The optimality of the Friedman rule when some distorting taxes are exogenous

This paper investigates the optimality of the Friedman rule in a two-sector small open economy. That policy prescription is found to be a necessary condition for Pareto efficiency. If a planner can select all conceivable distorting taxes, then, for some initial values of public debt, money balances and foreign assets, it is possible to decentralize a Pareto efficient allocation. If the planner can select only some of these tax rates, then second-best policies may also satisfy the Friedman rule. However, this last result depends on the set of tax instruments the planner can choose from.

Robust statistical modeling of portfolios

Atypical points in the data may result in meaningless e±cient frontiers. This follows since portfolios constructed using classical estimates may re°ect neither the usual nor the unusual days patterns. On the other hand, portfolios constructed using robust approaches are able to capture just the dynamics of the usual days, which constitute the majority of the business days. In this paper we propose an statistical model and a robust estimation procedure to obtain an e±cient frontier which would take into account the behavior of both the usual and most of the atypical days. We show, using real data and simulations, that portfolios constructed in this way require less frequent rebalancing, and may yield higher expected returns for any risk level.

Bayesian analysis of extreme events with threshold estimation

The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds by estimating the GPD parameters based on data beyond it, discarding all the information available be10w the threshold. We introduce a mixture model that combines a parametric form for the center and a GPD for the tail of the distributions and uses all observations for inference about the unknown parameters from both distributions, the threshold inc1uded. Prior distribution for the parameters are indirectly obtained through experts quantiles elicitation. Posterior inference is available through Markov Chain Monte Carlo (MCMC) methods. Simulations are carried out in order to analyze the performance of our proposed mode1 under a wide range of scenarios. Those scenarios approximate realistic situations found in the literature. We also apply the proposed model to a real dataset, Nasdaq 100, an index of the financiai market that presents many extreme events. Important issues such as predictive analysis and model selection are considered along with possible modeling extensions.

Essays on economic growth

A fundamental question in development economics is why some economies are rich and others poor. To illustrate the income per capita gap across economies consider that the average gross domestic product (GDP) per capita of the richest 10 percent of economies in the year 2010 was a factor of 40-fold that of the poorest 10 percent of economies. In other words, the average person in a rich economy produces in just over 9 days what the average person in a poor economy produces in an entire year. What are the factors that can explain this difference in standard of living across the world today? With this in view, this dissertation is a conjunction of three essays on the economic growth field which we seek a possible responses to this question. The first essay investigates the existence of resource misallocation in the Brazilian manufacturing sector and measures possible distortions in it. Using a similar method of measurement to the one developed by Hsieh and Klenow (2009) and firm-level data for 1996-2011 we find evidence of misallocation in the manufacturing sector during the observed period. Moreover, our results show that misallocation has been growing since 2005, and it presents a non-smooth dynamic. Significantly, we find that the Brazilian manufacturing sector operates at about 50% of its efficient product. With this, if capital and labor were optimally reallocated between firms and sectors we would obtain an aggregate output growth of approximately 110-180% depending on the mode in which the capital share is measured. We also find that the economic crisis did not have a substantial effect on the total productivity factor or on the sector's misallocation. However, small firms in particular seem to be strongly affected in a global crisis. Furthermore, the effects described would be attenuated if we consider linkages and complementarity effects among sectors. Despite Brazil's well-known high tax burden, there is not evidence that this is the main source of resource misallocation. Moreover, there is a distinct pattern of structural change between the manufacturing sectors in industrialized countries and those in developing countries. Therefore, the second essay demonstrate that this pattern differs because there are some factors that distort the relative prices and also affect the output productivity. For this, we present a multi-sector model of economic growth, where distortions affect the relative prices and the allocation of inputs. This phenomenon imply that change of the production structure or perpetuation of the harmful structures to the growth rate of aggregate output. We also demonstrate that in an environment with majority decision, this distortion can be enhanced and depends on the initial distribution of firms. Furthermore, distortions in relative prices would lead to increases in the degree of misallocation of resources, and that imply that there are distinct patterns of structural changes between economies. Finally, the calibrated results of the framework developed here converge with the structural change observed in the firm-level data of the Brazilian manufacturing sector. Thereafter, using a cross-industry cross-country approach, the third essay investigates the existence of an optimal level of competition to enhance economic growth. With that in mind, we try to show that this optimal level is different from industrialized and under development economies due to the technology frontier distance, the terms of trade, and each economy's idiosyncratic characteristics. Therefore, the difference in competition industry-country level is a channel to explain the output for worker gap between countries. The theoretical and empirical results imply the existence of an inverted-U relationship between competition and growth: starting for an initially low level of competition, higher competition stimulates innovation and output growth; starting from a high initial level of competition, higher competition has a negative effect on innovation and output growth. Given on average industries in industrialized economies present higher competition level. With that if we control for the terms of trade and the industry-country fixed effect, if the industries of the developing economy operated under the same competition levels as of the industrialized ones, there is a potential increase of output of 0.2-1.0% per year. This effect on the output growth rate depends on the competition measurement used.

