Unemployment insurance an analysis of optimal mechanisms under aggregate shocks

The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

The long-run properties of a dynamic Mirrlees' model with aggregate shocks

Nós abordamos a existência de distribuições estacionárias de promessas de utilidade em um modelo Mirrlees dinâmico quando o governo tem record keeping imperfeito e a economia é sujeita a choques agregados. Quando esses choques são iid, provamos a existência de um estado estacionário não degenerado e caracterizamos parcialmente as alocações estacionárias. Mostramos que a proporção do consumo agregado é invariante ao estado agregado. Quando os choques agregados apresentam persistência, porém, alocações eficientes apresentam dependência da história de choques e, em geral, uma distribuição invariante não existe.

Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon

This work aims to compare the forecast efficiency of different types of methodologies applied to Brazilian Consumer inflation (IPCA). We will compare forecasting models using disaggregated and aggregated data over twelve months ahead. The disaggregated models were estimated by SARIMA and will have different levels of disaggregation. Aggregated models will be estimated by time series techniques such as SARIMA, state-space structural models and Markov-switching. The forecasting accuracy comparison will be made by the selection model procedure known as Model Confidence Set and by Diebold-Mariano procedure. We were able to find evidence of forecast accuracy gains in models using more disaggregated data

Essays on the credit channel of monetary policy: a case study for Brazil

The onset of the financial crisis in 2008 and the European sovereign crisis in 2010 renewed the interest of macroeconomists on the role played by credit in business cycle fluctuations. The purpose of the present work is to present empirical evidence on the monetary policy transmission mechanism in Brazil with a special eye on the role played by the credit channel, using different econometric techniques. It is comprised by three articles. The first one presents a review of the literature of financial frictions, with a focus on the overlaps between credit activity and the monetary policy. It highlights how the sharp disruptions in the financial markets spurred central banks in developed and emerging nations to deploy of a broad set of non conventional tools to overcome the damage on financial intermediation. A chapter is dedicated to the challenge face by the policymaking in emerging markets and Brazil in particular in the highly integrated global capital market. This second article investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term “structural” comes from the estimation strategy, which generates factors that have a clear economic interpretation. The results show that unexpected shocks in the proxies for the external finance premium and the credit volume produce large and persistent fluctuations in inflation and economic activity – accounting for more than 30% of the error forecast variance of the latter in a three-year horizon. Counterfactual simulations demonstrate that the credit channel amplified the economic contraction in Brazil during the acute phase of the global financial crisis in the last quarter of 2008, thus gave an important impulse to the recovery period that followed. In the third articles, I make use of Bayesian estimation of a classical neo-Keynesian DSGE model, incorporating the financial accelerator channel developed by Bernanke, Gertler and Gilchrist (1999). The results present evidences in line to those already seen in the previous article: disturbances on the external finance premium – represented here by credit spreads – trigger significant responses on the aggregate demand and inflation and monetary policy shocks are amplified by the financial accelerator mechanism. Keywords: Macroeconomics, Monetary Policy, Credit Channel, Financial Accelerator, FAVAR, DSGE, Bayesian Econometrics

Testing consumption optimality using aggregate data

The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and habit. First, we show that rule-of-thumb behavior in consumption is observational equivalent to behavior obtained by the optimizing model of King, Plosser and Rebelo (Journal of Monetary Economics, 1988), casting doubt on how reliable standard rule-of-thumb tests are. Second, although Carroll (2001) and Weber (2002) have criticized the linearization and testing of euler equations for consumption, we provide a deeper critique directly applicable to current rule-of-thumb tests. Third, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Asset-Pricing Equation, since the latter is a linear function of individual returns. Fourth, aggregation of the nonlinear euler equation forms the basis of a novel test of deviations from the canonical CRRA model of consumption in the presence of rule-of-thumb and habit behavior. We estimated 48 euler equations using GMM, with encouraging results vis-a-vis the optimality of consumption decisions. At the 5% level, we only rejected optimality twice out of 48 times. Empirical-test results show that we can still rely on the canonical CRRA model so prevalent in macroeconomics: out of 24 regressions, we found the rule-of-thumb parameter to be statistically signi cant at the 5% level only twice, and the habit ƴ parameter to be statistically signi cant on four occasions. The main message of this paper is that proper return aggregation is critical to study intertemporal substitution in a representative-agent framework. In this case, we fi nd little evidence of lack of optimality in consumption decisions, and deviations of the CRRA utility model along the lines of rule-of-thumb behavior and habit in preferences represent the exception, not the rule.

