Documentos publicados nas Revistas da Fundação Getulio Vargas

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    Os preços dos alimentos no novo milênio
    (2007) Braz, André
    Os produtos componentes da cesta básica, por serem os mais importantes para o sustento das famílias, sobretudo para as de baixa renda, figuram entre os itens de maior peso no orçamento familiar. A importância desses itens nos convida a uma pesquisa investigativa sobre a evolução destes preços no novo milênio. Dos 13 itens selecionados, apenas três registraram aumentos abaixo da inflação acumulada no período, que foi de 55,29%, entre janeiro de 2001 e setembro de 2007. Entre os produtos com aumento acima da inflação, estão os mais tradicionais da cozinha brasileira, o arroz e o feijão. Este dueto, amplamente consumido por ricos e pobres, representa a base alimentar de muitas famílias.
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    Advogados versus psicólogas
    (2007-01) Falcão, Joaquim
    Surge novo, amplo e importante mercado de trabalho: o mercado de conciliadores e mediadores. Duas profissões já estão disputando fatias deste mercado: advogados e psicólogas. O seu tamanho é ainda imensurável, mas já se pode ter uma idéia. No Dia Nacional da Conciliação, promovido pelo Conselho Nacional de Justiça (CNJ) e diversos Tribunais em todo o país e comandado pelos conselheiros Germana de Moraes e Eduardo Lorenzoni, foram realizadas quase 84 mil audiências de conciliação, com um índice de sucesso na obtenção de acordo de 55%. Isto num só dia. Este índice é compatível com experiências judiciais já em curso, como a das juntas de conciliação em direito de família do Tribunal de Justiça de Minas Gerais, que, entre 2002 e 2004, conseguiram fazer surgir um acordo em mais de 62% das audiências.
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    The revealed social welfare function: USA x Brazil
    (Sociedade Brasileira de Econometria, 2008-11-01) Mattos, Enlinson
    This paper proposes the use of the optimal nonlinear tax formula to derive the social welfare function of policymakers. In particular, it uses PSID and PNAD for 1990 to estimate the implicit social welfare functions associated with income tax imposition for the USA and Brazil. Under assumptions on the household preferences, the estimations suggest that both U.S. and Brazilian social welfare functions are concave and Paretian, but that only the Brazilian function is utilitarian, i.e., the Brazilian social planner is less inequity-averse than her U.S. counterpart.
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    Testing the hypothesis of contagion using multivariate volatility models
    (Sociedade Brasileira de Econometria, 2008-11-01) Marçal, Emerson Fernandes; Pereira, Pedro L. Valls
    The aim of this paper is to test whether or not there was evidence of contagion across the various financial crises that assailed some countries in the 1990s. Data on sovereign debt bonds for Brazil, Mexico, Russia and Argentina were used to implement the test. The contagion hypothesis is tested using multivariate volatility models. If there is any evidence of structural break in volatility that can be linked to financial crises, the contagion hypothesis will be confirmed. Results suggest that there is evidence in favor of the contagion hypothesis.
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    Earnings inequality in Brazil: is it permanent or transitory?
    (Sociedade Brasileira de Econometria, 2007-11-01) Santos, Antonio Loureiro; Souza, André Portela
    This paper seeks to analyze the dynamic behavior of prime-age male workers’ earnings inequality in the formal labor market of the State of S˜ao Paulo in the years 1990-1998. The aim is to fit an econometric model of unobserved earnings components into the empirical earnings variance-covariance structure in order to evaluate the relative magnitude of individual characteristics and earnings instability as factors behind overall inequality. The analysis is based on a panel dataset constructed from RAIS data (official formal labor market data); several different models are estimated and tested using minimum distance techniques. Our results show that (i) the relative magnitude of the earnings instability component of inequality is much smaller than the individual characteristics component, and (ii) the observed heterogeneity, as accounted by education and age, explains only a little part of the inequality derived from individual characteristics.
