable parameter values the relevant marginal rates of substitution fali within the Hansen-Jagannathan bounds.

Indexing stock portfolios in Brazil: tracking the IBOVESPA and the FGV 100

Indexing is a passive investment strategy in which the investor weights bis portfolio to match the performance of a broad-based indexo Since severaI studies showed that indexed portfolios have consistently outperformed active management strategies over the last decades, an increasing number of investors has become interested in indexing portfolios IateIy. Brazilian financiaI institutions do not offer indexed portfolios to their clients at this point in time. In this work we propose the use of indexed portfolios to track the performance oftwo ofthe most important Brazilian stock indexes: the mOVESPA and the FGVIOO. We test the tracking performance of our modeI by a historical simulation. We applied several statistical tests to the data to verify how many stocks should be used to controI the portfolio tracking error within user specified bounds.

Inequality treatment effects

This paper presents semiparametric estimators for treatment effects parameters when selection to treatment is based on observable characteristics. The parameters of interest in this paper are those that capture summarized distributional effects of the treatment. In particular, the focus is on the impact of the treatment calculated by differences in inequality measures of the potential outcomes of receiving and not receiving the treatment. These differences are called here inequality treatment effects. The estimation procedure involves a first non-parametric step in which the probability of receiving treatment given covariates, the propensity-score, is estimated. Using the reweighting method to estimate parameters of the marginal distribution of potential outcomes, in the second step weighted sample versions of inequality measures are.computed. Calculations of semiparametric effciency bounds for inequality treatment effects parameters are presented. Root-N consistency, asymptotic normality, and the achievement of the semiparametric efficiency bound are shown for the semiparametric estimators proposed. A Monte Carlo exercise is performed to investigate the behavior in finite samples of the estimator derived in the paper.

Sources of payments practices rigidity

This paper studies the joint determination of the wage payments period between firms and employees. The aggregate timeseries analysis reaches two conclusions: a) the average payments period keep an equilibrium relationship with the previous inflation peak, this indicates some degree of irreversibility of payments practices. b) the low previous inflation peak .;:;_asticity of ave r age payments periods reveal.s a high degree of rigidity of payments practices.The framework developed in the paper incorporates the fol.l.owing sources of payments practices rigidity: a)interactions between optimal. payments period decisions and optimal. number of trips to the bank. b)the occurrence of Pare to inneficiencies in the bargaining process between firms and empl.oyees due to wage regulation. c) integer restrictions on payments frequencies produced by upper bounds on the payments period. The empirical. part of the paper assesses the rel.evance of these different sources of payments practices rigidity using Brazil.ian micro data.

Efficient semiparametric estimation of quantile treatment effects

This paper presents calculations of semiparametric efficiency bounds for quantile treatment effects parameters when se1ection to treatment is based on observable characteristics. The paper also presents three estimation procedures forthese parameters, alI ofwhich have two steps: a nonparametric estimation and a computation ofthe difference between the solutions of two distinct minimization problems. Root-N consistency, asymptotic normality, and the achievement ofthe semiparametric efficiency bound is shown for one ofthe three estimators. In the final part ofthe paper, an empirical application to a job training program reveals the importance of heterogeneous treatment effects, showing that for this program the effects are concentrated in the upper quantiles ofthe earnings distribution.

We're Chained: an analysis of systemic risk in finance

This dissertation presents two papers on how to deal with simple systemic risk measures to assess portfolio risk characteristics. The first paper deals with the Granger-causation of systemic risk indicators based in correlation matrices in stock returns. Special focus is devoted to the Eigenvalue Entropy as some previous literature indicated strong re- sults, but not considering different macroeconomic scenarios; the Index Cohesion Force and the Absorption Ratio are also considered. Considering the S&P500, there is not ev- idence of Granger-causation from Eigenvalue Entropies and the Index Cohesion Force. The Absorption Ratio Granger-caused both the S&P500 and the VIX index, being the only simple measure that passed this test. The second paper develops this measure to capture the regimes underlying the American stock market. New indicators are built using filtering and random matrix theory. The returns of the S&P500 is modelled as a mixture of normal distributions. The activation of each normal distribution is governed by a Markov chain with the transition probabilities being a function of the indicators. The model shows that using a Herfindahl-Hirschman Index of the normalized eigenval- ues exhibits best fit to the returns from 1998-2013.

Um lugar que passa e sobrevive:o passado e o presente na Vila de Ponta Negra

The Ponta Negra borough is a part and the originally core of Ponta Negra quarter, placed on the South area of Natal/RN city. Its population was constituted by fishermen whose, beyond the fishing work, cultivated small plantations, made carbon and lace. For a long period of time, the borough was isolated from the rest of the city because of the great ground distance and due the fact that the local inhabitants found their own maintenance on the place. The scenery was being little by little modified from de 80 s because of the neighborhood urban development, that became one of the most searching tourism places in the city that turns the borough into a expensive place to live, with plenty of entertainment and high income, due the new habitation standards, new economic activities, new inhabitants belonging to higher social classes, new habits and way of living. The present work aims to verify weather or not, in the middle of all changes, the original social actors that still live in the Ponta Negra borough, are able to keep the traditional community bounds that once guided their existences. On that sense, we will analyze the conflicts that pass through the community, with attention on the sociability, space usage and appropriation

Avaliação de características de desempenho e de carcaça de codornas de corte por meio da análise de componentes principais

Foram utilizados dados de 288 codornas de corte (Coturnix coturnix coturnix) para avaliar a possibilidade de resumir a informação contida no complexo de variáveis originais, eliminando-se variáveis inexpressivas por meio da técnica de componentes principais. Foram registrados o peso vivo (PVIVO) e pesos do peito (PPEITO), das coxas (PCOXA), da gordura abdominal (GA), das vísceras comestíveis (fígado, moela e coração) (FIG, MOELA e CORA) e da carcaça eviscerada (PCEVIS). As carcaças foram secas e trituradas para a avaliação do teor matéria seca (MS), gordura (GORD) e proteína bruta (PB). Dos 11 componentes principais, sete (63,6%) apresentaram variância menor que 0,7 (autovalor inferior a 0,7), sendo sugeridas para descarte, respectivamente, em ordem de menor importância, para explicar a variação total das seguintes variáveis: PCEVIS, PPEITO, PCOXA, CORA, FIG MOELA e GORD. Com base nos resultados, recomenda-se manter as seguintes variáveis em experimentos futuros: PVIVO, MS, PB e GA.

Estabilidade e robustez de um controlador adaptativo indireto por um modelo de referência e estrutura variável

In this thesis, it is developed the robustness and stability analysis of a variable structure model reference adaptive controller considering the presence of disturbances and unmodeled dynamics. The controller is applied to uncertain, monovariable, linear time-invariant plants with relative degree one, and its development is based on the indirect adaptive control. In the direct approach, well known in the literature, the switching laws are designed for the controller parameters. In the indirect one, they are designed for the plant parameters and, thus, the selection of the relays upper bounds becomes more intuitive, whereas they are related to physical parameters, which present uncertainties that can be known easier, such as resistances, capacitances, inertia moments and friction coefficients. Two versions for the controller algorithm with the stability analysis are presented. The global asymptotic stability with respect to a compact set is guaranteed for both cases. Simulation results under adverse operation conditions in order to verify the theoretical results and to show the performance and robustness of the proposed controller are showed. Moreover, for practical purposes, some simplifications on the original algorithm are developed