Collateral, Intermediated Lending, and Aggregate Productivity

Neste trabalho busca-se compreender como que restrições a diferentes tipos de crédito - doméstico e internacional - afetam a dinâmica de uma economia, especialmente com relação a sua Produtividade Total dos Fatores (PTF). Para ajudar no entendimento dessa questão e assuntos relacionados, propomos um simples modelo de economia aberta. Nesse contexto, empreendedores domésticos possuem produtividades heterogêneas, o que implica que a distribuição de riqueza entre indivíduos é essencial para a determinação da produtividade agregada da economia. Além disso, o ambiente de comprometimento limitado obriga os tomadores de empréstimo a dispor de colateral para contrair dívidas. Por hipótese, dívida doméstica e externa requerem diferentes quantidades de colateral. O modelo gera uma dinâmica macroeconômica rica após mudanças na taxa de juros internacional e restrições a crédito. Mais especificamente, um alívio na restrição doméstica causa um aumento da PTF, enquanto a mesma variação na restrição internacional tem o efeito contrário.

Testing consumption optimality using aggregate data

This paper tests the optimality of consumption decisions at the aggregate level taking into account popular deviations from the canonical constant-relative-risk-aversion (CRRA) utility function model-rule of thumb and habit. First, based on the critique in Carroll (2001) and Weber (2002) of the linearization and testing strategies using euler equations for consumption, we provide extensive empirical evidence of their inappropriateness - a drawback for standard rule- of-thumb tests. Second, we propose a novel approach to test for consumption optimality in this context: nonlinear estimation coupled with return aggregation, where rule-of-thumb behavior and habit are special cases of an all encompassing model. We estimated 48 euler equations using GMM. At the 5% level, we only rejected optimality twice out of 48 times. Moreover, out of 24 regressions, we found the rule-of-thumb parameter to be statistically significant only twice. Hence, lack of optimality in consumption decisions represent the exception, not the rule. Finally, we found the habit parameter to be statistically significant on four occasions out of 24.

Aggregate vs disaggregate data analysis: a paradox in the estimation of money demand function of Japan under the low interest rate policy

We investigate the issue of whether there was a stable money demand function for Japan in 1990's using both aggregate and disaggregate time series data. The aggregate data appears to support the contention that there was no stable money demand function. The disaggregate data shows that there was a stable money demand function. Neither was there any indication of the presence of liquidity trapo Possible sources of discrepancy are explored and the diametrically opposite results between the aggregate and disaggregate analysis are attributed to the neglected heterogeneity among micro units. We also conduct simulation analysis to show that when heterogeneity among micro units is present. The prediction of aggregate outcomes, using aggregate data is less accurate than the prediction based on micro equations. Moreover. policy evaluation based on aggregate data can be grossly misleading.

Histopathology findings in common marmosets (Callithrix jacchus Linnaeus, 1758) with chronic weight loss associated with bile tract obstruction by infestation with Platynosomum (Loos, 1907)

Chronic weight loss in marmosets is often associated with wasting marmoset syndrome (WMS), an important disease that occurs in callitrichid colonies around the world. Even though its etiology is very difficult to determine, particular variables, such as weight loss, diarrhea and alopecia, associated or not with infestation in the pancreatic ducts with Trichospirura leptossoma (Nematoda: Thelazioidea), seem to be linked with the syndrome. This study investigated the histopathology of the lungs, duodenum, liver, gallbladder, extrahepatic bile ducts and pancreatic ducts of six common marmosets (Callithrix jacchus) suffering from severe non-diarrheic weight loss. Three individuals died naturally and the other three were euthanized. Microscopic findings showed the presence of adult flukes (Platynosomum) in the liver. These flukes, which provoke common infection in cats, were also observed inside the gallbladder as well as in the intra and extrahepatic bile ducts in common marmosets. Portal fibrosis was observed in two animals, which developed chronic fibrosing hepatopathy (biliary pattern, grade 3). The disease progresses without diarrhea and without pancreatic lesions or infestation. With the rogression, the animals presented with ascending cholangitis, cholestasis and portal fibrosis, sometimes culminating in secondary biliary cirrhosis. Therefore, this nfirmity, associated with chronic weight loss in common marmosets, could be another tiological factor linked with WMS

