Export Performance of Brazilian States to Mercosul and Non-Mercosul Partners

ABSTRACT

We investigate the role of the trade-weighted real exchange rate and foreign income on the export performance of Brazilian states, differentiating between Mercosur and non-Mercosur partners. The results indicate that state exports are price and income inelastic. There are differences in the influence of the different trade factors between the two groups of partners. One crucial difference is the relevance of the real exchange rate effect for non-Mercosur partners. This might be associated with the existence of specific rules for Mercosur that can overcome the usual effect of relative competitiveness associated with movements in the real exchange rate.     

Protecting software development projects against underestimation

When a project in progress has been seriously underestimated, it is essential to figure out how much additional effort is required to complete it within its original scope and delivery date. This article posits that project contingencies should be based on the amount it will take to recover from the underestimation, and not on the amount that would have been required had the project been adequately planned from the beginning, and that these funds should be administered at the portfolio level. A model to calculate the required funds is developed.     

Performance pay and productivity of low- and high-ability workers

Existing literature has mainly focused on analyses of the overall effect of a change in the incentive scheme. Lazear (Lazear, E., 2000, “Performance pay and productivity”, American Economic Review, 90, 1346–1361.), for example, estimates the average increase in productivity after a firm switches from an hourly-wage scheme to a piece-rate plus basic-wage scheme. His paper does not, however, account for the fact that many workers remained within the basic-wage range after the change was made in the incentive scheme. In the present paper we explore how the incentive effect might have been different for those workers seeking the basic wage, and those workers seeking the piece-rate component of the wage. Interestingly, the change in productivity is approximately the same in percentage terms for both types of workers.     

Pricing Participating Inflation Retirement Funds Through Option Modeling and Copulas

Abstract

Pension plans and life insurances offering minimum performance guarantees are very common worldwide. In the Brazilian market, the customers of a common type of defined contribution plan have the right to receive, over their savings, the positive difference between the return of a specified investment fund, usually a fixed income fund, and the minimum guaranteed rate, commonly defined as the composition of a fixed interest rate and a floating inflation rate. This instrument can be characterized as an option to exchange one asset, the minimum guaranteed rate, for another, the return of the specified investment fund. In this paper we provide a closed formula to evaluate this liability that depends on two stochastic rates assuming bivariate normality. We also explore the use of copulas for the modeling of the dependence structure and price the options using Monte Carlo simulation to compare the effects of the copula specification in their values. An application with real data is provided. The model makes use of a one-factor Vasicek framework for the term structures of interest rate and inflation rate.     

A No‐Arbitrage Fractional Cointegration Model for Futures and Spot Daily Ranges

The no‐arbitrage relation between futures and spot prices implies an analogous relation between futures and spot daily ranges. The long‐memory features of the range‐based volatility estimators are analyzed, and fractional cointegration is tested in a semi‐parametric framework. In particular, the no‐arbitrage condition is used to derive a long‐run relationship between volatility measures and to justify the use of a fractional vector error correction model (FVECM) to study their dynamic relationship. The out‐of‐sample forecasting superiority of FVECM, with respect to alternative models, is documented. The results highlight the importance of incorporating the long‐run equilibrium in volatilities to obtain better forecasts, given the information content in the volatility of futures prices. © 2011 Wiley Periodicals, Inc. Jrl Fut Mark 33:77–102, 2013     

Estimating time-varying variances and covariances via nearest neighbour multivariate predictions: applications to the NYSE and the Madrid Stock Exchange Index

In this article, we present a technique to obtain the time-varying covariance matrix for several time series for nearest neighbour predictors. To illustrate the use of this technique, we analyse the time-varying variances and correlations between the daily returns on two equity stock market indexes, the New York Stock Exchange and the Madrid Stock Exchange Index.     

Trade and the Effect of Public Investment on Regional Inequalities in Heterogeneously Integrated Areas

Regional integration, it is argued, challenges the distribution of economic activity among regions. However, the government role in shifting the patterns of regional inequalities is still under debate and has received small comprehensive empirical evidence. This paper examines the hypothesis of trade as channelling public investment and, thus, perpetuating regional inequalities. We argue that the interplay of public and private investment plays a key role in stimulating trade and economic activity. To avoid problems of cross‐country heterogeneity and comparability this study examines data for two countries; Mexico and Spain, both followers of trade integration arrangements. Findings indicate that regional inequalities in Mexico are significantly explained by differences in export capacity serving to boost private investment whereas inequalities in Spain are appreciably driven by previous endowments and private capital formation.     

European Periphery Crises,International Financial Markets,and Democracy

This article analyzes the origin and causes of the recent economic and financial crises, mainly for the countries located in the periphery of the European Union (EU), as well as their evolution and transformation into social, political, and institutional crises. After explaining the differential impact of the crises on EU economies, we analyze how the economic policies developed thus far not only are unable to resolve the current crisis pattern but also actually entail a risk to the present democratic models by transferring the legitimate control over governments from citizens and democratic parliaments to unelected, nonrepresentative international financial markets.     

Sequential Betting Behavior: A Test of Asymmetric Inconsistencies in Group Decision Making

Previous research has shown that individual decision makers tend to bet more than initially planned after experiencing a loss but not after a gain. This research tests whether groups in consensus decision‐making contexts also demonstrate similar asymmetric inconsistencies. Two experiments, one at the individual level and one with three‐person groups, were carried out based on a gambling‐type betting task. Although individuals planned more conservatively than groups regarding their betting behavior after the first outcome, both individuals and groups misestimated their own betting behavior after losses but not after gains. Negative, but not positive, emotional reactions to previous decision outcomes were also misestimated, leading to incorrect predictions of future behavior. Implications for theory and future research are discussed.