Asymmetric preferences in investment decisions in the Brazilian financial market

The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.

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.

Possible transmission of adverse shocks from the recent financial crisis to Central America through trade finance

Includes Bibliography

Ammonia losses estimated by an open collector from urea applied to sugarcane straw

The quantification of ammonia (NH3) losses from sugarcane straw fertilized with urea can be performed with collectors that recover the NH3 in acid-treated absorbers. Thus, the use of an open NH3 collector with a polytetrafluoroethylene (PTFE)-wrapped absorber is an interesting option since its cost is low, handling easy and microclimatic conditions irrelevant. The aim of this study was to evaluate the efficiency of an open collector for quantifying NH3-N volatilized from urea applied over the sugarcane straw. The experiment was carried out in a sugarcane field located near Piracicaba, São Paulo, Brazil. The NH3-N losses were estimated using a semi-open static collector calibrated with 15N (reference method) and an open collector with an absorber wrapped in PTFE film. Urea was applied to the soil surface in treatments corresponding to rates of 50, 100, 150 and 200 kg ha-1 N. Applying urea-N fertilizer on sugarcane straw resulted in losses NH3-N up to 24 % of the applied rate. The amount of volatile NH3-N measured in the open and the semi-open static collector did not differ. The effectiveness of the collection system varied non-linearly, with an average value of 58.4 % for the range of 100 to 200 kg ha-1 of urea-N. The open collector showed significant potential for use; however, further research is needed to verify the suitability of the proposed method.

Financial analysis of various strategies for the control of Neospora caninum in dairy cattle in Switzerland

The present study was conducted to estimate the direct losses due to Neospora caninum in Swiss dairy cattle and to assess the costs and benefits of different potential control strategies. A Monte Carlo simulation spreadsheet module was developed to estimate the direct costs caused by N. caninum, with and without control strategies, and to estimate the costs of these control strategies in a financial analysis. The control strategies considered were "testing and culling of seropositive female cattle", "discontinued breeding with offspring from seropositive cows", "chemotherapeutical treatment of female offspring" and "vaccination of all female cattle". Each parameter in the module that was considered to be uncertain, was described using probability distributions. The simulations were run with 20,000 iterations over a time period of 25 years. The median annual losses due to N. caninum in the Swiss dairy cow population were estimated to be euro 9.7 million euros. All control strategies that required yearly serological testing of all cattle in the population produced high costs and thus were not financially profitable. Among the other control strategies, two showed benefit-cost ratios (BCR) >1 and positive net present values (NPV): "Discontinued breeding with offspring from seropositive cows" (BCR=1.29, NPV=25 million euros ) and "chemotherapeutical treatment of all female offspring" (BCR=2.95, NPV=59 million euros). In economic terms, the best control strategy currently available would therefore be "discontinued breeding with offspring from seropositive cows".

Career Crisis? Impacts of Financial Shock on the Entry-Level Labor Market: Evidence from Thailand

We utilize Thailand's the financial crisis in 1997 as a natural experiment which exogenously shifts labor demand. Convincing evidence from the Thailand Labor Force Survey support the hypothesis that both employment opportunities and wages shrunk for new entrants after the crisis. We find that workers who entered before the crisis experienced job losses and wage losses. But these losses were smaller than those of new entrants after the crisis. We also find that new entrants after the crisis experienced a 10% reduction in the overtime wages compared to new entrants before the crisis.

Fiscal policy, banks and the financial crisis. National Bank of Belgium Working Paper No. 234, October 2012

This paper studies the effectiveness of Euro Area (EA) fiscal policy, during the recent financial crisis, using an estimated New Keynesian model with a bank. A key dimension of policy in the crisis was massive government support for banks—that dimension has so far received little attention in the macroeconomics literature. We use the estimated model to analyze the effects of bank asset losses, of government support for banks, and other fiscal stimulus measures, in the EA. Our results suggest that support for banks had a stabilizing effect on EA output, consumption and investment. Increased government purchases helped to stabilize output, but crowded out consumption. Higher transfers to households had a positive impact on private consumption, but a negligible effect on output and investment. Banking shocks and increased government spending explain half of the rise in the public debt/GDP ratio since the onset of the crisis.

The Political Economy of Financial Crisis Policy. Bruegel Working Paper 2015/06, July 2015

Highlights • Government intervention to stabilise financial systems in times of banking crises ultimately involves political decisions. This paper sheds light on how certain political variables influence policy choices during banking crises and hence have an impact on fiscal outlays. • We employ cross-country econometric evidence from all crisis episodes in the period 1970-2011 to examine the impact political and party systems have on the fiscal cost of financial sector intervention. • Governments in presidential systems are associated with lower fiscal costs of crisis management because they are less likely to use costly bank guarantees, thus reducing the exposure of the state to significant contingent and direct fiscal liabilities. Consistent with these findings we find further evidence that these governments are less likely to use bank recapitalisation and more likely to impose losses on depositors.

