Insider trading, investment, and liquidity: a welfare analysis

We compare competitive equilibrium outcomes with and without trading by a privately infonned "monopolistic" insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare implications of insider trading for the ex ante expected utilities of outsiders are analyzed. The role of interim infonnation revelation due to insider trading, in improving the risk-sharing among outsiders with stochastic liquidity needs, is examined in detaiL

Balance of payment crises and capital flows : the role of liquidity

A model of externaI CrISIS is deveIoped focusing on the interaction between Iiquidity creation by financiaI intermediaries and foreign exchange collapses. The intermediaries' role of transforming maturities is shown to result in larger movements of capital and a higher probability of crisis. This resembles the observed cycle in capital fiows: large infiows, crisis and abrupt outfiows. The mo deI highlights how adverse productivity and international interest rate shocks can be magnified by the behavior of individual foreign investors linked together through their deposits in the intermediaries. An eventual collapse of the exchange rate can link investors' behavior even further. The basic model is then extended, quite naturally, to study the effects of capital fiow contagion between countries.

Trend following performance with size and liquidity: evidence from US, Brazil and Portugal

Neste trabalho, eu analiso a eficiência de se aplicar estratégias que identificam tendências em mercados de capitais, em três países diferentes, usando um conjunto de variáveis macroeconómicas. Em cada país, a estratégia é testada contra os índices de grande capitalização, pequena capitalização e o índice principal. Eu concluo que, ao combinar os sinais diários obtidos pela estratégia, é possível alcançar retornos ajustados ao risco superiores e reduzir as perdas possíveis do portfólio. No geral, enfatizo os benefícios de usar estratégias que exploram tendências para investidores avessos ao risco, obtendo retornos característicos de capitais próprios com a volatilidade característica de obrigações.

Does liquidity constraints matter for Ricardian equivalence?

The paper analysis a general equilibrium model with two periods, several households and a government that has to finance some expenditures in the first period. Households may have some private information either about their type (adverse selection) or about some action levei chosen in the first period that affects the probability of certain states of nature in the second period (moral hazard). Trade of financiai assets are intermediated by a finite collection of banks. Banks objective functions are determined in equilibrium by shareholders. Due to private information it may be optimal for the banks to introduce constraints in the set of available portfolios for each household as wellas household specific asset prices. In particular, households may face distinct interest rates for holding the risk-free asset. The government finances its expenditures either by taxing households in the first period or by issuing bonds in the first period and taxing households in the second period. Taxes may be state-dependent. Suppose government policies are neutml: i) government policies do not affect the distribution of wealth across households; and ii) if the government decides to tax a household in the second period there is a portfolio available for the banks that generates the Mme payoff in each state of nature as the household taxes. Tben, Ricardian equivalence holds if and only if an appropriate boundary condition is satisfied. Moreover, at every free-entry equilibrium the boundary condition is satisfied and thus Ricardian equivalence holds. These results do not require any particular assumption on the banks' objective function. In particular, we do not assume banks to be risk neutral.

Banks, liquidity crises and economic growth

How do the liquidity functions of banks affect investment and growth at different stages of economic development? How do financial fragility and the costs of banking crises evolve with the level of wealth of countries? We analyze these issues using an overlapping generations growth model where agents, who experience idiosyncratic liquidity shocks, can invest in a liquid storage technology or in a partially illiquid Cobb Douglas technology. By pooling liquidity risk, banks play a growth enhancing role in reducing inefficient liquidation of long term projects, but they may face liquidity crises associated with severe output losses. We show that middle income economies may find optimal to be exposed to liquidity crises, while poor and rich economies have more incentives to develop a fully covered banking system. Therefore, middle income economies could experience banking crises in the process of their development and, as they get richer, they eventually converge to a financially safe long run steady state. Finally, the model replicates the empirical fact of higher costs of banking crises for middle income economies.

