O estado como empregador de última instância: uma abordagem a partir das finanças funcionais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Urban functional structure characteristics and transformation in China

The paper analyzes urban functional structure characteristics of Chinese cities in 1996 using the Nelson method. The manufacturing employment percentage is much higher in metropolitan areas but is decreasing from 1989 to 1996. On the other hand, the weight of science, education, culture, hygiene, finance, insurance and real estate increases. The employment structure changes dramatically. Although the urbanization level of China is lower than that of the USA in 1955, the frequency distribution curve of urban functions is similar. The construction, transportation, commerce, finance, insurance, real estate, science, education, culture, hygiene and administration curves are normal. The mining employment converges on minor cities and the distribution is not normal. The urban function has changed with urban scale. The bigger the cities are, the smaller the manufacture, mining and construction employment weights, and the larger are the science, education, finance, insurance, real estate and administration weights. Commerce and transportation are distributed evenly and the difference is less. From the comparison in three zones of China, the employment percentage of manufacture, finance, insurance and real estate is higher in eastern coastal areas, while the employment percentage of science, education, administration is higher in western areas. (C) 2002 Elsevier Science Ltd. All rights reserved.

An analysis of implied volatility jump dynamics: Novel functional data representation in crude oil markets

The predominant fear in capital markets is that of a price spike. Commodity markets differ in that there is a fear of both upward and down jumps, this results in implied volatility curves displaying distinct shapes when compared to equity markets. The use of a novel functional data analysis (FDA) approach, provides a framework to produce and interpret functional objects that characterise the underlying dynamics of oil future options. We use the FDA framework to examine implied volatility, jump risk, and pricing dynamics within crude oil markets. Examining a WTI crude oil sample for the 2007–2013 period, which includes the global financial crisis and the Arab Spring, strong evidence is found of converse jump dynamics during periods of demand and supply side weakness. This is used as a basis for an FDA-derived Merton (1976) jump diffusion optimised delta hedging strategy, which exhibits superior portfolio management results over traditional methods.

A functional coefficient model view of the Feldstein–Horioka puzzle

What does the saving–investment (SI) relation really measure and how should the SI relation be measured? These are two of the most discussed issues triggered by the so-called Feldstein–Horioka puzzle. Based on panel data we introduce a new variant of functional coefficient models that allows to separate long and short to medium run parameter dependence. The new modeling framework is applied to uncover the determinants of the SI relation. Macroeconomic state variables such as openness, the age dependency ratio, government current and consumption expenditures are found to affect the SI relation significantly in the long run.

Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance

In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distribution in functional spaces is characterized. However, the infinite dimension of the considered spaces causes a problem of non continuity of the solution and then a problem of inconsistency, from a frequentist point of view, of the posterior distribution (i.e. problem of ill-posedness). The contribution of this essay is to propose new methods to deal with this problem of ill-posedness. The first one consists in adopting a Tikhonov regularization scheme in the construction of the posterior distribution so that I end up with a new object that I call regularized posterior distribution and that I guess it is solution of the inverse problem. The second approach consists in specifying a prior distribution on the parameter of interest of the g-prior type. Then, I detect a class of models for which the prior distribution is able to correct for the ill-posedness also in infinite dimensional problems. I study asymptotic properties of these proposed solutions and I prove that, under some regularity condition satisfied by the true value of the parameter of interest, they are consistent in a "frequentist" sense. Once I have set the general theory, I apply my bayesian nonparametric methodology to different estimation problems. First, I apply this estimator to deconvolution and to hazard rate, density and regression estimation. Then, I consider the estimation of an Instrumental Regression that is useful in micro-econometrics when we have to deal with problems of endogeneity. Finally, I develop an application in finance: I get the bayesian estimator for the equilibrium asset pricing functional by using the Euler equation defined in the Lucas'(1978) tree-type models.

