Nesta tese são desenvolvidos três estudos sobre as reservas internacionais brasileiras, utilizando diferentes técnicas econométricas, com o objetivo de determinar a influência de medidas absolutas e relativas de reservas sobre o rating soberano de crédito e o spread soberano, bem como o nível adequado para garantir a liquidez externa. As análises foram feitas com dados mensais do período jan/2000-jun/2008. No primeiro estudo, mostrou-se que diferentes medidas de reservas internacionais apresentam efeito significativo na explicação do rating soberano de crédito, através de modelos ordered logit para a média dos ratings emitidos pelas três principais agências (Moody's, Standard & Poors e Fitch). Entretanto, o indicador de maior poder explicativo não foi o nível absoluto de reservas, mas a razão entre dívida pública externa líquida e PIB. Outras variáveis de destacada importância na maioria dos modelos foram o percentual da dívida interna de curto prazo, investimento estrangeiro direto/PIB e inflação. Variáveis tradicionalmente utilizadas como indicadores de liquidez, como razão reservas/importações e conta corrente/PIB, não foram significativas na maioria dos modelos. Os resultados confirmam os indícios contidos no discurso das agências de rating, quanto à importância das reservas internacionais em sua avaliação, embora alertando que outras variáveis, como perfil de endividamento do governo e perspectivas de crescimento, são também fundamentais. O segundo estudo de caso encontrou relação significativa entre as reservas internacionais e o spread soberano, através de modelos de correção de erros. O efeito estimado do rating soberano foi não-significativo ou pouco explicativo, comparado aos fundamentos, provavelmente devido à volatilidade do spread soberano em resposta a variações nas condições do mercado, ao contrário do rating. O melhor modelo obtido utilizou o nível absoluto de reservas, evidenciando também efeitos significativos da aversão global ao risco, taxas de juros internacionais e crises políticas internas. Os resultados desse estudo indicam custo marginal decrescente das reservas internacionais e a necessidade de considerá-lo endógeno em modelos de minimização de custos para determinação do nível ótimo de reservas. O terceiro estudo implementou a metodologia de Liquidity-at-Risk sugerida por Greenspan (1999) para avaliar a adequação do nível de reservas internacionais para a manutenção da liquidez externa. Para a medida de liquidez reservas/dívida externa de curto prazo (razão de Guidotti), estimou-se que o nível de reservas internacionais mantidas pelo Brasil em jun/2008 (US$200 bilhões) era aproximadamente o dobro do necessário para garantir uma razão de Guidotti superior a 1, com 99% de probabilidade, durante 24, 36 ou 48 meses. Em diversos cenários alternativos de percentual das dívidas externa e interna de curto prazo, meta de superávit primário, índice de aversão ao risco e taxas de juros externas, as reservas iniciais necessárias situaram-se em US$85-105 bilhões. A análise de custos revela que o aumento das reservas diminui os juros médios da dívida, embora efeito maior pudesse ser alcançado através do aumento do superávit primário. As evidências sugerem que a motivação das autoridades brasileiras para a manutenção de reservas em torno de US$200 bilhões não é puramente precaucionária, admitindo as hipóteses de ganho de credibilidade e flexibilidade para a execução da política fiscal. / This thesis developed three case studies on the Brazilian international reserves, using various econometric techniques in order to determine the influence of absolute and relative measures of reserves over both the sovereign credit rating and the sovereign spread, as well as to assess the adequate reserves level to ensure external liquidity. Analyses were carried out on monthly data from Jan/2000 to Jun/2008. The first case study found significant effects of different reserves measures in explaining the sovereign credit rating, by fitting ordered logit models to the average of the ratings issued by the three main agencies (Moody's, Standard & Poors and Fitch) for the Brazilian long term external debt. However, the best explaining variable was not the absolute level of reserves, but the ratio "net public external debt/GDP" instead. It was noteworthy the significance of the following variables in most of the models tested: short term internal debt (%), foreign direct investment/GDP and inflation. Variables traditionally used as external liquidity measures, like reserves/imports and current account/GDP, are not statistically significant in most of the models fitted in this study. Results support the evidence found in the rating agencies' reports, as to the importance of international reserves in their credit quality assessment, although pointing to other variables, like government debt profile and growth perspectives, as equally critical. The second case study found significant relationship between the Brazilian international reserves and its sovereign spread, using error correction models. The estimated effect of sovereign rating was either non-significant, or poorly explanatory when compared to macroeconomic fundamentals, probably due to the volatility of sovereign spread in response to changes in market conditions, unlike the sovereign rating. The best model obtained included the absolute level of