1,118 research outputs found
Representing Roomates' Preferences with Symmetric Utilities
Full text linkIn the context of the stable roommates problem, it is shown that acyclicity of preferences is equivalent to the existence of symmetric utility functions, i.e. the utility of agent i when matched with j is the same as j 's utility when matched with i .
Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans
Full text linkA large body of literature has stressed the institution-development nexus as critical in explaining differences in countries' economic performance. The empirical evidence, however, has been mainly at the aggregate level, associating macro performance with measures of quality of institutions. This paper, by relating a judicial decision on the legality of payroll debit loans in Brazil to bank-level decision variables, provides micro evidence on how creditor legal protection affects market performance. Payroll loans are personal loans with principal and interests payments directly deducted from the borrowers' payroll check, which, in practice, makes a collateral out of future income. In June 2004, a high-level federal court upheld a regional court ruling that had declared payroll deduction illegal. Using personal loans without payroll deduction as a control group, we assess whether the ruling had an impact on market performance. Evidence indicates that it had an adverse impact on risk perception, interest rates, and amount lent.
Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates
Full text linkThis paper examines the information content of COPOM decisions to change or to leave unchanged monetary policy by estimating the responses of the term structure to changes in the target for interest rates on COPOM meeting days. Within an event-study approach the evidence suggests that market participants anticipate, at least partially, monetary policy actions. Furthermore, it is found that the introduction of the floating exchange and inflation-targeting regime has had a dampening effect on interest rate surprises along the term structure.
Characterization and Identification of Programming Languages
Full text linkThis paper presents and discusses a research work whose main goal is to identify which characteristics influence the recognition and identification, by a programmer, of a programming language, specifically analysing a program source code and its linguistic style. In other words, the study that is described aims at answering the following questions: which grammatical elements - including lexical, syntactic, and semantic details - contribute the most for the characterization of a language? How many structural elements of a language may be modified without losing its identity? The long term objective of such research is to acquire new insights on the factors that can lead language engineers to design new programming languages that reduce the cognitive load of both learners and programmers. To elaborate on that subject, the paper starts with a brief explanation of programming languages fundamentals. Then, a list of the main syntactic characteristics of a set of programming languages, chosen for the study, is presented. Those characteristics outcome from the analysis we carried on at first phase of our project. To go deeper on the investigation we decided to collect and analyze the opinion of other programmers. So, the design of a survey to address that task is discussed. The answers obtained from the application of the questionnaire are analysed to present an overall picture of programming languages characteristics and their relative influence to their identification from the programmers’ perspective
Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets
Full text linkThis paper brings evidences about the hypotheses of financial crisis contagion over Latin American stock markets in the 90's using a multivariate GARCH model. Beside the traditional volatility structure, we added a leverage term like GJR framework in order to avoid problems due to the use of conditional correlation as a measure of relationship between stock markets. The results show the existence of contagion only during the Asian (1997) and the Russian (1998) crises. The consequences of the Brazilian crisis (1999) can be identified as a result of interdependence among Latin American markets, while the crises of Mexico (1994) and Argentina (2001) show a specific mechanism of propagation. This result raises questions about the "contagion" and "interdependence" concepts' adequacy for the analysis of information transmission among stock markets.
Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling
Full text linkAs in any Monte Carlo application, simulation option valuation produces imprecise estimates. In such an application, Descriptive Sampling (DS) has proven to be a powerful Variance Reduction Technique. However, this performance deteriorates as the probability of exercising an option decreases. In the case of out of the money options, the solution is to use Importance Sampling (IS). Following this track, the joint use of IS and DS is deserving of attention. Here, we evaluate and compare the benefits of using standard IS method with the joint use of IS and DS. We also investigate the influence of the problem dimensionality in the variance reduction achieved. Although the combination IS+DS showed gains over the standard IS implementation, the benefits in the case of out-of-the-money options were mainly due to the IS effect. On the other hand, the problem dimensionality did not affect the gains. Possible reasons for such results are discussed.
Credit Channel with Sovereign Credit Risk: an Empirical Test
Full text linkAccording to Bernanke and Gertler (1995), the Credit Channel amplifies the traditional monetary transmission and this amplification effect comes through the firm's external finance premium, which is a wedge between the expected return for the funds generated internally and the costs of funds raised externally to the firm. Traditionally, this wedge is the bank loan spread but we extend this concept to include the sovereign (country) credit risk and name it, Extended Credit Channel. Armed with this new concept and using a set up model, we estimate two econometric equations for the Brazilian economy after its inflation stabilization program . These two econometric equations measure: (1) the effects of the pure money channel (real interest rates and compulsory reserve requirements on demand deposits) and the extended credit channel (country credit risk and bank loan spread) on the economy's production, and (2) the impacts of the real interest rates, compulsory reserve requirements on demand deposits, and country credit risk on the bank loan spread. Both equations coefficients signs conform to the expected theoretical model. With the results of the estimated equation (1), we define a Product Loss Index Number to compare these two transmission channels (extended credit and pure monetary). This comparison shows that the extended credit channel is a relevant as the pure monetary channel.
Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility
Full text linkThis paper assesses the challenges faced by the inflation-targeting regime in Brazil. The confidence crisis in the future performance of the Brazilian economy and the increase in risk aversion in international markets were responsible for a sudden stop of capital inflows in 2002 that caused a significant depreciation of the exchange rate. The inflation-targeting framework has played a critical role in macroeconomic stabilization. We stress two important challenges: construction of credibility and exchange rate volatility. The estimations indicate the following results: i) the inflation targets have worked as an important coordinator of expectations; ii) the Central Bank has reacted strongly to inflation expectations; iii) there has been a reduction in the degree of inflation persistence; and iv) the exchange rate pass-through for "administered or monitored" prices is two times higher than for "market" prices.
On the Information Content of Oil Future Prices
Full text linkThis paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the explanation power is not high (around 20%). Furthermore, using cointegration techniques the unbiasedness hypothesis for future prices as predictors of realized spot prices could not be rejected. When the sample is divided into sub-periods, the absence of bias in futures prices is rejected.
On Shadow-Prices of Banks in Real-Time Gross Settlement Systems
Full text linkI model the functioning of real-time gross settlement systems for large-value interbank transfers as a linear programming problem in which queueing arrangements, splitting of payments, Lombard loans, and interbank credit exposures arise as primal solutions. Then I use the dual programming problem associated with the maximization of the total flow of payments in order to determine the shadow-prices of banks in the payment system. We use these shadow-prices to set personalized intraday monetary policies such as reserve requirements, availability of Central Bank credit to temporarily illiquid banks, extension of intraday interbank credit exposures, etc., so as to make the payment system more efficient and less costly in terms of systemic liquidity. The dual approach shows us how to make banks correctly internalize the intraday network externalities they create in the real-time gross settlement system and provides an objective standard for the daily microprudential surveillance of the payment system.
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