Estudo da substituição de agregados miúdos naturais por pó de pedra em concreto de cimento portland

The sharp consumption of natural resources by the construction industry has motivated numerous studies concerning the application of waste to replace partially or fully, some materials, such as aggregates, thereby reducing the environmental impact caused by the extraction of sand and crushing process. The application of stone dust from crushing process arising as an aggregate for the production of Portland cement concrete is a viable alternative in view of the high cost of natural sands, in addition to the environmental damage which causes its operation to the environment. The stone dust has reduced cost compared to natural sand because it is produced in the beds of their own quarries, which are usually located close to major urban centers. This study examined the feasibility of using stone dust from the crushing of rock gneisses in the state of Bahia, replacing natural quartz sand. In the development of scientific study was conducted to characterize physical and chemical raw materials applied and molded cylindrical specimens , using as reference values Fck 20, Fck 25 and Fck 30 MPa ( resistance characteristic of the concrete after 28 days) in following compositions stone powder: 10%, 30%, 50 %, 100% and 100% with additive. The specimens were cured and subjected to the tests of compressive strength and water absorption, then the samples were subjected to the tests of X-ray diffraction and scanning electron microscopy. The results obtained showed that the composition with 10% stone powder showed the best results regarding the physical and mechanical tests performed, confirming the reduction in compressive strength and increased water uptake increased as the content of the powder stone in the concrete composition

Role of phospholipase A(2) and tyrosine kinase in Clostridium difficile toxin A-induced disruption of epithelial integrity, histologic inflammatory damage and intestinal secretion

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Soil CO2 emission as related to incorporation of sugarcane crop residues and aggregate breaking after rotary tiller

O preparo do solo é um dos processos que aceleram a decomposição da matéria orgânica, transferindo carbono para atmosfera, principalmente na forma de CO2. Neste trabalho, investigou-se o efeito do preparo com enxada rotativa sobre as emissões de CO2 do solo durante 02 semanas após o preparo do solo, incluindo-se a presença de resíduos vegetais sobre a superfície. As emissões foram avaliadas por 15 dias após preparo em 3 parcelas: 1) sem preparo e sem palha superficial (SPs); 2) preparo com enxada rotativa sem a presença de palha na superfície (ERs), e 3) preparo com enxada rotativa com a presença de palha superficial (ERc). As emissões provenientes da ERc foram superiores às demais (0,777 g CO2 m-2 h-1), sendo as menores emissões registradas na parcela SPs (0,414 g CO2 m-2 h-1). As emissões totais indicaram que a diferença de C-CO2 emitida à atmosfera corresponde a 3% do total de carbono adicional presente na palha, na parcela ERc, quando comparado à parcela ERs. O aumento da emissão da parcela SPs para ERs foi acompanhado de uma modificação na distribuição do tamanho de agregados, especialmente aqueles com diâmetro médio inferior a 2 mm. O aumento da emissão da parcela ERs para ERc esteve relacionado a uma diminuição da massa de palha na superfície, com fragmentação e incorporação da mesma no interior do solo. Quando se analisa a correlação linear entre emissão de CO2 versus temperatura e umidade do solo, somente a emissão da ERc foi significativamente correlacionada (p<0,05) à umidade do solo.

Spatial variability of aggregate stability in latosols under sugarcane

Solos submetidos ao mesmo sistema de manejo manifestam variabilidade espacial diferenciada de seus atributos. A variabilidade espacial da estabilidade de agregados foi caracterizada em um Latossolo Vermelho distrófico e Latossolo Vermelho eutroférrico, sob cultivo de cana-de-açúcar. Foram realizadas amostragens de terra nos pontos de interseção de uma malha de 10 x 10 linhas, espaçadas de 10 m, totalizando 100 pontos de amostragem por área, coletadas nas camadas de 0,0-0,2 e 0,2-0,4 m de profundidade, para determinação de diâmetro médio geométrico (DMG), diâmetro médio ponderado (DMP), agregados na classe >2,0 mm e teor de matéria orgânica do solo. O Latossolo Vermelho eutroférrico apresenta maior estabilidade de agregados quando comparado com o Latossolo Vermelho distrófico, condizente com o maior teor de argila, matéria orgânica e mineralogia gibbsítica. A evolução diferenciada dos Latossolos estudados explica os maiores alcances, o menor coeficiente de variação (CV) e a menor variabilidade, observados no Latossolo Vermelho eutroférrico para todos os atributos estudados.