reserves, showing also significant effect of the global risk aversion, external interest rates and internal political crises. The results of this study point to a decreasing marginal cost of international reserves and the need of considering it as endogenous in optimal reserves models based in cost minimization. Finally, the third case study implemented the Liquidity-at-Risk methodology suggested by Greenspan (1999), in order to assess the Brazilian reserves level adequacy in maintaining external liquidity. For the liquidity measure adopted - the ratio "reserves/short term external debt" (Guidotti's ratio) - it was found that the Brazilian reserves level held in Jun/2008 (US$200 billion) was roughly twice the necessary one to ensure a Guidotti's ratio above 1, with 99% probability, within 24, 36 or 48 months. In several alternative scenarios varying the short term external debt, short term internal debt, primary surplus, global risk aversion and external interest rates, the required initial reserves was in the range US$85-105 billion. An analysis of alternative policies' costs revealed the expected effect of higher reserves in decreasing the average debt service, although a dramatically higher impact would be obtained by an increase in primary surplus. Evidence suggest that the Brazilian authorities motivation for holding international reserves as high as US$200 billion may not be purely precautionary, pointing to the hypotheses of credibility gains and fiscal flexibility issues.

Embora haja um consenso sobre a importância do valor da marca, um modelo de estimação único e uniformemente aceito ainda não surgiu, nem na perspectiva baseada no cliente ou consumidor nem na perspectiva da firma ou financeira. Assim, os profissionais de marketing ainda são desafiados a estimar o valor da marca. Além disso, é importante para a construção de um modelo de estimativa de valor da marca detectar as percepções dos consumidores e também apresentar uma estimativa monetária do valor da marca, satisfazendo às exigências de financistas, contabilistas e acionistas empresariais. A maioria dos modelos de valor da marca baseado no consumidor existentes não oferece uma estimativa monetária do valor da marca e muitos modelos de valor da marca baseado na firma não observam as percepções dos consumidores. A maioria deles não avalia o desempenho das marcas em futuros períodos de tempo. Esta pesquisa desenvolveu um modelo que permite estimar o valor da marca observando as probabilidades de escolha (manutenção ou troca) de marca pelos consumidores, com a aplicação da Matriz de Troca Markov. A matriz de troca de marca foi estimada por um estudo transversal, utilizando um modelo de escolha logit, analisando todas as marcas competidoras no mercado. Esta pesquisa também investigou o valor monetário da marca, utilizando o mecanismo de fluxo de caixa descontado. O modelo permite o cálculo do valor da marca de um produto, em particular, bem como o cálculo do valor da marca da empresa. Além disso, o modelo possibilita o estabelecimento da relação entre o mindset do cliente e a avaliação do desempenho de marca no mercado, comparando a marca de seus concorrentes. A integração entre valor da marca baseado no consumidor e valor da marca baseado na firma permite estimar o retorno financeiro das ações de marketing, verificando a contribuição de cada um dos condutores (consciência de marca, qualidade percebida, lealdade à marca, valor percebido, personalidade da marca e associações organizacionais) ao valor marca. / Although there is a consensus about brand equity importance, a single, uniformly accepted estimation model has not yet emerged, neither from consumer-based brand equity or firm or financial-based brand equity perspectives. Hence, marketing professionals are still challenged to estimate the value of the brand. Furthermore, it is important to build a brand equity estimation model, which detects the consumers’ perceptions and also presents a monetary estimation of brand equity, satisfying shareholders’ requirements. Most of the existent consumer-based brand equity models do not offer a monetary estimation of brand equity and many firm-based brand equity models do not observe consumers’ perceptions. Most of them do not evaluate the brands’ performance in future periods of time. This research developed a model that permits estimation of brand equity observing the consumers’ brand choices probabilities (purchase maintenance and brand-switching), by applying the Markov Matrix. The brand-switching matrix was estimated by a cross-sectional survey, using a logit choice model, analyzing all competing brand. This research also investigated the monetary value of the brand, using the discounted cash flow mechanism. Our model allows the calculation of the value of the brand of a product, in particular, as well as the calculation of the company's brand. Our model enables the establishment of the link between customer mindset and evaluating the performance of brand in market, comparing the brand to its competitors. The integration between consumer-based brand equity and firm or financial-based brand equity allows the estimation of the financial return of marketing actions, checking the contribution of each of the drivers (brand awareness, perceived quality, brand loyalty, perceived value, brand personality and organizational associations) in brand equity.