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    The trade-off between incentives and endogenous risk
    (Sociedade Brasileira de Econometria, 2007-11-01) Araújo, Aloísio Pessoa de; Moreira, Humberto; Tsuchida, Marcos
    Negative relationship between risk and incentives, predicted by standard moral hazard models, has not been confirmed by empirical work. We propose a moral hazard model in which heterogeneous risk-averse agents can control the mean and variance of the profits. The possibility of risk reduction allows the agent’s marginal utility of incentives to be increasing or decreasing in risk aversion. Positive relationship between endogenous risk and incentives is found when marginal utility of incentives and variance are decreasing in risk aversion. Exogenous risk and incentives are negatively related. Those results remain when adverse selection precedes moral hazard.
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    Pricing and modeling credit derivatives
    (Sociedade Brasileira de Econometria, 2007-05-01) Akat, Muzaffer; Almeida, Caio Ibsen Rodrigues de; Papanicolaou, George
    The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the dimension of credit risk should be explicitly taken into account by a quantitative model. In this paper, we describe a doubly stochastic model with the purpose of pricing and hedging derivatives on securities sub ject to default risk. The default event is modeled by the first jump of a counting process Nt , doubly stochastic with respect to the Brownian filtration which drives the uncertainty of the level of the underlying state process conditional on no-default event. By assuming a condition slightly stronger than no arbitrage, i.e., that there is no free lunch with vanishing risk (NFLVR) from Delbaen and Scharchermayer (1994), we provide all the possible equivalent martingale measures under this setting. In order to illustrate the method, two simple examples are presented: the pricing of defaultable stocks, and a framework to price multi-name credit derivatives such as basket defaults.
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    Comparing value-at-risk methodologies
    (Sociedade Brasileira de Econometria, 2007-05-01) Lima, Luiz Renato; Néri, Breno de Andrade Pinheiro
    In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that require distributional assumption. In particular, we show that the non-robust methodologies have higher probability of predicting V aRs with too many violations. We illustrate our findings with an empirical exercise in which we estimate V aR for returns of S˜ao Paulo stock exchange index, IBOVESPA, during periods of market turmoil. Our results indicate that the robust method based on quantile regression presents the least number of violations.
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    Extracting default probabilities from sovereign bonds
    (Sociedade Brasileira de Econometria, 2008-05-01) Meres, Bernardo; Almeida, Caio Ibsen Rodrigues de
    Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities of default play a central role in investors’ decisions. This article contributes by providing a parametric arbitrage-free dynamic model to estimate defaultable term structures of sovereign bonds. The proposed model builds on Duffie and Singleton’s (1999) general reduced-form model by proposing a piecewise constant structure for the conditional probabilities of defaults. Once an average recovery rate value is fixed for the whole market, the proposed model estimates implied probabilities of defaults from bond prices, working as a parsimonious tool to quantify investor’s perception of credit risk. We apply this methodology to analyze the behavior of default probabilities within the Brazilian sovereign fixed income market at three different recent economic moments.
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    Hyperinflation: inflation tax and economic policy regime
    (Sociedade Brasileira de Econometria, 2002-11-02) Barbosa, Fernando de Holanda
    This paper shows that price level indeterminacy in monetary models with multiple equilibria can be solved by the selection of an appropriate monetary policy regime, according to the demand elasticity of the real quantity of money with respect to inflation rate. Money is essential when this elasticity is less than one, in absolute value. In the monetary regime, in which the central bank controls money growth, hyperinflation does not occur when money is essential, but may occur when it is not. In the fiscal regime, typical of the 20th century's hyperinflation experiences, wherein the issuance of money is used to finance the public deficit, the hyperinflation of stationary equilibrium occurs when money is essential and the public deficit reaches a critical value. However, if money is not essential such equilibrium does not exist. The essentiality of money is therefore an important aspect to consider and should not be decided on the basis of merely theoretical arguments. The hypothesis that the social cost of hyperinflation is infinite cannot be rejected a priori, but it has to be tested by using inflation tax data from hyperinflation experiences.
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    Risk regulation in Brazil: a general equilibrium model
    (Sociedade Brasileira de Econometria, 2006-05-01) Araújo, Aloísio Pessoa de; Vicente, José
    In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover market and credit risks. The capital charge to cover market risk is a function of a metric known as Value-at-Risk (VaR). This paper investigates the consequences of such practices on prices, volatilities and bankruptcy probability by considering two features of the Brazilian framework: variable risk constraint multiplier and heterogeneous beliefs between financial institutions and regulating agencies.
