Welfare costs of inflation: the case for interest-bearing money and empirical estimates for Brazil

We provide in this paper a closed fonn for the Welfare Cost of Inflation which we prove to be closer than Bailey's expression to the correct solution of the corresponding non-separable differential equation. Next. we extend this approach to ao economy with interest-bearing money, once again presenting a better appoximation than the one given by Bailey's approach. Fmally, empirical estimates for Brazil are presented.

Non-monotone insurance contracts and their empirical consequences

The goal of this paper is to show the possibility of a non-monotone relation between coverage ans risk which has been considered in the literature of insurance models since the work of Rothschild and Stiglitz (1976). We present an insurance model where the insured agents have heterogeneity in risk aversion and in lenience (a prevention cost parameter). Risk aversion is described by a continuous parameter which is correlated with lenience and for the sake of simplicity, we assume perfect correlation. In the case of positive correlation, the more risk averse agent has higher cosr of prevention leading to a higher demand for coverage. Equivalently, the single crossing property (SCP) is valid and iplies a positive correlation between overage and risk in equilibrium. On the other hand, if the correlation between risk aversion and lenience is negative, not only may the SCP be broken, but also the monotonocity of contracts, i.e., the prediction that high (low) risk averse types choose full (partial) insurance. In both cases riskiness is monotonic in risk aversion, but in the last case there are some coverage levels associated with two different risks (low and high), which implies that the ex-ante (with respect to the risk aversion distribution) correlation between coverage and riskiness may have every sign (even though the ex-post correlation is always positive). Moreover, using another instrument (a proxy for riskiness), we give a testable implication to desentangle single crossing ans non single croosing under an ex-post zero correlation result: the monotonicity of coverage as a function os riskiness. Since by controlling for risk aversion (no asymmetric information), coverage is monotone function of riskiness, this also fives a test for asymmetric information. Finally, we relate this theoretical results to empirical tests in the recent literature, specially the Dionne, Gouruéroux and Vanasse (2001) work. In particular, they found an empirical evidence that seems to be compatible with asymmetric information and non single crossing in our framework. More generally, we build a hidden information model showing how omitted variables (asymmetric information) can bias the sign of the correlation of equilibrium variables conditioning on all observable variables. We show that this may be the case when the omitted variables have a non-monotonic relation with the observable ones. Moreover, because this non-dimensional does not capture this deature. Hence, our main results is to point out the importance of the SPC in testing predictions of the hidden information models.

Testing production functions used in empirical growth studies

We estimate and test two alternative functional forms, which have been used in the growth literature, representing the aggregate production function for a panel of countries: the model of Mankiw, Romer and Weil (Quarterly Journal of Economics, 1992), and a mincerian formulation of schooling-returns to skills. Estimation is performed using instrumental-variable techniques, and both functional forms are confronted using a Box-Cox test, since human capital inputs enter in levels in the mincerian specification and in logs in the extended neoclassical growth model.

An empirical approach toward understanding the linkage between legal and financial institutions

Researchers have made different attempts to investigate the interaction between the quality and efficiency of a country’s institutions and a country’s economic performance. Within this framework, emphasis has been put on the relationship between the legal institutions and the financial system as essential factors in creating and enhancing overall economic growth. The link between legal institutions and the financial systems, however, is still somewhat controversial. This paper reports on a survey administered to 1,362 participants regarding preferences for investment under different legal and financial institutions. Results suggest that the performance of a country‘s legal institutions affects the willingness to invest money in that country and that people of different gender, age, political traditions, and professional experience react differently to these institutions.

Property rights as a public policy tool: an empirical analysis of the social and economic effects

Secure property rights are considered a key determinant of economic development. However, the evaluation of the causal effects of land titling is a difficult task. The Brazilian government through a program called "Papel Passado" has issued titles, since 2004, to over 85,000 families and has the goal to reach 750,000. Furthermore, another topic in Public Policy that is crucial to developing economies is income generation and child labor force participation. Particularly, in Brazil, about 5.4 million children and teenagers between 5 and 17 years old are still working. This thesis examines the direct impact of securing a property title on income and child labor force participation. In order to isolate the causal role of ownership security, this study uses a comparison between two close and very similar communities in the City of Osasco case (a town with 650,000 people in the São Paulo metropolitan area). One of them, Jardim Canaã, was fortunated to receive the titles in 2007, the other, Jardim DR, given fiscal constraints, only will be part of the program schedule in 2012, and for that reason became the control group. Also, this thesis also aims to test if there is any relationship between land title and happiness. The estimates suggest that titling results in a substantial decrease of child labor force participation, increase of income and happiness for the families that received the title compared to the others.