Submitted by Bernardo Dantas Pereira Coelho (bernardo.coelho27@gmail.com) on 2018-05-02T21:35:04Z No. of bitstreams: 1 Tese Doutorado - Bernardo Coelho.pdf: 2101693 bytes, checksum: 84ef02769381cf1afb6f413b79ebde05 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2018-05-28T16:24:46Z (GMT) No. of bitstreams: 1 Tese Doutorado - Bernardo Coelho.pdf: 2101693 bytes, checksum: 84ef02769381cf1afb6f413b79ebde05 (MD5) / Made available in DSpace on 2018-06-14T20:31:22Z (GMT). No. of bitstreams: 1 Tese Doutorado - Bernardo Coelho.pdf: 2101693 bytes, checksum: 84ef02769381cf1afb6f413b79ebde05 (MD5) Previous issue date: 2017-08-18 / Essa tese contém três capítulos. O primeiro capítulo estuda a relação entre o programa brasileiro de transferência condicional de renda Bolsa Família e os resultados das eleições de 2010. Nós procuramos estimar esse efeito utilizando uma abordagem estrutural, identificando características individuais que afetam o impacto eleitoral do programa. Fazemos isso utilizando um modelo mixed logit, um modelo de escolha discreta que considera tanto a distribuição paramétrica de variáveis não observadas quanto a distribuição não-paramétrica de variáveis conhecidas. Resultados indicam que o caráter redistributivo do programa possui um impacto eleitoral nos eleitores maior do que os ganhos individuais de renda dos beneficiários. O efeito marginal de ser um beneficiário do programa na decisão de voto é equivalente a um aumento de 81 reais na renda mensal do trabalho, menos do que o valor médio recebido por beneficiário que é de 90 reais. Nosso exercício contrafactual aponta que, sem o programa Bolsa Família, a incumbente, Sra. Rousseff, perderia 5,6% do total de votos, deixando o resultado da eleição inconclusivo. O segundo capítulo estuda a participação feminina na política, que aumentou na última década tanto em países ricos como em desenvolvimento. Não é claro, no entanto, se isso é parte de uma tendência ou apenas um crescimento reversível. A literatura apresenta argumentos teóricos tanto para um efeito de reforço quanto para um negativo da exposição a uma liderança negativa na probabilidade de apoio futuro a uma candidata mulher. Usando dados eleitorais e do Censo para o Brasil, testamos se o efeito da presença de uma prefeita mulher numa cidade impacta o apoio futuro a candidatas mulheres para Deputada Federal e não encontramos evidência de efeito significativo. Além disso, mostramos que apenas o uso de estatísticas agregadas, como médias demográficas, levaria a concluir equivocadamente que eleitores expostos ao governo de uma prefeita mulher teriam uma menor probabilidade de votar numa candidata mulher. O último capítulo investiga os determinantes para a queda de desigualdade de renda entre municípios brasileiros entre 2000 e 2010. Usando dados censitários, mostramos que a desigualdade caiu mais rápido em municípios com um maior nível de desigualdade em 2000 – sugerindo -convergência. Nós então, utilizamos a decomposição dinâmica (Shorrocks, 1982) para identificar a contribuição de mudanças nas condições do mercado de trabalho, como aumento do salário mínimo, formalização e melhoria na educação na convergência de desigualdade regional. Encontramos que a queda na desigualdade de renda no emprego formal foi o principal contribuinte para a redução de desigualdade de renda entre municípios no período. / This thesis contains three chapters. The first chapter studies the relationship between the Brazilian CCT program Bolsa Família and the outcome of the 2010 elections. We seek to estimate this effect using a structural approach, identifying individual characteristics that affect the electoral impact of the program. We do so by using a mixed logit model, a discrete choice model that considers both a parametrical distribution of unobserved variables and a non-parametrical distribution of known variables. Results indicate that the redistributive character of the program has a larger electoral impact on voters than the individual income gains of the beneficiaries. The marginal effect of being a beneficiary of the program on voting decision is equivalent to 81 Reais increase in monthly labor income, less than the average value received by a beneficiary, which is 90 reais. Our counterfactual exercise points that, without Bolsa Família, the incumbent, Mrs. Rousseff, would have lost 5.6% of the votes, making the election results unclear. The second chapter studies female participation in politics has increased in the last decade in both rich and developing countries. It is not clear, however, if this is part of a trend or just a reversible