Jaime de Jesus Filho

The Feldstein-Horioka puzzle in South American countries:a time-varying approach

Inasmuch as the investment-savings correlation is related to capital immobility and each country has specific and time-varying capital account liberalization and financial deregulation processes, we might not expect a constant and identical correlation for a group of countries. We performed both a constant (OLS) and a time-varying (Kalman filter) estimation of the investment-savings coefficient for Argentina, Brazil and Chile. As expected, the time-varying model presented a better fit, but our findings suggested that the investment-savings correlation is a misleading measure of capital mobility.

Social security effects on income distribution: a counterfactual analysis for Brazil

One of the reasons for the existence of social security systems is that they function as an income redistribution mechanism (Diamond, 1977). Nevertheless, there is no obvious consensus about this social security property. We test it to the Brazilian case and try to answer an additional question: is the trend of social security systems increasingly progressive or regressive? We conclude that the changes in Brazilian Social Security legislation reduced inequality between 1987 and 1996, but only for the elderly. For the other age groups, there is a stable trend. Results for the period between 1996 and 2006 reveal that the Brazilian system is neutral for all cohorts.

Further investigation of the uncertain trend in US GDP

The presence of deterministic or stochastic trend in US GDP has been a continuing debate in the literature of macroeconomics. Ben-David and Papell (1995) found evidence in favour of trend stationarity using the secular sample of Maddison (1991). More recently, Murray and Nelson (2000) correctly criticized this finding arguing that the Maddision data are plagued with additive outliers (AO), which bias inference towards stationarity. Hence, they propose to set the secular sample aside and conduct inference using a more homogeneous but shorter time-span post-WWII sample. In this article we re-visit the Maddison data by employing a test that is robust against AOs. Our results suggest the US GDP can be modelled as trend stationary process

Forward-premium puzzle: is it time to abandon the usual regression?

ABSTRACT The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term is missing from the equation if speculation in foreign exchange markets is risky. We deal with this issue following the literature which assumes that discounted returns on foreign government bonds are log-normal, so we can linearize the Euler pricing equations (in level) and obtain a modified UIP system for which the risk adjustment term is obtained by applying to the pricing kernel-based relations a generalized autoregressive conditional heteroscedasticity-in-mean model. However, here we innovate by adopting a methodology which differs from all these related works. We construct and use a stochastic discount factor that does not depend on a specific model, by residing in the space of returns which we extract from the data by simply imposing the orthogonality restrictions represented by the Euler equations. So, we devise a purely statistical pricing kernel that performs well in in-sample level equations. Somewhat disappointingly, the risk premium inclusion in the conventional regression changes neither the significance nor the magnitude of the forecasting power of the forward premium for most currencies we study. The contrasting performance of the tests in level and in logs suggests that linearization may be to blame.

UM ESTUDO EMPÍRICO UTILIZANDO O ÍNDICE DE OPORTUNIDADE HUMANA PARA O BRASIL

Development of the various skills of an individual can often is associated with unequal access to a set of opportunities during childhood as a result of social choices in addition to circumstances beyond their control to born. In these terms, and aiming to project long-term public policies, I developed the Human Opportunity Index (HOI), summary indicator of the coverage of basic goods and services of inequalities of opportunities for children with having parameters predetermined circumstances. The data used are from the National Household Sample Survey (PNAD) of IBGE for Brazil in the years 2001-2011. Were listed eight indicators of basic services being five housing dimension and three educational from seven variables circumstances. The results show diversity the opportunities besides in an expansion rates of coverage of the network access, notwithstanding differences between the groups in different circumstances.