Coleção Insper Business and Economics Working Papers
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/5740
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Resultados da Pesquisa
Working Paper Analyzing determinants of foreign credit demand for sovereign bonds*(2021) Silva, Victor Hugo C. Alexandrino da; Drzeviechi, Maria Clara; Garcia, Gabriella; Netto, Augusto A. S.This paper aims to investigate the economic determinants of foreign credit demand for sovereign bonds in selected emerging and advanced countries. Furthermore, it is an objective to understand what causes a greater impact on this demand: the country’s domestic macroeconomic fundamentals or the external global environment. To this end, using data on share of foreign demand for sovereign bonds, an econometric analysis will be conducted with panel data from 2004 to 2019 for 45 emerging and advanced markets. The main findings show that both domestic fundamentals and the external environment affect the foreign participation in sovereign debt, but results vary depending on the degree of development and the channel through each variable affect our dependent variable. We find that domestic fundamentals seem to be related with the increase in foreign participation for both group of economies, but with different magnitudes and interpretation. For some variables, it is more related to the foreign demand of sovereign bonds and, for others, associated with the bond supply. The degree of development also seems to be important to the external environment. For some variables (US nominal interest rate), the ’search for yield’ plays a major role for the bond demand. But, for others (as the FX volatility and the VIX Index), the global demand is related with foreign investors’ risk aversion. Finally, we found that, in times of global turmoil, domestic fundamentals matter less for foreign attractiveness than in times when the global volatility is low.Working Paper Appropriability and Complementarities in a Fragile Patent System: Evidence from Brazilian Manufacturin(2013) Barros, Henrique MachadoWorking 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 The Usefulness of Financial Variables in Predicting Exchange Rate Movements(2013) Rossi Junior, Jose LuizThis paper studies the predictive power of several financial variables usually used as proxies for global liquidity, volatility, and risk aversion in forecasting exchange rates for a set of countries from January 2001 to April 2013. The results indicate that changes in the long-term interest rate, in the VIX, in the high yield spread, and in the market liquidity indicators have strong in-sample and out-of-sample predictive power with respect to exchange rates. The results indicate that the relationship between the financial variables and the exchange rate is relatively stable. The paper shows that the predictability of the models is persistent over time and does not depend on the choice of the window size adopted in the forecasting exercises.Working Paper Replacement Cycles, Income Distribution, and Dynamic Price Discrimination(2013) EDUARDO CORREIA DE SOUZA; Batista, Jorge ChamiWorking Paper Management of Intellectual Property in Brazilian Universities: a Multiple Case Study(2013) Pojo, Sabrina Da Rosa; Vidal, Valéria Schneider; Zen, Aurora Carneiro; Barros, Henrique MachadoOriginally established to incentivize individual inventors the patent system became broadly used by corporations, and has been increasingly used by universities worldwide. In Brazil, this is not different; especially in recent years when public policy has attempted to more directly foster innovation in the country. However, little is known as to the extent that universities in Brazil are able to coordinate patent-related activities and to facilitate knowledge transfer. On the basis of multiple case studies this paper explores how publicly-funded universities in Brazil are equipping themselves to deal with intellectual property rights (IPR) as well as technology licensing. The studied cases suggest that despite significant amount of patents applications, Brazilian universities present many differences in the management of their intellectual property. In particular, universities’ TTOs seem to play a central role in university productivity when it comes to patenting and knowledge transfer.Working Paper Trade, structural transformation and growth in China(2013) Ferreira, Pedro Cavalcanti; MARCELO RODRIGUES DOS SANTOS; Silva, Leonardo Fonseca daChina's recent performance in economic growth was characterized by high investment rate, increase in international trade, strong productivity growth in agriculture and nonfarm sectors and the reallocation of labor across sectors. We present a standard dynamic general equilibrium model of structural transformation for the Chinese economy to assess the contributions of the main drivers for the Chinese economic development. Our paper di§ers from other contributions to the literature by adding an external sector to the general equilibrium model of structural transformation. By doing that, we are able to estimate the contribution of trade to the economic development of China. We estimate that the contribution of trade to Chinaís economic growth was 26% of total economic growth during the period from 1980-2005. Moreover, the agricultural sector explained 27% of Chinese economic performance from 1980 to 2005.Working Paper Liquidity and Exchange Rates(2013) Rossi Júnior, José LuizThis paper studies the predictive power of several proxies for liquidity in forecasting exchange rates for a set of countries from January 2001 to April 2013. The results indicate that changes in funding liquidity of U.S. financial intermediaries impact exchange rates around the globe; however, the type of funding and its relevance in explaining exchange rate movements vary across time. Public liquidity represented by U.S. monetary aggregates is not robustly significant in forecasting exchange rate changes across time, countries or forecasting horizons. By contrast, the long-term interest rate and risk taking indicators have robust in-sample and out-of-sample predictive power with respect to exchange rates. Finally, the paper confirms that dynamic factors extracted from a panel of several liquidity indicators are useful in predicting exchange rate movements.Working Paper Structure and causality relations in a global network of financial companies(2013) Sandoval Junior, LeonidasThis work uses the stocks of the 197 largest companies in the world, in terms of market capitalization, in the financial area in the study of causal relationships between them using Transfer Entropy, which is calculated using the stocks of those companies and their counterparts lagged by one day. With this, we can assess which companies influence others according to sub-areas of the financial sector, which are banks, diversified financial services, savings and loans, insurance, private equity funds, real estate investment companies, and real estate trust funds. We also analyzed the causality relations between those stocks and the network formed by them based on this measure, verifying that they cluster mainly according to countries of origin, and then by industry and sub-industry. Then we collected data on the stocks of companies in the financial sector of some countries that are suffering the most with the current credit crisis: Greece, Cyprus, Ireland, Spain, Portugal, and Italy, and assess, also using transfer entropy, which companies from the largest 197 are most affected by the stocks of these countries in crisis. The intention is to map a network of influences that may be used in the study of possible contagions originating in those countries in financial crisis.Working Paper Ignorance and Competence in Choices Under Uncertainty(2013) Casaca, Paulo; Chateauneuf, Alain; JOSÉ HELENO FARO