Contágio no modelo de Allen e Gale com infraestrutura bancária endógena

Neste trabalho investigamos a formação de network considerando agentes cautelosos. O modelo consiste em duas regiões com (n/2) bancos em cada, onde a interligação entre eles ocorre através e depósitos interbancários. Cada banco está sujeito a corrida bancária, ou devido a um choque negativo de agentes impacientes, ou devido a contaminação da corrida de um banco pertencente a infraestrutura bancária. Os bancos podem tentar eliminar a possibilidade de contágio ao fazer um número alto de inter-ligações. Para isso, é necessário uma coordenação entre todos os bancos. Se um banco não se prevenir de um contágio, ele impõe a todos os outros a possibilidade de contágio no pior cenário. Há duas regiões bem definidas de equilíbrio de nash simétrico com network estável, uma na qual todos os bancos se previnem do cenário de contágio no pior cenário e a outra na qual nenhum banco se previne. Devido ao problema de coordenação, o equilíbrio com contágio no pior cenário pode ocorrer mesmo sendo pareto dominado pelo equilíbrio sem contágio. Sob certas condições, o equilíbrio com contágio ocorre com um network pareto eficiente. Neste caso o network eficiente é diferente do network mais resiliente ao contágio.

Revisiting modern portfolio theory

This paper revisits Modern Portfolio Theory and derives eleven properties of Efficient Allocations and Portfolios in the presence of leverage. With different degrees of leverage, an Efficient Portfolio is a linear combination of two portfolios that lie in different efficient frontiers - which allows for an attractive reinterpretation of the Separation Theorem. In particular a change in the investor risk-return preferences will leave the allocation between the Minimum Risk and Risk Portfolios completely unaltered - but will change the magnitudes of the tactical risk allocations within the Risk Portfolio. The paper also discusses the role of diversification in an Efficient Portfolio, emphasizing its more tactical, rather than strategic character

Padrões de aleatoriedade na modelação do acaso

A soma de variáveis aleatórias com número de parcelas é aleatório, para além do evidente interesse conceptual e teórico, tem larga ressonância na investigação do processo de risco e em processos de ramificação. Reformulamos a teoria de Panjer (1981), que permite o cálculo iterativo do risco agregado, com o recurso a valores médios de uniformes, descrevendo uma extensão da classe de Panjer, e estudando em detalhe a equação funcional que a caracteriza. Aplicamos essas ideias na caracterização de aleatoriedade discreta, exemplificando com o comportamento das fêmeas de pássaros que investem na promiscuidade de parceiros para garantir a diversidade genética da progénie, tendo no entanto o cuidado de manter as aparências de fidelidade, para garantir a cooperação do parceiro no sucesso da ninhada. Apresentamos as transformadas de Laplace e funções geradoras numa perspectiva que leva a uma introdção natural de transformadas de Pareto, cuja relevância exemplificamos.

