Marcelo Bianconi

BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional emprical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate much more from the U.S. financial measure than BRIC bonds and stocks deviate among themselves. Stocks and bonds returns correlations for Brazil and Russia are significantly large and negative. The own correlations are more important in determining the evloution of the conditional correlations relative to unexpected news. Dynamic conditional correlations between stock returns, bond returns and U.S. financial stress increase after the Lehman Brothers event in September 2008, except for bond returns in India.

Cross-Listing Premium in the US and the UK Destination

This paper tests the main hypothesis that firms that cross-list have higher valuations, and provides evidence on the valuation effect of cross-listing on a major non-US market, the UK compared to the US market from source countries in the Asia-Pacific region in 2003-2004. We find evidence that there is a cross-listing premium in both markets. However, the evidence on whether the premium is significantly different in the two countries is mixed. Using univariate, OLS and random effects methods, we find some evidence that the premium in the US is higher, but using a treatment effect methodology we find that the difference is not robust.

International Effects of Government Expenditure in Interdependent Economies

A dynamic analysis of the international transmission of government expenditure shocks under alternative methods of finance is presented. The benchmark case of lump-sum tax financing yields an expansion in both the short-run and the long-run levels of domestic activity, while crowding out domestic consumption. Activity abroad declines in the short run, and while it is stimulated during the transition, long-run activity abroad also declines. With capital income tax financing, the accompanying distortion outweighs the direct expenditure effects, so that all these responses are reversed. Financing with a tax on labour produces ambiguous responses. The welfare implications of these policies are also examined.

Intertemporal budget policies in an endogenous growth model with nominal assets

Abstract Intertemporal budget policies are assessed in an endogenous growth model with nominal assets. The paper provides relative rankings of policies and policy instruments in terms of the tax liabilities of the private sector necessary to guarantee intertemporal government budget solvency and in terms of the welfare of the representative agent. The role of nominal assets is shown to be of relative importance.

Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

Fiscal policy in a simple two-country dynamic model

Abstract This paper analyzes the national and international effects of labor and capital income taxes in a two-country infinite-horizon perfect-foresight neoclassical model with endogenous labor supply and capital accumulation. Two polar regimes of capital income taxation are considered: the source-based and the residence-based. The qualitative effects of labor income taxes are shown to be independent of the taxation regime, whereas the effects of capital income taxes are not.

Firm value, the Sarbanes-Oxley Act and cross-listing in the U.S., Germany and Hong Kong destinations

This paper presents empirical evidence on the effects of the Sarbanes-Oxley Act of 2002 on the value of firms and on the cross-listing choice of firms destined to three major markets in North America, Asia and Europe. We use dynamic panel data methods and treatment effects methods and find that Sarbanes-Oxley has had a negative impact on the value of firms worldwide. Our evidence indicates that Sox may have segmented markets, with many lower valued firms destined to Hong Kong, thus crowding out the market where regulation is more stringent.

Private Information, Growth and Asset Prices with Stochastic Disturbances

We introduce both idiosyncratic and aggregate shocks in an endogenous growth model with endogenous partial insurance to the idiosyncratic shock. Aggregate uncertainty introduces an additional channel that can play an important role in determining the effects of private information on expected growth and asset prices. We show the impact of aggregate and idiosyncratic shocks on expected growth and on the variability of individual quantities and asset prices.

On dynamic real trade models

Abstract This paper examines the steady-state implications of differences in tax policies in an overlapping generations, two-country, two-good, dynamic model of international trade. It is also shown that, in the overlapping generations framework, production diversity along with factor-price equalization obtains in the long run.

Fiscal Policy and the Terms of Trade in an Analytical Two-Country Dynamic Model

This paper presents a two-country dynamic perfect foresight Ricardian model with wealth effects to study the relationship between government spending financed by alternative taxation, the terms of trade and welfare. An increase in domestic government spending financed by a distortionary capital income tax leads the real exchange rate initially to appreciate (a pure demand effect). But along the transitional path an intertemporal terms of trade effect (a supply side effect) operates and the real exchange rate depreciates to a steady state value ultimately higher relative to the initial equilibrium. The welfare of the domestic resident increases due to a reversed immiserizing growth effect.