Reflexos do plano real sobre o sistema bancário brasileiro

Este trabalho tem por objetivo avaliar a evolução do setor bancário antes e logo após o Plano Real Iniciamos avaliando a queda das transferências inflação Diárias decorrente da passagem de uma inflação da ordem de 40% ao mês, relativa ao período pré-Plano Real, para uma média de 3,65% (IGP-DI) ou 2,61 % (IPC-r) ao mês, de julho de 1994 a maio de 1995. Em seguida, usando dados de balanço de um conjunto de 90 bancos, tentamos estimar os refluxos destas perdas sobre a rentabilidade e outros parâmetros da indústria bancária. Os cálculos do efetuados separadamente para os bancos privados, estaduais e federais. Uma análise posterior de desempenho utilizando informações fornecidas à CVM pelos seis maiores bancos privados do país é também apresentada.

Nash equilibrium under knightian uncertainty: breaking down backward induction (extensively revised version)

We define Nash equilibrium for two-person normal form games in the presence of uncertainty, in the sense of Knight(1921). We use the fonna1iution of uncertainty due to Schmeidler and Gilboa. We show tbat there exist Nash equilibria for any degree of uncertainty, as measured by the uncertainty aversion (Dow anel Wer1ang(l992a». We show by example tbat prudent behaviour (maxmin) can be obtained as an outcome even when it is not rationaliuble in the usual sense. Next, we break down backward industion in the twice repeated prisoner's dilemma. We link these results with those on cooperation in the finitely repeated prisoner's dilemma obtained by Kreps-Milgrom-Roberts-Wdson(1982), and withthe 1iterature on epistemological conditions underlying Nash equilibrium. The knowledge notion implicit in this mode1 of equilibrium does not display logical omniscience.

Nash equilibrium under knightian uncertainty: breaking-down backward induction

We present two alternative definitions of Nash equilibrium for two person games in the presence af uncertainty, in the sense of Knight. We use the formalization of uncertainty due to Schmeidler and Gilboa. We show that, with one of the definitions, prudent behaviour (maxmin) can be obtained as an outcome even when it is not rationalizable in the usual sense. Most striking is that with the Same definition we break down backward induction in the twice repeated prisoner's dilemma. We also link these results with the Kreps-Milgrom-Roberts-Wilson explanation of cooperation in the finitely repeated prisoner's dilemma.

A note on growth and inflation

A simple exercise on growth and inflationary financing of public expenditures is presented in this note. In a parameterized overlapping generations mode1 where government expenses positivc1y affects the growth rate of human capital, steady state capital and output increase with inflation, reproducing the so called Tobin effect. For large inflation rates, however, government authorities cannot affect real variables and there are only nominal effects. It is also shown that the optimal policy implies some inflation but not growth maximization.