Tangibilidade, classe de ativos e estrutura de capital das empresas listadas na BM&FBOVESPA

This study aims to investigate the influence of the asset class and the breakdown of tangibility as determinant factors of the capital structure of companies listed on the BM & FBOVESPA in the period of 2008-2012. Two current assets classes were composed and once they were grouped by liquidity, they were also analyzed by the financial institutions for credit granting: current resources (Cash, Bank and Financial Applications) and operations with duplicates (Stocks and Receivables). The breakdown of the tangible assets was made based on its main components provided as warrantees for loans like Machinery & Equipment and Land & Buildings. For an analysis extension, three metrics for leverage (accounting, financial and market) were applied and the sample was divided into economic sectors, adopted by BM&FBOVESPA. The data model in dynamic panel estimated by a systemic GMM of two levels was used in this study due its strength to problems of endogenous relationship as well as the omitted variables bias. The found results suggest that current resources are determinants of the capital structure possibly because they re characterized as proxies for financial solvency, being its relationship with debt positive. The sectorial analysis confirmed the results for current resources. The tangibility of assets has inverse proportional relationship with the leverage. As it is disintegrated in its main components, the significant and negative influence of machinery & equipment was more marked in the Industrial Goods sector. This result shows that, on average, the most specific assets from operating activities of a company compete for a less use of third party resources. As complementary results, it was observed that the leverage has persistence, which is linked with the static trade-off theory. Specifically for financial leverage, it was observed that the persistence is relevant when it is controlled for the lagged current assets classes variables. The proxy variable for growth opportunities, measured by the Market -to -Book, has the sign of its contradictory coefficient. The company size has a positive relationship with debt, in favor of static trade-off theory. Profitability is the most consistent variable in all the performed estimations, showing strong negative and significant relationship with leverage, as the pecking order theory predicts

Liquidity black holes: why modern financial regulation in developed countries is making short-term capital flows to developing countries even more volatile

Includes bibliography

Iron oxides as proxies for characterizing anisotropy in soil CO2 emission in sugarcane areas under green harvest

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Paleoproductivity changes during the Holocene in the inner shelf of Cabo Frio, southeastern Brazilian continental margin: Benthic foraminifera and sedimentological proxies

Sedimentological and benthic foraminifera analyses carried out on a core (length 4.15 in, collected at 22 degrees 56`31 `` S and 41 degrees 58`48 `` W, at a water depth of 43 in) sampled from the inner shelf of Cabo Frio, southeastern Brazilian continental margin, allowed identification of different hydrodynamic and productivity regimes related to sea-level fluctuations and/or climatic changes, during the last 9.4 ka cal BP. Prior to 7.0 ka cal BP, a less intense hydrodynamic and lower productivity regime occurred at lower sea levels and under drier climatic conditions. Between 7.0 and 5.0 ka cal BP, relatively stronger local oceanic circulation and relatively high productivity were observed, in a scenario of rising sea levels and more humid conditions. From 5.0 to 3.0 ka cal BP, bottom currents weakened and input of nutrients increased, with productivity levels similar to the previous phase at lower sea level and in a drier climate. From 3.0 ka cal BP up to the present, stronger hydrodynamic conditions and a higher productivity regime are linked to the establishment of the upwelling process in Cabo Frio. From 2.5 ka cal BP to the present, upwelling enhancement has been recognized, resulting from the combined action of NE winds and the intensification of the meandering pattern of the Brazil Current (BC). (C) 2008 Elsevier Ltd and INQUA. All rights reserved.

Holocenic proxies of sedimentary organic matter and the evolution of Lake Arari-Amazon Region

Four sediment cores were sampled from Lake Arari, located on Marajo Island at the mouth of the Amazon River. The island's vegetation cover is composed mainly of Amazon coastal forest, herbaceous and varzea vegetation. The integration of data on sedimentary structures, pollen, carbon and nitrogen isotope records, C/N ratios and radiocarbon ages allowed the identification of changes in vegetation and the sources of organic matter accumulated in the lake during the Holocene. The data indicate a relatively high flow energy, marine water influence and the presence of mangroves during the lagoon phase between 8990 and 8690 cal yr B.P. and 2310-2230 cal yr B.P. Between 2310 and 2230 cal yr B.P. and similar to 1000 cal yr B.P., the flow energy decreased and the mangroves were replaced by herbaceous vegetation following the decline in marine influence, likely due to the increase in freshwater river discharge. During the last 1000 years, Lake Arari was established in association with the expansion of herbaceous vegetation and the dominance of freshwater algae. (C) 2011 Elsevier BM. All rights reserved.