growth. Literature presents theoretical arguments for both a reinforcing force and a negative effect of the exposure to a female leadership on the probability of supporting a future female candidate. Using electoral and Census data for Brazil, we test the effect that the presence of a female mayor in a municipality has on future the support for a female candidate for Federal Deputy and find no evidence of a significant effect. Furthermore, we show that the use of aggregate statistics alone, as demographic averages, would mislead us to conclude that voters exposed to a female mayor have a smaller probability to support a female candidate. The last chapter investigates the determinants of the decline of income inequality across municipalities in Brazil between 2000 and 2010. Using censuses data, we show that inequality fell faster in municipalities with higher inequality levels in 2000 – suggesting - convergence. We, then, employ a dynamic decomposition (Shorrocks, 1982) to assess the contribution of changes in private labor market conditions as the increase in minimum wage, formalization and increase in education levels on the regional inequality convergence. We find that the fall in wage inequality in the private formal sector was the main driver of the reduction in income inequality across municipalities in the period.

Dans cette thèse, nous nous intéressons aux décisions de production des agriculteurs et plus particulièrement des producteurs de thé au Vietnam. Plus précisément, le Chapitre 1 donne un aperçu rapide de l’évolution observée dans le monde et au Vietnam. Le Chapitre 2 porte sur l’analyse de l'efficacité technique de la production de thé au Vietnam. Il permet de conclure que l'efficacité technique moyenne de la production de thé est très faible (seulement 41\%). Le Chapitre 3 de cette thèse présente un modèle théorique analysant les décisions d’agriculteurs dans le cadre d’une conversion à la production biologique. Il s'agit de déterminer les conditions optimales pour la conversion compte tenu des contraintes concernant l'allocation des terres pour les produits conventionnels et biologiques. Il montre notamment l'importance de (i) la quantité disponible de terres consacrées aux produits biologiques, (ii) la productivité de la technologie de production de produits biologiques, (iii) les mécanismes d'incitation et enfin (iv) les contraintes inhérentes à la production de produits biologiques. Le Chapitre 4 compare deux modèles économétriques, l'un avec une hétérogénéité individuelle non observable et l'autre sans hétérogénéité. Les résultats obtenus révèlent certains facteurs importants qui influent sur l'adoption des différentes variétés de thé: le revenu, la présence de personnages âgées au sein du ménage, la taille du ménage et l'usage d'engrais biologique. Le Chapitre 5, enfin, s'intéresse aux impacts des relations politiques sur le revenu total et le revenu issu de la production de thé des ménages. Nos résultats soulignent le rôle important des relations politiques sur l'amélioration des revenus des agriculteurs. / The aim of this thesis is to identify and investigate some limits regarding recent empirical and theoretical contributions in the field of farmers' behavior as related to tea production in Vietnam. Chapter 1 provides a quick overview about tea production in the world and in Vietnam. Chapter 2 in our thesis analyzes the technical efficiency of the tea production in Vietnam. This study finds that the average technical efficiency of tea production is very low (only about 41\%). Chapter 3 presents a theoretical model in order to figure out the farmer's decision to adopt for organic production. The decision concerns the allocation of lands for conventional and organic products.It shows the importance of (i) the available quantity of land devoted to agricultural plants, (ii) the productivity of the organic products, (iii) the incentive mechanism, and finally (iv) the constraints on output of organic products. In Chapter 4, we compared two version of econometric model: a model with household's unobserved heterogeneity and a model without unobserved heterogeneity. We found that the former model is preferred. The results revealed that some important factors which influence the adoption of tea varieties included tea income, presence of elderly, household size and use of organic fertilizers. In Chapter 5, we focus on investigating the impacts of political connections both farmer's total income and tea income. The findings indicate the significant role of political connection on improving farming households' income.