A hazai vállalatok pénzügyi teljesítményének alakulása 1994 és 2009 között = The financial performance of Hungarian firms between 1994 and 2009

Kutatásunkban Budapesti Corvinus Egyetem Vállalatgazdaságtan Intézete által az 1995 és 2010 között lebonyolított „Versenyben a világgal” kutatási program kérdőívei alapján a hazai vállalatok versenyképességét befolyásoló tényezőket vizsgáltuk. Eredményeink szerint a krízis hatására az adók versenyképességi jelentősége megnőtt, s – különösen a nagy visszaesést elszenvedőknél – gyakoribbak lettek a piac megőrzését célzó stratégiák. A válság hatását mélyítette, hogy a vállalatok devizakockázat-kezelése nem megfelelő, s a bankok sem tökéletesen szolgálják ki a vállalatok igényeit. Az utóbbi 10-15 esztendőben a késve fizetés egyre gyakoribb lett, s e trendet a válság csak erősítette. _____ Our paper investigates the factors influencing the competitiveness of the Hungarian enterprises based on the research questionnaires of the research program “Companies and competitiveness” of the Business Economics Department at Corvinus University of Budapest carried out between 1995 and 2010. Our results show that due to the crisis the role played by taxes in competitiveness has gained importance, and especially at firms suffering from heavy losses the strategies firstly aiming at keeping markets became more frequent. The effects of the global turndown have been amplified by the weak currency risk management of the Hungarian firms, and by the fact that the service provided by local banks is lagging behind expectations of the companies. During the last 10-15 years the late payment of receivables became more and more frequent in Hungary, a trend that has been even enforced by the depression.

Essays on financial crises

This dissertation analyzes recent financial crises in developed and developing countries. The research emphasizes the effects of institutional factors on the international banking and currency crises and their output losses. ^ Chapter two examines the roles of regulation, supervision, and countries' institutional environment in determining the probability of banking crises for a panel of fifteen developed countries from 1975 to 1998. The results from a multivariate logit model indicated that countries with greater government involvement, less capital standard requirements, and lower lending limits on a single borrower are associated with a higher probability of banking crises. ^ Chapter three studies whether output loss in banking crisis differs in market-based or bank-based financial systems. Using existing banking crisis data for sixty-nine countries during 1970–1999, we investigate whether the underlying financial system affects the output loss. The results show that output losses are more serious in market-based economies than those in bank-based economies. Longer crisis duration tends to increase the output losses in banking crises. Finally, countries with deposit insurance and strict law enforcement have less output losses. ^ Chapter four uses macroeconomic and institutional measures to explain the extent of exchange rate depreciation and the decline in stock prices for emerging countries affected by the Mexican currency crisis of 1994–95. The results show that countries with more government budget deficits, and worse reserve adequacies tend to experience large exchange rate depreciation. The institutional measures do not explain much the extent of both the exchange rate depreciation and the decline in stock prices. ^

Managing Risk: Identifying and Controlling Losses and Assuming Risks From Perils

Financial survival in the hotel and restaurant business can depend upon a mastery of the basic principles of risk management. This article explains the series of steps leading to the successful implementation of the risk management techniques most appropriate for a given hotel or restaurant.

Losses from Horizontal Merger: an Extension to a Successive Oligopoly Model with Product Differentiation

This paper generalizes the model of Salant et al. (1983; Quarterly Journal of Economics, Vol. 98, pp. 185–199) to a successive oligopoly model with product differentiation. Upstream firms produce differentiated goods, retailers compete in quantities, and supply contracts are linear. We show that if retailers buy from all producers, downstream mergers do not affect wholesale prices. Our result replicates that of Salant's, where mergers are not profitable unless the size of the merged firm exceeds 80 per cent of the industry. This result is robust to the type of competition.

Estimated crop loss due to coconut mite and financial analysis of controlling the pest using the acaricide abamectin.

Reducing the losses caused by Aceria guerreronis Keifer has been an arduous task for farmers. However, there are no detailed studies on losses that simultaneously analyse correlated parameters, and very few studies that address the economic viability of chemical control, the main strategy for managing this pest. In this study the objectives were (1) to estimate the crop loss due to coconut mite and (2) to perform a financial analysis of acaricide application to control the pest. For this, the following parameters were evaluated: number and weight of fruits, liquid albumen volume, and market destination of plants with and without monthly abamectin spraying (three harvests). The costs involved in the chemical control of A. guerreronis were also quantified. Higher A. guerreronis incidence on plants resulted in a 60 % decrease in the mean number of fruits harvested per bunch and a 28 % decrease in liquid albumen volume. Mean fruit weight remained unaffected. The market destination of the harvested fruit was also affected by higher A. guerreronis incidence. Untreated plants, with higher A. guerreronis infestation intensity, produced a lower proportion of fruit intended for fresh market and higher proportions of non-marketable fruit and fruit intended for industrial processing. Despite the costs involved in controlling A. guerreronis, the difference between the profit from the treated site and the untreated site was 18,123.50 Brazilian Real; this value represents 69.1 % higher profit at the treated site. Keywords