Browsing FGV EPGE - Seminários de Almoço by Issue Date
Now showing items 1-20 of 64
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Payoff interdependence and information externalities
2000-01-14This paper studies entry under information and payoff externalities. We consider a sequential investment game with uncertain payoffs where each firm is endowed with a private signal about profitability. It is shown that ... -
Do insurance defrauders want to be punished?
2000-08-23We analyze a Principal-Agent model of an insurer who faces an adverse selection problem. He is unable to observe if his client has a high risk or a low risk of having an accident. At the underwriting of the contract, the ... -
Mid-auction information acquisition
2000-10-09This paper studies a model of a sequential auction where bidders are allowed to acquire further information about their valuations of the object in the middle of the auction. It is shown that, in any equilibrium where the ... -
Wage inequality and trade liberalization : evidence from Argentina
2000-11Wage inequality has increased substantially in Argentina during the nineties. At the same time during this decade Argentina has gone through a rapid and deep process of trade liberalization. In this paper we try to associate ... -
Robustness and stabilization properties of monetary policy rules in Brazil
2001-05Based on three versions of a small macroeconomic model for Brazil, this paper presents empirical evidence on the effects of parameter uncertainty on monetary policy rules and on the robustness of optimal and simple rules ... -
The time consistency of the Friedman rule
2001-07We consider the problem of time consistency of the Ramsey monetary and fiscal policies in an economy without capital. Following Lucas and Stokey (1983) we allow the government at date t to leave its successor at t + 1 a ... -
A comparison of test of non-linear cointegration with an application to the predictability of US interest rates using the term structure
2001-07We evaluate the forecasting performance of a number of systems models of US shortand long-term interest rates. Non-linearities, induding asymmetries in the adjustment to equilibrium, are shown to result in more accurate ... -
Endogenous borrowing constraints and default when markets are incomplete
2001-09-17Incomplete markets and non-default borrowing constraints increase the volatility of pricing kernels and are helpful when addressing assetpricing puzzles. However, ruling out default when markets are in complete is suboptimal. ... -
Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data
2002Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ... -
Debt management in Brazil: evaluation of the Real Plan and challenges ahead
2002The Brazilian domestic debt has posed two challenges to policy-makers: it has grown very fast and its maturity is extremely short. This has prompted fears that a default or a compulsory lengthening scheme would be imposed. ... -
Bank relationships: effect on the availability and marginal cost of credit for firms in Argentina
2002-02-06The paper provides evidence on what affects at the margin the cost and availability of bank credit for firms in Argentina. We study in particular how banks use different pieces of private and public information to screen ... -
Firm financial constraints and the impact of monetary policy: evidence from financial conglomerates
2002-02-12Building on recent evidence on the functioning of internal capital markets in financial conglomerates, this paper conducts a novel test of the balance sheet channel of monetary policy. It does so by comparing monetary ... -
Aggregate vs disaggregate data analysis: a paradox in the estimation of money demand function of Japan under the low interest rate policy
2002-03-13We investigate the issue of whether there was a stable money demand function for Japan in 1990's using both aggregate and disaggregate time series data. The aggregate data appears to support the contention that there was ... -
Public debt management, monetary policy and financial institutions
2002-05-28Despite the large size of the Brazilian debt market, as well the large diversity of its bonds, the picture that emerges is of a market that has not yet completed its transition from the role it performed during the ... -
A conditional likelihood ratio test for structural models
2002-05-29This paper develops a general method for constructing similar tests based on the conditional distribution of nonpivotal statistics in a simultaneous equations model with normal errors and known reducedform covariance matrix. ... -
On the efficiency of the Argentinean electricity wholesale market
2002-05-30This paper discusses two key aspects regarding the efficiency of the Argentinean Electricity Market. Using hourly data on prices, marginal costs, and operational status of generators, it will be argued that, unlike the ... -
Optimal growth in a two-sector model without discounting: a geometric investigation
2002-08-26We characterize optimal policy in a two-sector growth model with xed coeÆcients and with no discounting. The model is a specialization to a single type of machine of a general vintage capital model originally formulated ... -
Co-ordination failure, moral hazard and sovereign bankruptcy procedures
2002-09-02We study a model of sovereign debt crisis that combines problems of creditor coordination and debtor moral hazard. Solving the sovereign debtor's incentives leads to excessive 'rollover failure' by creditors when sovereign ... -
Evidence on the relationship between incentives and exogenous risk
2002-09-26Theoretical models on moral hazard provide competing predictions on the incentive-risk relationship. These predictions are derived under the assumptions of homogeneous agents and exogenous risk. However, the existing ...