Travel demand forecasting is essential for many decisions, such as infrastructure investments and policy measures. Traditionally travel demand modelling has considered trip frequency, mode, destination and route choice. This thesis considers two other choice dimensions, hypothesised to have implications for travel demand forecasting. The first part investigates how the increased possibilities to overcome space that ICT (information and communication technology) provides, can be integrated in travel demand forecasting models. We find that possibilities of modelling substitution effects are limited, irrespective of data source and modelling approach. Telecommuting explains, however, a very small part of variation in work trip frequency. It is therefore not urgent to include effects from telecommuting in travel demand forecasting. The results indicate that telecommuting is a privilege for certain groups of employees, and we therefore expect that negative attitudes from management, job suitability and lack of equipment are important obstacles. We find also that company benefits can be obtained from telecommuting. No evidences that telecommuting gives rise to urban sprawl is, however, found. Hence, there is ground for promoting telecommuting from a societal, individual and company perspective. The second part develops a departure time choice model in a mixed logit framework. This model explains how travellers trade-off travel time, travel time variability, monetary and scheduling costs, when choosing departure time. We explicitly account for correlation in unobserved heterogeneity over repeated SP choices, which was fundamental for accurate estimation of the substitution pattern. Temporal constraints at destination are found to mainly restrict late arrival. Constraints at origin mainly restrict early departure. Sensitivity to travel time uncertainty depends on trip type and intended arrival time. Given appropriate input data and a calibrated dynamic assignment model, the model can be applied to forecast peak-spreading effects in congested networks. Combined stated preference (SP) and revealed preference (RP) data is used, which has provided an opportunity to compare observed and stated behaviour. Such analysis has previously not been carried out and indicates that there are systematic differences in RP and SP data. / QC 20100825

華人社會傳承了儒家文化思想的價值觀，但是在社會環境、政治體制及人口結構等因素的差異之下，衍生出各種文化特性的差異。本研究使用世界價值觀調查（World Values Survey，WVS）資料，比較不同社會中的華人在文化特性方面的差異，並分析文化特性及其他因素對主觀福祉（subjective well-being）的影響。 本研究採用世界價值觀調查所建立之社會價值觀（societal values），加入其他文化特徵、社會態度及個人生活觀衡量文化特性。本研究使用之計量模型為排序羅吉特迴歸（ordered logit regression）模型，分析上述變數對華人生活滿意度（life satisfaction）與快樂程度（happiness）的影響。本研究之目的在於找出影響華人主觀福祉之重要決定因素，並探討文化因素在收入與主觀福祉之間是否存在調節效果（moderating effect）。 實證結果顯示，文化會影響華人主觀福祉，並在收入與主觀福祉之間造成調節效果。而華人在各個社會中所衍生出的文化特性差異，也使得各個社會中華人主觀福祉的重要決定因素有所差異。 / Chinese societies inherited the values of Confucianism. However, these societies vary in their social environment, political system and demographic structure, thus result in differences in their cultural characteristics. This study uses the data from World Values Survey, to explore the differences among Chinese in different societies, and to analyze the determining factors of Chinese subjective well-being. In this study, the societal values established by the World Values Survey are used to represent the cultural properties. We also added other cultural traits, social attitudes and individual viewpoints for our analysis. In this study, we use ordered logit regression model to find out the important determinants of Chinese subjective well-being in different societies, and discuss whether there exists a cultural moderating effect between income and subjective well-being. Empirical results show that culture has a significant impact on subjective well-being of Chinese, and the effect of income on Chinese subjective well-being are also moderated by cultural properties. The differences between these Chinese societies also result in divergences of important determinants of Chinese subjective well-being between societies.