Mediterranean-type climate in the South Aegean (Eastern Mediterranean) during the Late Miocene: Evidence from isotope and element proxies

The present-day climate in the Mediterranean region is characterized by mild, wet winters and hot, dry summers. There is contradictory evidence as to whether the present-day conditions (“Mediterranean climate”) already existed in the Late Miocene. This thesis presents seasonally-resolved isotope and element proxy data obtained from Late Miocene reef corals from Crete (Southern Aegean, Eastern Mediterranean) in order to illustrate climate conditions in the Mediterranean region during this time. There was a transition from greenhouse to icehouse conditions without a Greenland ice sheet during the Late Miocene. Since the Greenland ice sheet is predicted to melt fully within the next millennia, Late Miocene climate mechanisms can be considered as useful analogues in evaluating models of Northern Hemispheric climate conditions in the future. So far, high resolution chemical proxy data on Late Miocene environments are limited. In order to enlarge the proxy database for this time span, coral genus Tarbellastraea was evaluated as a new proxy archive, and proved reliable based on consistent oxygen isotope records of Tarbellastraea and the established paleoenvironmental archive of coral genus Porites. In combination with lithostratigraphic data, global 87Sr/86Sr seawater chronostratigraphy was used to constrain the numerical age of the coral sites, assuming the Mediterranean Sea to be equilibrated with global open ocean water. 87Sr/86Sr ratios of Tarbellastraea and Porites from eight stratigraphically different sampling sites were measured by thermal ionization mass spectrometry. The ratios range from 0.708900 to 0.708958 corresponding to ages of 10 to 7 Ma (Tortonian to Early Messinian). Spectral analyses of multi-decadal time-series yield interannual δ18O variability with periods of ~2 and ~5 years, similar to that of modern records, indicating that pressure field systems comparable to those controlling the seasonality of present-day Mediterranean climate existed, at least intermittently, already during the Late Miocene. In addition to sea surface temperature (SST), δ18O composition of coral aragonite is controlled by other parameters such as local seawater composition which as a result of precipitation and evaporation, influences sea surface salinity (SSS). The Sr/Ca ratio is considered to be independent of salinity, and was used, therefore, as an additional proxy to estimate seasonality in SST. Major and trace element concentrations in coral aragonite determined by laser ablation inductively coupled plasma mass spectrometry yield significant variations along a transect perpendicular to coral growth increments, and record varying environmental conditions. The comparison between the average SST seasonality of 7°C and 9°C, derived from average annual δ18O (1.1‰) and Sr/Ca (0.579 mmol/mol) amplitudes, respectively, indicates that the δ18O-derived SST seasonality is biased by seawater composition, reducing the δ18O amplitude by 0.3‰. This value is equivalent to a seasonal SSS variation of 1‰, as observed under present-day Aegean Sea conditions. Concentration patterns of non-lattice bound major and trace elements, related to trapped particles within the coral skeleton, reflect seasonal input of suspended load into the reef environment. δ18O, Sr/Ca and non-lattice bound element proxy records, as well as geochemical compositions of the trapped particles, provide evidence for intense precipitation in the Eastern Mediterranean during winters. Winter rain caused freshwater discharge and transport of weathering products from the hinterland into the reef environment. There is a trend in coral δ18O data to more positive mean δ18O values (–2.7‰ to –1.7‰) coupled with decreased seasonal δ18O amplitudes (1.1‰ to 0.7‰) from 10 to 7 Ma. This relationship is most easily explained in terms of more positive summer δ18O. Since coral diversity and annual growth rates indicate more or less constant average SST for the Mediterranean from the Tortonian to the Early Messinian, more positive mean and summer δ18O indicate increasing aridity during the Late Miocene, and more pronounced during summers. The analytical results implicate that winter rainfall and summer drought, the main characteristics of the present-day Mediterranean climate, were already present in the Mediterranean region during the Late Miocene. Some models have argued that the Mediterranean climate did not exist in this region prior to the Pliocene. However, the data presented here show that conditions comparable to those of the present-day existed either intermittently or permanently since at least about 10 Ma.