Empirical evidence of trade credit uses of brazilian publicly-listed companies

This research provides empirical evidence on the use of trade credit as either a substitution or a complement to bank debt for listed companies in Brazil, controlling for the firms reputation, as stated by Alphonse, Ducret and Séverin (2006). The sample consists of 263 publicly-listed companies for 2006. Our findings support all three hypotheses. We provide evidence that trade credit may be used as a signal for the firm’s quality.

Endogenous protection in Mercosul: an empirical analysis

This paper analyses the equilibrium structure of protection in Mercosul, developing empirical analyses based on the literature ensuing from the sequence of models set forth by Grossman and Helpman since 1994. Not only Mercosul’s common external tariff (CET) may be explained under a political economy perspective, but the existence of deviations, both at the level of the external tariffs and at that of the internal ones, make it interesting to contrast several structures under this approach. Different general equilibrium frameworks, in which governments are concerned with campaign contributions and with the welfare of the average voter, while organized special-interest groups care only about the welfare of their members, are used as the theoretical basis of the empirical tests. We build a single equation for explaining the CET and two fourequations systems (one equation for each member) for explaining deviations from the CET and from the internal free trade between members. The results (at the two-digit level) shed an interesting light on the sectoral dynamics of protection in each country; notably, Brazil seems to fit in better in the model framework, followed by Uruguay. In the case of the CET, and of deviations from it, the interaction between the domestic lobbies in the four countries plays a major role. There is also suggestion that the lobby structure that bid for deviations, be they internal or external, differs from the one which bid for the CET.

Testing production functions used in empirical growth studies

We estimate and test two alternative functional forms representing the aggregate production function for a panel of countries: the extended neoclassical growth model, and a mincerian formulation of schooling-returns to skills. Estimation is performed using instrumentalvariable techniques, and both functional forms are confronted using a Box-Cox test, since human capital inputs enter in levels in the mincerian specification and in logs in the extended neoclassical growth model. Our evidence rejects the extended neoclassical growth model in favor of the mincerian specification, with an estimated capital share of about 42%, a marginal return to education of about 7.5% per year, and an estimated productivity growth of about 1.4% per year. Differences in productivity cannot be disregarded as an explanation of why output per worker varies so much across countries: a variance decomposition exercise shows that productivity alone explains 54% of the variation in output per worker across countries.

Country factors and the dynamic modeling of capital structure : an empirical study of latin american firms

Desenvolvemos modelos de ajuste parcial e de duration para testar a relevância de fatores específicos de países na determinação da estrutura de capital de empresas listadas nas bolsas de valores brasileira, chilena e mexicana. Utilizamos dados em painel, em um período que se estende do quarto trimestre de 1996 ao segundo trimestre de 2010, abrangendo 4403 observações relacionadas a 139 empresas diferentes. Os resultados obtidos sugerem que a dinâmica da estrutura de capital varia por país e que idiossincrasias locais são determinantes-chave dos níveis de alavancagem das empresas. Não detectamos comportamento explicado pela Teoria de Trade Off entre as empresas brasileiras, chilenas e mexicanas, o que indica que teorias alternativas possam comandar os processos de decisão de financiamento dos gestores latino americanos.

Empirical essays on IPOS: the Brazilian case

The purpose of this study is to empirically analyze the main factors that determine the first-day return and the Flipping activity in Brazilian IPOs, taking into account expected results according to national and international researches. The data base encompasses IPOs that took place between May 2004 and February 2011, summing up to 129 IPOs and approximately R$ 128 billion offering. The first-day return, which means the “money left on the table”, was on average 4.6% taking into consideration the issue price, while the Flipping activity totalized R$ 7.2 billion, meaning 5.6% of the offering. The first-day return was analyzed before and after the first trade, and evidences were found supporting (a) the exogenous determination of the issue price, (b) the opening price dependence of prospectus disclosure and of other variables, observable previously to the bookbuilding process, and (c) the cascade behavior of investors in the pricing after the first trade, particularly driven by the underwriter behavior. In regards to the Flipping, it was notorious depending on how much the IPO succeeded, being concentrated in and homogeneous along the first-day, despite the intense negotiation in the first minute. As a general contribution to literature, it was concluded that Information Asymmetry Theory arguments are not sufficient to explain the first-day Underpricing and the Flipping, being necessary arguments based on Behavioral Finance adapted to an intraday perspective.

