Decisions on investment allocation in the post-keynesian growth model

Neste artigo os modelos de crescimento e alocação de investimento a la Feldman-Mahalanobis são estendidos para considerar a análise de decisões de alocação de investimento no contexto do modelo de crescimento pós-Keynesiano. Ao adotar essa abordagem é possível introduzir características distributivas no modelo de Feldman-Mahalanobis que nos permitem determinar a taxa de alocação de investimentos de acordo com as decisões de equilíbrio entre investimento e poupança. Finalmente, uma condição adicional é adicionada ao modelo de crescimento pós-keynesiano, a fim de caracterizar plenamente o caminho de equilíbrio em uma versão estendida deste, onde bens de capital também são necessários para produzir bens de capital. _________________________________________________________________________________ ABSTRACT

Fictitious capital and the elusive quest in understanding its implications : illusions and paradoxes

This paper deals with the interaction between fictitious capital and the neoliberal model of growth and distribution, inspired by the classical economic tradition. Our renewed interest in this literature has a close connection with the recent international crisis in the capitalist economy. However, this discussion takes as its point of departure the fact that standard economic theory teaches that financial capital, in this world of increasing globalization, leads to new investment opportunities which improve levels of growth, employment, income distribution, and equilibrium. Accordingly, it is said that such financial resources expand the welfare of people and countries worldwide. Here we examine some illusions and paradoxes of such a paradigm. We show some theoretical and empirical consequences of this vision, which are quite different and have harmful constraints.

A Governance Reference Model for Virtual Enterprises

Part 2: Behaviour and Coordination

Relevance or irrelevance of capital structure?

In this paper we examine the effects of asymmetric information on the nature of financial equilibrium and on the capital structure of firms. In the first model presented, the financial contracts on offer involve pooling equilibrium with no adverse selection. However, in the special case analyzed, where contracts are of mixed form, there may be a separating equilibrium and also equilibrium may not exist. Interesting result is that the separating equilibrium found is not economically efficient since aggregate investments falls short of first-best level. More importantly, capital structure does matter. The relative magnitude of outside equity makes a real difference to the quantity of aggregate investment in equilibrium.

Capital structure, risk and asymmetric information : theory and evidence

This paper proposes a principal-agent model between banks and firms with risk and asymmetric information. A mixed form of finance to firms is assumed. The capital structure of firms is a relevant cause for the final aggregate level of investment in the economy. In the model analyzed, there may be a separating equilibrium, which is not economically efficient, because aggregate investments fall short of the first-best level. Based on European firm-level data, an empirical model is presented which validates the result of the relevance of the capital structure of firms. The relative magnitude of equity in the capital structure makes a real difference to the profits obtained by firms in the economy.

Design de comunicação

Dissertação de Doutoramento para obtenção do grau de Doutor em Design, dissertação apresentada na Universidade de Lisboa - Faculdade de Arquitetura.

Interest rate (in)sensitivity of emerging market corporate debt : economic analysis based on 2002-2015 empirical evidence

Interest rate sensitivity assessment framework based on fixed income yield indexes is developed and applied to two types of emerging market corporate debt: investment grade and high yield exposures. Our research advances beyond the correlation analyses focused on co- movements in yields and/or spreads of risky and risk-free assets. We show that correlation- based analyses of interest rate sensitivity could appear rather inconclusive and, hence, we investigate the bottom line profit and loss of a hypothetical model portfolio of corporates. We consider historical data covering the period 2002 – 2015, which enable us to assess interest rate sensitivity of assets during the development, the apogee, and the aftermath of the global financial crisis. Based on empirical evidence, both for investment and speculative grades securities, we find that the emerging market corporates exhibit two different regimes of sensitivity to interest rate changes. We observe switching from a positive sensitivity under the normal market conditions to a negative one during distressed phases of business cycles. This research sheds light on how financial institutions may approach interest rate risk management, evidencing that even plain vanilla portfolios of emerging market corporates, which on average could appear rather insensitive to the interest rate risk in fact present a binary behavior of their interest rate sensitivities. Our findings allow banks and financial institutions for optimizing economic capital under Basel III regulatory capital rules.

Life-cycle portfolio choice with liquid and illiquid financial assets

Traditionally, quantitative models that have studied households׳ portfolio choices have focused exclusively on the different risk properties of alternative financial assets. We introduce differences in liquidity across assets in the standard life-cycle model of portfolio choice. More precisely, in our model, stocks are subject to transaction costs, as considered in recent macroliterature. We show that when these costs are calibrated to match the observed infrequency of households׳ trading, the model is able to generate patterns of portfolio stock allocation over age and wealth that are constant or moderately increasing, thus more in line with the existing empirical evidence.

