Coleção Insper Business and Economics Working Papers
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740
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14 resultados
Resultados da Pesquisa
Working Paper Rational Sunspots(2016) Ascari, Guido; Banomolo, Paolo; HEDIBERT FREITAS LOPESThe instability of macroeconomic variables is usually ruled out by rational expectations. We propose a generalization of the rational expectations framework to estimate possible temporary unstable paths. Our approach yields drifting parameters and stochastic volatility. The methodology allows the data to choose between diferent possible alternatives: determinacy, indeterminacy and instability. We apply our methodology to US inflation dynamics in the '70s through the lens of a simple New Keynesian model. When unstable RE paths are allowed, the data unambiguously select them to explain the stagflation period in the '70s. Thus, our methodology suggests that US inflation dynamics in the '70s is better described by unstable rational equilibrium paths.Working Paper Credit rating de empresas não financeiras: um estudo comparative entre Brasil e Estados Unidos(2016) Carvalho, Davih; Martins, Sergio Ricardo; ADRIANA BRUSCATO BORTOLUZZOO presente trabalho tem como objetivo verificar os principais determinantes do rating de sociedades anônimas de capital aberto não financeiras no Brasil e nos Estados Unidos, listadas na BM&FBOVESPA e NYSE respectivamente, e comparar e fundamentar seus resultados. Para tanto, foi utilizado o modelo Probit ordinal em painel, buscando explicar a formação do rating das empresas. Dentro do escopo das variáveis explicativas contábeis das companhias, pôde-se concluir que as agências de rating dão significância a determinantes similares em ambos os mercados, demonstrando consistência metodológica e conexão entre os mercados financeiros brasileiro e americano.Working Paper Estudo da predisposição individual para compartilhar conhecimento gerencial: o contexto intraorganiacional de equipes de projeto(2016) CARLA SOFIA DIAS MOREIRA RAMOS; ADRIANA BRUSCATO BORTOLUZZO; Giovanini, Jislaine Rosa Santana; DANNY PIMENTEL CLAROO compartilhamento de conhecimento é, de acordo com uma visão da empresa baseada no conhecimento, uma atividade chave para garantir competitividade. Motivar os colaboradores a buscar esse compartilhamento é um desafio particularmente relevante para empresas que operam numa lógica equipes de projeto. O objetivo deste trabalho consiste em identificar os fatores internos e externos ao individuo que influenciam a predisposição individual para o compartilhamento de conhecimento em ambiente intra-organizacional de equipes de projeto. Identificam-se quatro dimensões chave: a atitude e comportamento do indivíduo, a colegialidade entre membros de equipe, o apoio dado pelos gestores, e a centralidade na rede de relacionamentos do indivíduo. Dez hipóteses são propostas e testadas através de metodologia quantitativa, combinando análise de redes interpessoais e regressão econométrica. O fenómeno é estudado numa base de 121 participações individuais num total de 20 projetos realizados ao longo de dois anos na sucursal de uma empresa multinacional do setor de energia e automação industrial. Observou-se que os fatores que mais impacto têm sobre a predisposição individual para compartilhar conhecimento em equipes de projeto são de natureza tanto intrínseca como extrínseca ao indivíduo e que para além de um efeito direto sobre essa predisposição, se verídica na maioria dos casos também um efeito indireto. O estudo contribui para um melhor entendimento do compartilhamento de conhecimento em ambiente específico de equipes de projeto, permitindo ainda aos gestores uma promoção estratégica de mecanismos que estimulam a desejado fluidez do conhecimento entre membros de equipes de projeto.Working Paper Estudo de modelos de apreçamento de ativos de risco antes e depois da crise financeira de 2008 no mercado brasileiro(2016) ADRIANA BRUSCATO BORTOLUZZO; Venezuela, Maria Kelly; Bortoluzzo, Maurício Mesquita; Nakamura, Wilson ToshiroEste artigo faz um estudo comparativo entre três modelos de apreçamento de ativos de risco, o CAPM de Sharpe-Lintner, o modelo de 3 fatores de Fama e French e o modelo de 4 fatores de Cahart. Apresentamos uma metodologia de alocação dos ativos nas carteiras para mercados emergentes. Diferente de estudos anteriores, o foco da comparação dos modelos está em suas capacidades de previsão. O período foi subdividido para tornar possível a análise dos desempenhos nos períodos da crise financeira de 2008, anterior e posterior à crise. Os resultados apontam para um melhor desempenho dos modelos multifatoriais em todos os períodos. Para o período pós-crise, o modelo de 4 fatores apresenta uma melhora de 36,85% na qualidade de previsão comparado ao modelo de 3 fatores.Working Paper Semi-parametric inference for the means of heavy-tailed distributions(2016) Taddy, Matt; HEDIBERT FREITAS LOPES; Goldberg, David; Gardner, MattHeavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases and risks associated with the misuse of standard tools. This article outlines a procedure for inference about the (possibly conditional) mean of a heavy tailed distribution that combines nonparametric inference for the bulk of the support with parametric inference – motivated from extreme value theory – for the heavy tail. We are able to derive analytic posterior conditional means and variances for the expected value of a heavy tailed distributivo. We also introduce a simple and novel independence Metropolis Hastings algorithm that samples from the distribution for tail parameters via small adjustments