Avaliação da eficiência dos programas de pós-graduação acadêmicos em administração, contabilidade e turismo

The Triennial Evaluation of Coordination for the Improvement of Higher Education Personnel (CAPES) is made according to several indicators, divided into several issues and items, and their weights. In these it is evident the importance of scientific periodicals. This study aims to evaluate the relative efficiency of post-graduate students in Business Administration, Accounting and tourism evaluated by CAPES in Brazil. The methodology used the data envelopment analysis - DEA (Data Envelopment Analysis). The data were obtained from the site and organized by the CAPES Qualis score. The analysis was performed by the DEA variable returns to scale, product-oriented (BCC-O), with data from the three-year periods 2004-2006 and 2007-2009. Among the main results are the average increase significantly the relative efficiency of the programs in the period 2007-2009 compared to 2004-2006 period, the highest average efficiency of programs linked to public institutions in relation to private, doctoral programs with the present average efficiency sharply higher than those only with masters, and senior programs in general were more efficient. There is also moderate and significant correlation between the efficiency scores and concepts CAPES. The Malmquist index analysis showed that more than 85% of programs had increased productivity. It is noteworthy that the main effect that influences the increase of the Malmquist index is the displacement of the border (Frontier-shift)

Modelagem molecular na caracterização eletrônica de oligopeptídeos e na descrição quântica da interação fármaco-receptor

In this dissertation, the theoretical principles governing the molecular modeling were applied for electronic characterization of oligopeptide α3 and its variants (5Q, 7Q)-α3, as well as in the quantum description of the interaction of the aminoglycoside hygromycin B and the 30S subunit of bacterial ribosome. In the first study, the linear and neutral dipeptides which make up the mentioned oligopeptides were modeled and then optimized for a structure of lower potential energy and appropriate dihedral angles. In this case, three subsequent geometric optimization processes, based on classical Newtonian theory, the semi-empirical and density functional theory (DFT), explore the energy landscape of each dipeptide during the search of ideal minimum energy structures. Finally, great conformers were described about its electrostatic potential, ionization energy (amino acids), and frontier molecular orbitals and hopping term. From the hopping terms described in this study, it was possible in subsequent studies to characterize the charge transport propertie of these peptides models. It envisioned a new biosensor technology capable of diagnosing amyloid diseases, related to an accumulation of misshapen proteins, based on the conductivity displayed by proteins of the patient. In a second step of this dissertation, a study carried out by quantum molecular modeling of the interaction energy of an antibiotic ribosomal aminoglicosídico on your receiver. It is known that the hygromycin B (hygB) is an aminoglycoside antibiotic that affects ribosomal translocation by direct interaction with the small subunit of the bacterial ribosome (30S), specifically with nucleotides in helix 44 of the 16S ribosomal RNA (16S rRNA). Due to strong electrostatic character of this connection, it was proposed an energetic investigation of the binding mechanism of this complex using different values of dielectric constants (ε = 0, 4, 10, 20 and 40), which have been widely used to study the electrostatic properties of biomolecules. For this, increasing radii centered on the hygB centroid were measured from the 30S-hygB crystal structure (1HNZ.pdb), and only the individual interaction energy of each enclosed nucleotide was determined for quantum calculations using molecular fractionation with conjugate caps (MFCC) strategy. It was noticed that the dielectric constants underestimated the energies of individual interactions, allowing the convergence state is achieved quickly. But only for ε = 40, the total binding energy of drug-receptor interaction is stabilized at r = 18A, which provided an appropriate binding pocket because it encompassed the main residues that interact more strongly with the hygB - C1403, C1404, G1405, A1493, G1494, U1495, U1498 and C1496. Thus, the dielectric constant ≈ 40 is ideal for the treatment of systems with many electrical charges. By comparing the individual binding energies of 16S rRNA nucleotides with the experimental tests that determine the minimum inhibitory concentration (MIC) of hygB, it is believed that those residues with high binding values generated bacterial resistance to the drug when mutated. With the same reasoning, since those with low interaction energy do not influence effectively the affinity of the hygB in its binding site, there is no loss of effectiveness if they were replaced.