Business cycle and bank loan portfolio performance : empirical evidence from brazilian banks

Este trabalho estuda os efeitos do crescimento econômico e da taxas de juros sobre o desempenho de carteiras de empréstimo dos bancos comerciais brasileiros no período de 2000 a 2010. Os resultados empíricos mostram que o crescimento econômico é o principal "driver" para o desempenho da carteira de crédito. Não foram encontradas evidências estatísticas sginificativas de mudanças na taxa de juros sobre o desempenho das carteiras de empréstimos. Além disso, há evidências empíricas de que o impacto do crescimento econômico sobre o desempenho da carteria de crédito tem efeito defasado de 2 trimestres. Por fim, os resultados mostram que alterações de PIB impactam de forma mais significativa o desempenho da carteira de crédito dos bancos comerciais brasileiros maiores. Devido ao efeito multiplicador do mercado de crédito, quanto maior o banco, maior a expansão relativa de sua carteira de crédito e, conseqüentemente a taxa de inadimplência da carteira, que é agravada pela concentração do mercado de crédito no Brasil.

Speak now or forever hold your peace: an empirical investigation of whistleblowing in Brazilian organizations

À medida que ajudam as organizações a prevenir condutas irregulares e a manter um ambiente de trabalho mais éticos, as denúncias (whistleblowing) são frequentemente apontadas pela literatura como um benefício à sociedade como um todo. Entretanto, pouco se sabe a respeito de muitos aspectos associados à decisão de denunciar uma irregularidade. No Brasil, em especial, onde o assunto permanece sendo negligenciado por pesquisadores, elementos culturais específicos podem obstruir o caminho da denuncia, além de impor restrições à generalização dos resultados de pesquisas anteriores, quase sempre voltadas para a realidade anglo-saxônica. Com base nesses pressupostos, este estudo busca identificar os antecedentes do whistleblowing interno nas organizações brasileiras. De modo geral, os resultados da pesquisa empírica realizada com uma ampla amostra de profissionais oriundos de empresas púbicas e privadas dão suporte ao modelo proposto e reforçam a noção de que o ato de denunciar é o resultado complexo da interação entre fatores da organização, do indivíduo da situação observada. Em particular, os resultados sugerem que os indivíduos são mais propensos a realizar a denúncia quando a irregularidade observada é percebida como grave e quando a própria denuncia é vista como um curso de ação ético. Por outro lado, os indivíduos podem optar pelo silêncio se o alvo da denúncia for alguém com alto status na organização, se eles não sentirem apoio da organização ou se temerem retaliações. A influência negativa do medo de retaliação sobre a intenção de denunciar, contudo, pode ser atenuada se o indivíduo está convencido de que o correto a fazer é denunciar. Por fim, os resultados também sugerem que profissionais em posição gerencial são mais propensos a denunciar irregularidades do que os demais membros de uma organização. As implicações desses resultados, bem como as limitações e contribuições do estudo para a teoria e para a prática são discutidas em detalhe, juntamente com sugestões para pesquisas futuras.

Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment

Este trabalho tem por objetivo comparar metodologias distintas para cálculo de desalinhamento cambial além de testar a hipótese se as taxas de câmbio dos diversos países sofrem influencia apenas dos seus próprios fundamentos ou também da taxa de câmbio e dos fundamentos de outros países. Estas hipóteses consistem, respectivamente, na ausência ou na existência de interdependência entre os diversos países. Para realizar tal tarefa utilizam-se duas estratégias empíricas. A primeira baseia-se em avaliar se um modelo multivariado de séries de tempo usualmente utilizada na literatura de desalinhamento cambial com dados apenas do próprio país em análise pode ser melhorado através da adição de variáveis relacionadas a outros países usando o algoritmo proposto por David Hendry e co-autores. A segunda estratégia consiste em estimar um panel longo com as variáveis utilizadas para estimar desalinhamento cambial e testar formalmente a hipótese de ausência de interdependências. Os resultados sugerem que em ambas estratégias existe evidência de existência de interdependência. Esta ocorreria mais por conta de fatores ligados ao curto prazo, ou seja, o que explicaria o valor da taxa de câmbio de um país no longo prazo seriam seus próprios fundamentos enquanto no curto prazo fatores externos poderiam causar desvios

The impact of price expectations on consumer's behavior in frequently purchased goods markets: empirical evidence and implications

Este trabalho investiga como os padrões de compras de consumidores de bens estocáveis são afetados por suas expectativas de preços. Usando um modelo dinâmico padrão de maximização da utilidade, deriva-se uma expressão analítica para as compras dos consumidores como uma função das suas expectativas em relação aos preços futuros. Em seguida, uma versão mais tratável do modelo é construída, de forma a ilustrar graficamente como os diferentes tipos de expectativas de preços implicam diferentes padrões de compras dos consumidores. Além disso, na aplicação empírica, investigo qual o modelo de expectativas de preços, entre aqueles comumente utilizados na literatura, é consistente com os dados. Por fim, encontra-se suficiente heterogeneidade em expectativa de preços dos consumidores. Mostra-se que famílias de pequeno porte acreditam que os preços seguem um processo de Markov de primeira ordem, enquanto famílias de alta renda são racionais.