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    On the statistical estimation of diffusion processes: a partial survey
    (Sociedade Brasileira de Econometria, 2004-11-02) Cysne, Rubens Penha
    Data available on continuous-time diffusions are always sampled discretely in time. In most cases, the likelihood function of the observations is not directly computable. This survey covers a sample of the statistical methods that have been developed to solve this problem. We concentrate on some recent contributions to the literature based on three different approaches to the problem: an improvement of the Euler-Maruyama discretization scheme, the employment of Martingale Estimating Functions, and the application of Generalized Method of Moments (GMM).
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    Using spatial covariance function for antitrust market delineation
    (Sociedade Brasileira de Econometria, 2009-05-01) Lucinda, Cláudio Ribeiro de; Barrionuevo Filho, Arthur
    In this paper, an estimation of a Spatial Covariance Function was proposed for determining the relevant geographic market for a merger. This methodology was applied to a proposed merger between two competing Brazilian supermarket chains. During this application, the shortcomings of the analysis carried out by the Brazilian Antitrust System were initially pointed out, including the geographic dimension of the relevant market, which was found to be separated in each municipality located on the shore of Sao Paulo state. The results, based on the estimated spatial covariance function using price data on 22 products in 43 supermarkets, indicate a single geographic market for all municipalities
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    Dynamic hedging with stochastic differential utility
    (Sociedade Brasileira de Econometria, 2006-11-01) Bueno, Rodrigo de Losso da Silveira
    In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two previous approaches. In all three cases, we assume Markovian prices. While stochastic differential utility (SDU) has an ambiguous effect on the pure hedging demand, it does decrease the pure speculative demand, because risk aversion increases. We also show that in this case the consumption decision is, in some sense, independent of the hedging decision. In the case of terminal wealth utility (TWU), we derive a general and compact hedging formula which nests as special cases all of the models studied in Duffie and Jackson (1990). In the case of the new utility transformation, we find a compact formula for hedging which encompasses the terminal wealth utility framework as a special case; we then show that this specification does not affect the pure hedging demand. In addition, with CRRA- and CARA-type utilities the risk aversion increases, and consequently, the pure speculative demand decreases. If futures prices are martingales, then the transformation plays no role in determining the hedging allocation. Our results hold for a number of different price distributions. We also use semigroup techniques to derive the relevant Bellman equation for each case.
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    Determinants of the differential pricing between voting and non-voting shares in Brazil
    (Sociedade Brasileira de Econometria, 2003-05-01) Saito, Richard
    Several papers suggest that private benefits can explain the differential pricing between share classes with differential voting rights. However, in Brazil the price differential between voting and non-voting shares has been negative for several companies between July 1994 and September 2002. This paper investigates the determinants that imply this discount of voting shares vis-à-vis non-voting shares. Particularly, the paper analyzes the impacts of liquidity, dividend differential, and recent changes in legislation of the Brazilian public equity market on the voting premium. This paper ratifies that liquidity is extremely relevant to the determination of relative prices. In addition, empirical evidence confirms a negative impact of Law 9457 - revoking voting minority shareholders' tag along rights - and a positive impact of the introduction of Law 10303 - reinstating those rights to minority voting shareholders. Finally, ownership structure confirmed a positive relationship with the voting premium, but the major shareholders' voting share participation has not presented a significant relationship as in other countries.
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    Estimating and forecasting the volatility of Brazilian finance series using arch models
    (Sociedade Brasileira de Econometria, 1999-05-01) Issler, João Victor
    The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian financial series using models of the ARCH class. Selected models are then compared regarding forecasting accuracy and goodness-of-fit statistics. To help understanding the empirical results, a self-contained theoretical discussion of ARCH models is also presented in such a way that it is useful for the applied researcher. Empirical results show that although all series share ARCH and are leptokurtic relative to the Normal, the return on the US$ has clearly regime switchlng and no asymmetry for the variance, the return on COCOA has no asymmetry, while the returns on the Cbond and Telebras have clear signs of asymmetry favoring the leverage effect. Regarding forecasting, the best model overall was the EGARCH(l,l) in its Gaussian version. Regarding goodness-of-fit statistics, the SWARCH model did well, followed closely by the Student-t GARCH(l,l).