Níveis de homocisteína e desempenho cognitivo em uma amostra populacional de idosos da cidade do Natal-RN

The imprecision of the frontier that separates those cognitive deficits inherent to the human physiological aging process from those which represent the early signs of nervous system degenerative pathologies ,very prevalent among the elderly, has brought attention to the need of studies aiming to establish clinical and/or laboratorial criteria to allow this differentiation. Elderly people living in poor and developing countries are frequently exposed to precarious socioeconomic conditions which facilitate the development of an array of pathologies which have metabolic and nutritional dysfunctions as the established or proposed etiological agents. The levels of certain micronutrients, such as the vitamins B12 and B9 (folic acid), and of some intermediary metabolites, such as homocysteine are being thought of as etiological factors and/or as biological markers of a group of alterations which affect the normal functioning of the nervous system with important reflexes upon cognitive performance. This study aims to investigate the influence of homocysteine, B12 vitamin and folic acid levels on the cognitive performance of the low income elderly population. This transversal study took place in Natal, Rio Grande do Norte State, Brazil, and involved 205 dwelling elderly people, users of the Programa de Saúde da Família, a public healthcare program, maintained by the city s health authorities. A multidimensional questionnaire was used to assess the socio-demographic aspects and the overall health and nutrition conditions. The cognitive performance was measured by the use of the Portuguese version of the Mini Mental State Exam (MMSE). The serum levels of homocysteine, B12 vitamin and folic acid were determined by chemiluminescence. The association between the socio-demographic and serum levels of Hcy, B12 vitamin and folic acid was determined by multiple linear regression. Serum levels higher than 13.5 μmol/l, indicative of hyperhomocysteinemia (HHcy), were found on 25.4% of the sample, being more prevalent in men (p<0.05). Deficitary levels of folic acid (<5ng/mol) and of B12 vitamin (<193 pg/ml) were found on 3.9% and 10.2% of the sample respectively. A negative correlation was found between cognitive performance with both age and HHcy and a positive correlation was found between cognitive performance and schooling. The isolated HHcy R2 values were an explanation to only 4% of the variance of the MMSE scores. However, when associated with schooling and age, this model explains about 25% of this association

Redes sociais e a lógica do desvio comportamental em relação às normas de trabalho

This paper aim to check a hypothesis that assumes several behaviors related to social work norm´s obeying as a phenomenon that can be explained by actor´s social network structure and the rational choice processes related to the social norm inside that network, principally the payoff´s analysis received by the closest actors, or neighbors, at a social situation. Taking the sociological paradigm of rational action theory as a basis, the focus is on a debate about the logic of social norms, from Émile Durkheim´s method to Jon Elster´s theory, but also including social network analysis´s variables according to Robert Hanneman; and also Vilfredo Pareto´s constants related to human sociability, at the aim to detect elements that can help the scholars to develop an agent based model which could explain the sociological problem of deviance by a better way than the common sense´s view about morality and ethics at a social work environment

A missão política do Supremo Tribunal Federal: análise de sua importância como corte constitucional para o controle do poder no Brasil

The following study proposes an analysis of the politic process which the brazilian constitutional justice faces, emphasizing the Supremo Tribunal Federal . For that purpose, we start by examining the intimate relationship between Politics and Law, in view of the most recent social systems theories, so that the political system is distinguished by the exclusiveness of using the physical force, intending to make coletive tying decisions, and the juridical system as a congruent generalization of the expectations towards the rules and principles, brought together under an interdependence by which both gather legitimacy and effectiveness. In this manner we can notice the political effects of the constitutional interpretation conducted by Judges as well as by other juridical professionals, because these ones decrease the overload of expectations which are pointed to the Judicature. Constitutional interpretation is democratized since the participative democracy arises and stablishes a permanent state of awareness around the exercise of power and favours the preservation of the pluralism (counter-majoritary principle) where we can find the origin of the democratic nature of constitutional courts, once, in most cases, their members are not elected by the people. After that, we analyse the historical posture of the Supremo Tribunal Federal as a constitutional court in Brazil, so we can realize the attempts to make it vulnerable to the appeals of governability and economical aims, agains which this court somehow has resisted, stressing its particularities. At the end, it s concluded that even the so-called acts of government, whose judiciary control is mostly repelled, are subjected to a constitutional analysis, last frontier to be explored by the Supremo Tribunal Federal in its role of exposing our republican Constitution