The thesis examines the influence of the tax deduction by reason of granting the donation on the taxpayers' behavior. The examination is working with Household Expenditure Survey (2004, 2005) of Czech Statistical Office and with author's own questionnaire survey (2007). In the first part the regression of demographical and economic characteristics on the amount of donation and its probability is run. There are the internal opinions of informant according to the filled questionnaire described in the second part. The regression was processed using Logit, Probit and Tobit models; the following section consists of frequency analysis.

Aim of this diploma thesis is to provide empirical tests of market efficiency of tennis wagering market. In large dataset, which consists of nearly 47 thousands matches and 225 thousands odds, I am searching for anomalies, which can prove market inefficiency. Potentially profitable and exploitable betting strategies are also examined. Main tools of empirical analysis are linear probability models and logit models. Favorit-longshot bias is present in my data, this finding is consistent with results of other empirical works (Lahvička, 2013; Cain, Law, Peel, 2000). Major contribution of this paper is confirmation of home-away bias, the issue, which was not tested in tennis matches so far. The same holds for chart-bias. I am not able to find profitable wagering rules based on out-of-sample predictions of my models. Simple betting rule, which consists of betting systematically on overwhelming favorites, is derived from historical odds. This strategy yields a profit 0,0094, but it's applicability is very limited.

The thesis proposes a method for automated model selection using a logistic regression model in the context of prospectivity modeling, i.e. the exploration of minearlisations. This kind of data is characterized by a rare positive event and a large dataset. We adapted and combined the two statistical measures Wald statistic and Bayes' information criterion making it suitable for the processing of large data and a high number of variables that emerge in the nonlinear setting of logistic regression. The obtained models of our suggested method are parsimonious allowing for an interpretation and information gain. The advantages of our method are shown by comparing it to another model selection method and to arti cial neural networks on several datasets. Furthermore we introduced a possibility to induce spatial dependencies which are important in such geological settings.

This bachelor's thesis in applied mathematics & industrial economics is an attempt to model drives in American football using Markov chains. The transition matrix is obtained through logit regression analysis on historical data from the NFL. Different outcomes of drives are modelled as separate absorbing states in the Markov chain. Absorption probabilities are calculated representing the probabilities of each outcome. Results are tested against a Markov chain with the transition matrix based on frequency analysis. Three scoring rules unanimously declare the regression based model to be superior. The application of the model pertains to live sports betting. With the insight provided by the Markovian model, a bettor should be able to make statistically informed betting decisions. The prospect of creating a start-up based on the Markovian betting model is discussed. / Denna kandidatuppsats i tillämpad matematik & industriell ekonomi är ett försök till att modellera drives i amerikansk fotboll med hjälp av Markovkedjor. Övergångsmatrisen fås genom logit-regressionsanalys av historisk data från NFL. Olika utfall av drives modelleras som separata absorberande tillstånd i Markovkedjan. Absorptionssannolikheter beräknas, vilka representerar sannolikheterna för de olika utfallen. Resultaten testas mot en Markovkedja där övergångsmatrisen fås genom frekvensanalys. Tre olika poängregler föredrar enhälligt den regressionsbaserade modellen. Modellens tillämpning berör sportbetting. Med hjälp av Markovmodellen bör en spelare kunna ta statistiskt underbyggda beslut i deras betting. Möjligheterna att skapa ett företag baserat på Markovmodellen diskuteras.