Is there long-run equilibrium in the house prices of Australian capital cities?

In order to explore the long-run equilibrium in the house prices of different cities, studies on house price convergence have been conducted by a number of researchers. However, the majority of previous studies have neglected the effects of spatial heterogeneity and autocorrelation on house prices. This research improves on the investigation of house price convergence by developing a spatio-temporal autoregressive model based on a framework of panel regression methods. Both spatial heterogeneity and autocorrelation of house prices in different cities are taken into account. Geographical distance and the scale of development of the urban housing market are used to construct temporal varying spatial measurements. The spatio-temporal model is then applied to investigate the long-run equilibrium in the house prices of Australian capital cities. The results confirm that house prices in Sydney approach a steady state in the long run, whereas house prices in Brisbane, Canberra, Melbourne and Perth are able to do with lower confidence. However, little evidence supports the existence of long-run equilibrium in the house prices of Adelaide, Darwin and Hobart.

Guarding against the erosion of competitive advantage: a knowledge leakage mitigation model

A critical objective of knowledge-intensive organizations is to prevent erosion of their competitive knowledge base through leakage. Our review of the literature highlights the need for a more refined conceptualization of perceived leakage risk. We propose a Knowledge Leakage Mitigation (KLM) model to explain the incongruity between perceived high-risk of leakage and lack of protective actions. We argue that an organization's perceived risk of leakage increases if competitors can benefit from leakage incidents. Further, perceived leakage risk decreases if the organization is shielded from impact due to their diversity of knowledge assets and their ability to reconfigure knowledge resources to refresh their competitive knowledge base. We describe our approach to the design of a large-scale survey instrument that has been tested and refined in two stakeholder communities: 1) knowledge managers responsible for organizational strategy, and 2) Information security management consultants.

Auditee religiosity, external monitoring, and the pricing of audit services

Based on prior studies which show that firms headquartered in high religiosity counties exhibit high level of business ethics, this study examines whether these firms are associated with low audit risk, and therefore low audit fees. In investigating this relationship, we draw a distinction between intrinsic and extrinsic religiosity of auditees. Using a sample of 25,872 U.S. observations from 2003 to 2012, we find that intrinsic religiosity of the auditees is associated with low audit fees after controlling for auditee extrinsic religiosity, social capital, firm-specific characteristics, and county-specific characteristics. Furthermore, we find that external monitoring (institutional ownership and leverage) weakens the negative relationship between auditee intrinsic religiosity and audit fees. Finally, we conclude that the effect of auditor religiosity on audit fees is a regional effect that may affect the relationship between audit fees and auditee intrinsic religiosity.

WATER USE AND SYSTEM RELIABILITY UNDER DIESELGENERATOR AND SOLAR PHOTOVOLTAIC POWERED PUMPING SYSTEMS: A CASE STUDY OF SOLLA TOGO

Access to improved potable water sources is recognized as one of the key factors in improving health and alleviating global poverty. In recently years, substantial investments have been made internationally in potable water infrastructure projects, allowing 2.3 billion people to gain access to potable water from 1990-2012. One such project was planned and installed in Solla, Togo, a rural village in the northern part of the country, from 2010-2012. Ethnographic studies revealed that, while the community has access to potable water, an estimated 45% of the village’s 1500 residents still rely on unprotected sources for drinking and cooking. Additionally, inequality in system use based on income level was revealed, with the higher income groups accessing the system more regularly than lower income groups. Cost, as well as the availability of cheaper sources, was identified as the main deterrent from using the new water distribution system. A new water-pricing scheme is investigated here with the intention of making the system accessible to a greater percentage of the population. Since 2012, a village-level water committee has been responsible for operations and maintenance (O&M), fulfilling the community management model that is recommended by many development theorists in order to create sustainable projects. The water committee received post-construction support, mostly in the form of technical support during system breakdowns, from the Togolese Ministry of Water and Sanitation (MWSVH). While this support has been valuable in maintaining a functional water supply system in Solla, the water committee still has managerial challenges, particularly with billing and fee collection. As a result, the water committee has only received 2% - 25% of the fees owed at each private connection and public tap stand, making their finances vulnerable when future repairs and capital replacements are necessary. A new management structure is proposed by the MWSVH that will pay utilities workers a wage and will hire an accountant in order to improve the local management and increase revenue. This proposal is analyzed under the new water pricing schemes that are presented. Initially, the rural water supply system was powered by a diesel-generator, but in 2013, a solar photo-voltaic power supply was installed. The new system proved a fiscal improvement for the village water committee, since it drastically reduced their annual O&M costs. However, the new system pumps a smaller volume of water on a daily basis and did not meet the community’s water needs during the dry season of 2014. A hydraulic network model was developed to investigate the system’s reliability under diesel-generator (DGPS) and solar photovoltaic (PVPS) power supplies. Additionally, a new system layout is proposed for the PVPS that allows pumping directly into the distribution line, circumventing the high head associated with pumping solely to the storage tank. It was determined that this new layout would allow for a greater volume of water to be provided to the demand points over the course of a day, meeting a greater fraction of the demand than with the current layout.

