Common agency with informed principals

We analyze a common agency game under asymmetric information on the preferences of the non-cooperating principals in a public good context. Asymmetric information introduces incentive compatibility constraints which rationalize the requirement of truthfulness made in the earlier literature on common agency games under complete information. There exists a large class of differentiable equilibria which are ex post inefficient and exhibit free-riding. We then characterize some interim efficient equilibria. Finally, there exists also a unique equilibrium allocation which is robust to random perturbations. This focal equilibrium is characterized for any distribution of types.

Vintage capital, distortions and development

This paper asks to what extent distortions to the adoption of new technology cause income inequality across nations. We work in the framework of embodied technological progress with an individual, C.E.S. production function. We estimate the parameters of this production function from international data and calibrate the model, using U.S. National Income statistics. Our analysis suggests that distortions account for a bigger portion of income inequality than hitherto has been assessed.

Uso de modelos econométricos en aseguramiento de portafolios

El aseguramiento de portafolio trae consigo unos costos de transacción asociados que son reconocidos por la teoría financiera pero que no han sido objeto de estudio de muchas aproximaciones empíricas. Mediante modelos econométricos de series de tiempo se puede pronosticar el número de rebalanceos necesarios para mantener un portafolio asegurado, así como el tiempo que debe transcurrir entre cada uno de estos. Para tal fin se usan modelos de Datos de Cuenta de Poisson Autorregresivos (ACP) modificados para captar las características de la serie y modelos de Duración Autorregresivos (ACD). Los modelos capturan la autocorrelación de las series y pronostican adecuadamente el costo de transacción asociado a los rebalanceos.

Retorno sobre investimentos corporativos e decisões de financiamento

Estima uma taxa de retorno dos investimentos corporativos e verifica a criação de valor aos acionistas para o período de 1988 a 1999. Avalia as fontes de recursos utilizadas pelas empresas, verificando a influência das mudanças ocorridas no cenário brasileiro referente ao maior acesso das empresas ao mercado internacional de capitais e à estabilização inflacionária. Dadas as imperfeições de mercado, foi testado o modelo "pecking order" contra o "tradeoff", de modo a obter melhor entendimento sobre as decisões de busca de recursos por parte das empresas do setor não financeiro, no Brasil

Aplicación de los modelos econométricos como base de la toma de decisiones en la política de fomento a las exportaciones en el Ecuador 1980-1992

Técnico Estadístico

Determinantes de las fusiones y adquisiciones en el sistema financiero colombiano. 1990-2007

Se ha analizado de manera amplia el efecto de la quiebra y la fusión de las instituciones financieras en Colombia; sin embargo no se ha hecho un estudio de los determinantes. Este documento busca encontrar las variables que incentivan la participación de las instituciones en estas operaciones.

Propiedad y desempeño en el sistema financiero colombiano

Este trabajo evalua la estructura de propiedad de las entidades del sistema financiero colombiano para el periodo 1996-2006 y la relación entre las entidades que adoptaron el código corporativo a través de la resolución 275 de 2001 y el desempeño de las mismas. Dividiendo la muestra en dos, inicialmente buscando evaluar las características de la propiedad con el desempeño y finalmente evaluado la relación entre las entidades que adoptaron prácticas corporativas y el desempeño. Los resultados de estas dos líneas de estudios permitieron comprobar, por un lado, que la adopción de las prácticas corporativas de las entidades listadas en bolsa se relacionan positivamente con el desempeño y por otro, que la concentración de la propiedad genera un efecto positivo en el desempeño de las entidades financieras, lo cual es consistente con el efecto positivo que genera la supervisión de los accionistas mayoritarios sobre el administrador, disminuyendo de esta manera los problemas de agencia.

Improving mutual fund market timing measures: a markov switching approach

Market timing performance of mutual funds is usually evaluated with linear models with dummy variables which allow for the beta coefficient of CAPM to vary across two regimes: bullish and bearish market excess returns. Managers, however, use their predictions of the state of nature to deÞne whether to carry low or high beta portfolios instead of the observed ones. Our approach here is to take this into account and model market timing as a switching regime in a way similar to Hamilton s Markov-switching GNP model. We then build a measure of market timing success and apply it to simulated and real world data.

Competitive equilibrium hyperinflation under rational expectations

This paper shows that a competitive equilibrium model, where a representative agent maximizes welfare, expectations are rational and markets are in equilibrium can account for several hyperinflation stylized facts. The theory is built by combining two hypotheses, namely, a fiscal crisis that requires printing money to finance an increasing public deficit and a predicted change in an unsustainable fiscal regime.

Some benefits of cyclical monetary policy

In this paper, we present a simple random-matching model of seasons, where di§erent seasons translate into di§erent propensities to consume and produce. We Önd that the cyclical creation and destruction of money is beneÖcial for welfare under a wide variety of circumstances. Our model of seasons can be interpreted as providing support for the creation of the Federal Reserve System, with its mandate of supplying an elastic currency for the nation.

Public debt sustainability and endogenous seignorage in Brazil: time-series evidence from 1947-92

Using national accounts data for the revenue-GDP and expenditure GDP ratios from 1947 to 1992, we examine two central issues in public finance. First, was the path of public debt sustainable during this period? Second, if debt is sustainable, how has the government historically balanced the budget after hocks to either revenues or expenditures? The results show that (i) public deficit is stationary (bounded asymptotic variance), with the budget in Brazil being balanced almost entirely through changes in taxes, regardless of the cause of the initial imbalance. Expenditures are weakly exogenous, but tax revenues are not;(ii) a rational Brazilian consumer can have a behavior consistent with Ricardian Equivalence (iii) seignorage revenues are critical to restore intertemporal budget equilibrium, since, when we exclude them from total revenues, debt is not sustainable in econometric tests.

Trade liberalization and the evolution of skill earnings differentials in Brazil

Rio de Janeiro