Exploring physical processes related to past climate proxies: lake sediments and stable water isotopes

Proxy data are essential for the investigation of climate variability on time scales larger than the historical meteorological observation period. The potential value of a proxy depends on our ability to understand and quantify the physical processes that relate the corresponding climate parameter and the signal in the proxy archive. These processes can be explored under present-day conditions. In this thesis, both statistical and physical models are applied for their analysis, focusing on two specific types of proxies, lake sediment data and stable water isotopes.rnIn the first part of this work, the basis is established for statistically calibrating new proxies from lake sediments in western Germany. A comprehensive meteorological and hydrological data set is compiled and statistically analyzed. In this way, meteorological times series are identified that can be applied for the calibration of various climate proxies. A particular focus is laid on the investigation of extreme weather events, which have rarely been the objective of paleoclimate reconstructions so far. Subsequently, a concrete example of a proxy calibration is presented. Maxima in the quartz grain concentration from a lake sediment core are compared to recent windstorms. The latter are identified from the meteorological data with the help of a newly developed windstorm index, combining local measurements and reanalysis data. The statistical significance of the correlation between extreme windstorms and signals in the sediment is verified with the help of a Monte Carlo method. This correlation is fundamental for employing lake sediment data as a new proxy to reconstruct windstorm records of the geological past.rnThe second part of this thesis deals with the analysis and simulation of stable water isotopes in atmospheric vapor on daily time scales. In this way, a better understanding of the physical processes determining these isotope ratios can be obtained, which is an important prerequisite for the interpretation of isotope data from ice cores and the reconstruction of past temperature. In particular, the focus here is on the deuterium excess and its relation to the environmental conditions during evaporation of water from the ocean. As a basis for the diagnostic analysis and for evaluating the simulations, isotope measurements from Rehovot (Israel) are used, provided by the Weizmann Institute of Science. First, a Lagrangian moisture source diagnostic is employed in order to establish quantitative linkages between the measurements and the evaporation conditions of the vapor (and thus to calibrate the isotope signal). A strong negative correlation between relative humidity in the source regions and measured deuterium excess is found. On the contrary, sea surface temperature in the evaporation regions does not correlate well with deuterium excess. Although requiring confirmation by isotope data from different regions and longer time scales, this weak correlation might be of major importance for the reconstruction of moisture source temperatures from ice core data. Second, the Lagrangian source diagnostic is combined with a Craig-Gordon fractionation parameterization for the identified evaporation events in order to simulate the isotope ratios at Rehovot. In this way, the Craig-Gordon model can be directly evaluated with atmospheric isotope data, and better constraints for uncertain model parameters can be obtained. A comparison of the simulated deuterium excess with the measurements reveals that a much better agreement can be achieved using a wind speed independent formulation of the non-equilibrium fractionation factor instead of the classical parameterization introduced by Merlivat and Jouzel, which is widely applied in isotope GCMs. Finally, the first steps of the implementation of water isotope physics in the limited-area COSMO model are described, and an approach is outlined that allows to compare simulated isotope ratios to measurements in an event-based manner by using a water tagging technique. The good agreement between model results from several case studies and measurements at Rehovot demonstrates the applicability of the approach. Because the model can be run with high, potentially cloud-resolving spatial resolution, and because it contains sophisticated parameterizations of many atmospheric processes, a complete implementation of isotope physics will allow detailed, process-oriented studies of the complex variability of stable isotopes in atmospheric waters in future research.rn

Patient satisfaction with care in the intensive care unit: can we rely on proxies?

To investigate whether next of kin can be addressed as proxy to assess patients' satisfaction with care in the intensive care unit (ICU).