Liquidity, Governance and Adverse Selection in Asset Pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company’s shares. Hence, we jointly examine both the factors, namely, governance and liquidity – in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll’s (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.

Risk premiumin the global creditMarkets: 2006-2012

¿What have we learnt from the 2006-2012 crisis, including events such as the subprime crisis, the bankruptcy of Lehman Brothers or the European sovereign debt crisis, among others? It is usually assumed that in firms that have a CDS quotation, this CDS is the key factor in establishing the credit premiumrisk for a new financial asset. Thus, the CDS is a key element for any investor in taking relative value opportunities across a firm’s capital structure. In the first chapter we study the most relevant aspects of the microstructure of the CDS market in terms of pricing, to have a clear idea of how this market works. We consider that such an analysis is a necessary point for establishing a solid base for the rest of the chapters in order to carry out the different empirical studies we perform. In its document “Basel III: A global regulatory framework for more resilient banks and banking systems”, Basel sets the requirement of a capital charge for credit valuation adjustment (CVA) risk in the trading book and its methodology for the computation for the capital requirement. This regulatory requirement has added extra pressure for in-depth knowledge of the CDS market and this motivates the analysis performed in this thesis. The problem arises in estimating of the credit risk premium for those counterparties without a directly quoted CDS in the market. How can we estimate the credit spread for an issuer without CDS? In addition to this, given the high volatility period in the credit market in the last few years and, in particular, after the default of Lehman Brothers on 15 September 2008, we observe the presence of big outliers in the distribution of credit spread in the different combinations of rating, industry and region. After an exhaustive analysis of the results from the different models studied, we have reached the following conclusions. It is clear that hierarchical regression models fit the data much better than those of non-hierarchical regression. Furthermore,we generally prefer the median model (50%-quantile regression) to the mean model (standard OLS regression) due to its robustness when assigning the price to a new credit asset without spread,minimizing the “inversion problem”. Finally, an additional fundamental reason to prefer the median model is the typical "right skewness" distribution of CDS spreads...

L’importation de la littérature française : un triple détournement de capital. Réflexions à partir d’une étude de réception journalistique en Suède

The background material of the study consists of articles about French literature gathered between 2010 and 2014 in the Swedish press. The aim of the article is to isolate the most widely discussed French literature from France in the Swedish press during the period, in order to explore why the transfer of this literature persists over time, how it is perceived, and which type of mediators bring about this transmission. The study raises questions about the image of French literature in Swedish media, Sweden’s impact on the transnational circulation of literature, and the use of French literature to place Sweden on the literary map. The results of the reception study show that French literature is presented as both aesthetically disruptive with innovative features and as a normative and traditional model. It incarnates an image of tradition as well as of modernity. French literature from France is principally mediated by orthodox journalists with a consistent symbolic capital, and the posture of these journalists is analyzed through Sapiro’s model, inspired by Bourdieu. The orthodox journalists manage to redirect the symbolic capital inherent to consecrated French literature at three levels: national, personal, and transnational. Firstly, the importation of French literature increases Swedish literature’s symbolic capital. Secondly, this transfer allows for an auto-consecration of the orthodox journalists themselves. Thirdly, this use of highly valued imported literature engenders a supplementary consecration (surconsecration) of a national literature and its dominating language. In conclusion, these observed bilateral literary exchanges show the often overlooked importance of peripheral countries in transnational literary transmission. The results modify Casanova’s (2002) model, since they display the impact on the market from the margins. The transfer of central national literatures in dominating languages towards peripheral countries allows for dominated languages and minor national literatures to take an active part in the construction and reconstruction of the relations on the global literary map.