to a parametric bootstrap, and through this algorithm are able to provide comparisons between our framework and frequentist semiparametric inference. We also provide a modeling extension that shrinks tails across distributions to an overall background tail. We illustrate on two examples: treatment effect estimation on a set of 72 A/B experiments, and the fitting of regression trees for prediction of user spending. Both use data from tens of millions of users of eBay.com.Working Paper Cholesky Realized Stochasti Volatility Model(2016) Shirota, Shinichiro; Omori, Yashiro; HEDIBERT FREITAS LOPES; Piao, HaixiangMultivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate using only daily asset returns and (2) estimated covariance matrices are not guaranteed to be positive definite. Our approach takes advantage of realized covariances to attain the efficient estimation of parameters by incorporating additional information for the co-volatilities, and considers Cholesky decomposition to guarantee the positive definiteness of the covariance matrices. In this framework, we propose a flexible modeling for stylized facts of financial markets such as dynamic correlations and leverage effects among volatilities. Taking a Bayesian approach, we describe Markov Chain Monte Carlo implementation with a simple but efficient sampling scheme. Our model is applied to nine U.S. stock returns data, and the model comparison is conducted based on portfolio performances.Working Paper Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models(2016) Kastner, Gregor; Frühwirth-Schnatter, Sylvia; HEDIBERT FREITAS LOPESWe discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, 2011) to substantially accelerate convergence and mixing of standard MCMC approaches. Similar to marginal data augmentation techniques, the proposed acceleration procedures exploit non-identifiability issues which frequently arise in factor models. Our new interweaving strategies are easy to implement and come at almost no extra computational cost; nevertheless, they can boost estimation efficiency by several orders of magnitude as is shown in extensive simulation studies. To conclude, the application of our algorithm to a 26-dimensional exchange rate data set illustrates the superior performance of the new approach for real-world data.Working Paper General Equilibrium Option Pricing under Counter-Cyclical Growth and Long-Run Risk(2016) Hore, Satadru; HEDIBERT FREITAS LOPES; McCulloch, RobertPut option prices are counter-cyclical. We build a general equilibrium model based on Duffie-Epstein preferences and Ak production function that delivers a model of put option prices that captures both time-series and cross-sectional properties of relative put option prices. When estimated with US aggregate consumption data and S&P 500 index options using Bayesian MCMC, we confirm our theory that agents have elasticity of intertemporal substitution greater than 1 which confirms the substitution effect, and put option prices reveal the underlying counter-cyclical economic state. The underlying economic dynamics, when combined with long-run risk nature of Duffie-Epstein preferences, can match the time-series and cross-section of US option prices with our theory.Working Paper Economic Incentives or Communication: How Different Are their Effects on Trust(2016) TATIANA IWAI; PAULO FURQUIM DE AZEVEDOThis study investigates the effects of economic incentives and communication on the cognitive and behavioral responses after an alleged trust violation. We argue that these responses depend on the type of solution used to foster cooperation between agents. On the cognitive level, we compare the effects that structural (economic incentives) and motivational (communication) solutions exert on trusting beliefs and trusting intentions after an adverse event. On the behavioral level, we compare these effects on the willingness to bear risk. Our experiment shows that, after a negative event, relationships wherein communication is used to foster cooperation are associated to greater external causal attribution, greater perceived benevolence/integrity, and greater willingness to reconcile and to accept risks related to other's behavior. These findings suggest that relationships based on motivational solutions are more resilient to negative events than one based on structural solutions.Working Paper Policy Interventions to Favor Small Firms in Public Contracting: Effects on Public Value Creation and Firm Level Outcomes(2016) SANDRO CABRALThis paper analyzes how capabilities can attenuate the pervasive effects of policy interventions to favor small firms (SMEs) in public contracting. Results obtained from a quasi-experiment in Brazil comprising 1472 service contracts show that public officer’s contract-management capabilities can moderate the effects of policy interventions and promote cost savings, increased responsiveness (government-level outcomes), and enhanced buyer-supplier coordination when favored firms are successful in public contracting. Execution capabilities of private suppliers can also attenuate the undesired side-effects of policy interventions on firm level outcomes, by moderating the severity of sanctions due to deficient provision. The paper highlights the mechanisms for leveraging performance in public-private interactions. By focusing on the interactions between public and private actors in public contracting, the study adds to the current knowledge of strategic management in the context of public organizations by demonstrating how capabilities can reconcile conflicting goals despite inherent contract incompleteness and bureaucratic rigidity.