Elucidating the Functional Relationship Between Working Memory Capacity and Psychometric Intelligence: A Fixed-Links Modeling Approach for Experimental Repeated-Measures Designs

Numerous studies reported a strong link between working memory capacity (WMC) and fluid intelligence (Gf), although views differ in respect to how close these two constructs are related to each other. In the present study, we used a WMC task with five levels of task demands to assess the relationship between WMC and Gf by means of a new methodological approach referred to as fixed-links modeling. Fixed-links models belong to the family of confirmatory factor analysis (CFA) and are of particular interest for experimental, repeated-measures designs. With this technique, processes systematically varying across task conditions can be disentangled from processes unaffected by the experimental manipulation. Proceeding from the assumption that experimental manipulation in a WMC task leads to increasing demands on WMC, the processes systematically varying across task conditions can be assumed to be WMC-specific. Processes not varying across task conditions, on the other hand, are probably independent of WMC. Fixed-links models allow for representing these two kinds of processes by two independent latent variables. In contrast to traditional CFA where a common latent variable is derived from the different task conditions, fixed-links models facilitate a more precise or purified representation of the WMC-related processes of interest. By using fixed-links modeling to analyze data of 200 participants, we identified a non-experimental latent variable, representing processes that remained constant irrespective of the WMC task conditions, and an experimental latent variable which reflected processes that varied as a function of experimental manipulation. This latter variable represents the increasing demands on WMC and, hence, was considered a purified measure of WMC controlled for the constant processes. Fixed-links modeling showed that both the purified measure of WMC (β = .48) as well as the constant processes involved in the task (β = .45) were related to Gf. Taken together, these two latent variables explained the same portion of variance of Gf as a single latent variable obtained by traditional CFA (β = .65) indicating that traditional CFA causes an overestimation of the effective relationship between WMC and Gf. Thus, fixed-links modeling provides a feasible method for a more valid investigation of the functional relationship between specific constructs.

Fashions and fads in finance: contingent emulation and the political economy of sovereign wealth fund creation. IHS Political Science Series No. 131, July 2012

Sovereign wealth funds (SWFs), government-owned or managed investment vehicles, have proliferated at a remarkable rate over the past decade, even as political controversy has surrounded them. Why? The extant literature depicts the process of SWF creation as driven by functional imperatives associated with “excess” revenue and reserves accumulated from commodity booms and large current account surpluses. I argue that SWF creation also reflects in large part a process of contingent emulation in which first this policy has been constructed as appropriate for countries with given characteristics, and then when countries took on these characteristics, they followed their peers. Put simply, fashions and fads in finance matter for policy diffusion. I assess this argument using a new dataset on SWF creation that covers nearly 80 countries from 1984 to 2007. The results suggest peer-based contingent emulation has been a crucial factor shaping the decision of many countries to create a SWF, especially among fuel exporters. An earlier version of this paper was presented at the annual meeting of the American Political Science Association, Washington, DC, 2 – 5 September 2010. The author would like to thank Eric Neumayer for his many suggestions and comments on previous versions of the manuscript. The author would also like to thank Zachary Elkins for sharing data. Finally, the author would like to acknowledge the research assistance of Natali Bulamacioglu and Christopher Gandrud.

Functional and unit cost accounting for municipalities and its application by the city of New York,

Paper read at the eleventh annual convention of the National association of comptrollers and accounting officers, held at Syracuse, N.Y., June 1, 1916.

Time-Dependent Density Functional Molecular Orbital and Excited State Calculations on Bis(porphyrinyl)butadiynes in the Monocationic, Neutral, Monoanionic, and Dianionic Oxidation States

We report a theoretical study of the multiple oxidation states (1+, 0, 1−, and 2−) of a meso,meso-linked diporphyrin, namely bis[10,15,20-triphenylporphyrinatozinc(II)-5-yl]butadiyne (4), using Time-Dependent Density Functional Theory (TDDFT). The origin of electronic transitions of singlet excited states is discussed in comparison to experimental spectra for the corresponding oxidation states of the close analogue bis{10,15,20-tris[3‘,5‘-di-tert-butylphenyl]porphyrinatozinc(II)-5-yl}butadiyne (3). The latter were measured in previous work under in situ spectroelectrochemical conditions. Excitation energies and orbital compositions of the excited states were obtained for these large delocalized aromatic radicals, which are unique examples of organic mixed-valence systems. The radical cations and anions of butadiyne-bridged diporphyrins such as 3 display characteristic electronic absorption bands in the near-IR region, which have been successfully predicted with use of these computational methods. The radicals are clearly of the “fully delocalized” or Class III type. The key spectral features of the neutral and dianionic states were also reproduced, although due to the large size of these molecules, quantitative agreement of energies with observations is not as good in the blue end of the visible region. The TDDFT calculations are largely in accord with a previous empirical model for the spectra, which was based simplistically on one-electron transitions among the eight key frontier orbitals of the C4 (1,4-butadiyne) linked diporphyrins.