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    Cournot competition under Knightian uncertainty
    (Sociedade Brasileira de Econometria, 1998-11-02) Boff, Hugo Pedro; Werlang, Sérgio Ribeiro da Costa
    This article applies a theorem of Nash equilibrium under uncertainty (Dow & Werlang, 1994) to the classic Cournot model of oligopolistic competition. It shows, in particular, how one can map all Cournot-Nash equilibria (which includes the cartel and the null solutions) to only a function of the uncertainty aversion coefficients of the producers. The effects of these parameters on the symmetric equilibrium quantities and output are examined in a comparative statics analysis, under two alternative assumptions: a closed market with an exogenous number of firms and a free-entry/exit regime. In both cases, a collusive effect of the uncertainty aversion on the production is obtained. Under rather few restrictive assumptions, there is a symmetric uncertainty aversion level for the producers at which their optimal quantities and the industry output become equal to the optimal counterpart cartel's outcomes. These results improve upon the literature on collusion since, in contrast to other analogous findings, they enhance that a cooperative cartel may be endogenously generated in a one-shot (noncooperative) game played by uncertainty averse producers. For the competitive case (under free-entry/exit) the paper shows that Cournotian competition among weakely or moderately uncertainty averse producers entails a higher industry output (if the market is large and/or entry is easy) and surely entails lower optimal quantities for the firms than those achieved under uncertainty neutrality. Thus, competition under free-entry/exit in a Knightian uncertainty environment should act to prevent monopoly power for the individual firms.
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    Estimating relative risk aversion, the discount rate, and the intertemporal elasticity of substitution in consumption for Brazil using three types of utility function
    (Sociedade Brasileira de Econometria, 2000-11-02) Issler, João Victor; Piqueira, Natália Scotto
    Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the Brazilian economy. Estimates are provided for three types of utility function based on the consumption capital asset pricing model: constant relative risk aversion utility, utility with external habit, and Kreps-Porteus utility. These results are analyzed and then compared to previous results using Brazilian and U.S. data. Moreover, we perform over-identifying restrictions tests of all estimated models to investigate the possible existence of the equity premium puzzle in Brazil. The overall results show that Brazilian consumers have a relatively high discount rate, a low intertemporal elasticity of substitution, and a high relative risk aversion coefficient. Also, there is no evidence of the existence of the equity premium puzzle in Brazil.
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    Are one-sided S,s rules useful proxies for optimal pricing rules?
    (Sociedade Brasileira de Econometria, 2000-05-01) Bonomo, Marco
    This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. IT aims to assess whether one-sided pricing rules could be an adequate individual rule for macroeconomic models, despite its suboptimality. It aims to answer two questions. First, since agents are not fully rational, is it plausible that they use such a non-optimal rule? Second, even if the agents adopt optimal rules, is the economist committing a serious mistake by assuming that agents use one-sided Ss rules? Using parameters based on real economy data, we found that since the additional cost involved in adopting the simpler rule is relatively small, it is plausible that one-sided rules are used in practice. We also found that suboptimal one-sided rules and optimal two-sided rules are in practice similar, since one of the bounds is not reached very often. We concluded that the macroeconomic effects when one-sided rules are suboptimal are similar to the results obtained under two-sided optimal rules, when they are close to each other. However, this is true only when one-sided rules are used in the context where they are not optimal.
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    Auctions of identical objects with single-unit demands: a survey
    (Sociedade Brasileira de Econometria, 1998-11-02) Menezes, Flavio Marques
    The theory of auctions of a single object generalizes to a situation where identical objects are sold either sequentially or simultaneously but individuals can only buy one object. In this context, I will present a survey of the main results regarding the ranking of auctions based on revenue, bidding behaviour, effects of entry fees and reserve prices, and other strategic issues.