Submitted by Daniella Santos (daniella.santos@fgv.br) on 2009-08-07T12:36:21Z No. of bitstreams: 1 Dissertacao_Vitor_Farinha_Luz.pdf: 490918 bytes, checksum: aa416ee14b87b54afbe7a5e0ec7e8088 (MD5) / Approved for entry into archive by Antoanne Pontes(antoanne.pontes@fgv.br) on 2009-08-07T17:38:24Z (GMT) No. of bitstreams: 1 Dissertacao_Vitor_Farinha_Luz.pdf: 490918 bytes, checksum: aa416ee14b87b54afbe7a5e0ec7e8088 (MD5) / Made available in DSpace on 2009-08-07T17:38:24Z (GMT). No. of bitstreams: 1 Dissertacao_Vitor_Farinha_Luz.pdf: 490918 bytes, checksum: aa416ee14b87b54afbe7a5e0ec7e8088 (MD5) / In economies characterized by both aggregate and privately observed idiosyn- cratic risks we show that constrained e¢cient allocations may display non-trivial dependence on aggregate shocks. Using two period versions of both a Atkeson and Lucas (1992) preference shock model and a dynamic Mirrlees (1971) economy we show that constrained optimal allocations have memory with respect to aggre- gate shocks despite their being i.i.d. and independent from idiosyncratic shocks, whenever the latter are not perfectly persistent. The fact that shocks may have per- sistent e¤ects on allocations despite their public and i.i.d nature, was rst shown by Phelan (1994) in a dynamic moral hazard economy with CARA preference. Our numerical simulations indicate that these are not knife-edge results: there is a monotonic relationship between private persistence and aggregate memory in many di¤erent environments. / Em economias caracterizadas por choques agregados e privados, mostramos que a alocação ótima restrita pode depender de forma não-trivial dos choques agregados. Usando versões dos modelos de Atkeson e Lucas (1992) e Mirrlees (1971) de dois períodos, é mostrado que a alocação ótima apresenta memória com relação aos choques agregados mesmo eles sendo i.i.d. e independentes dos choques individuais, quando esses últimos choques não são totalmente persistentes. O fato de os choques terem efeitos persistentes na alocação mesmo sendo informação pública, foi primeiramente apresentado em Phelan (1994). Nossas simulações numéricas indicam que esse não é um resultado pontual: existe uma relação contínua entre persistência de tipos privados e memória do choque agregado.

Submitted by Artur Bezerra de Carvalho (arturfgv@gmail.com) on 2011-04-05T15:07:34Z No. of bitstreams: 1 Artur Bezerra de Carvalho - Dissertation.pdf: 609670 bytes, checksum: 93564d7d95ef0bb338d1d1015dd5ec21 (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2011-04-05T19:45:13Z (GMT) No. of bitstreams: 1 Artur Bezerra de Carvalho - Dissertation.pdf: 609670 bytes, checksum: 93564d7d95ef0bb338d1d1015dd5ec21 (MD5) / Made available in DSpace on 2011-04-07T17:16:40Z (GMT). No. of bitstreams: 1 Artur Bezerra de Carvalho - Dissertation.pdf: 609670 bytes, checksum: 93564d7d95ef0bb338d1d1015dd5ec21 (MD5) Previous issue date: 2010-08-05 / The purpose of this work is to provide a brief overview of the literature on the optimal design of unemployment insurance systems by analyzing some of the most influential articles published over the last three decades on the subject and extend the main results to a multiple aggregate shocks environment. The properties of optimal contracts are discussed in light of the key assumptions commonly made in theoretical publications on the area. Moreover, the implications of relaxing each of these hypothesis is reckoned as well. The analysis of models of only one unemployment spell starts from the seminal work of Shavell and Weiss (1979). In a simple and common setting, unemployment benefits policies, wage taxes and search effort assignments are covered. Further, the idea that the UI distortion of the relative price of leisure and consumption is the only explanation for the marginal incentives to search for a job is discussed, putting into question the reduction in labor supply caused by social insurance, usually interpreted as solely an evidence of a dynamic moral hazard caused by a substitution effect. In addition, the paper presents one characterization of optimal unemployment insurance contracts in environments in which workers experience multiple unemployment spells. Finally, an extension to multiple aggregate shocks environment is considered. The paper ends with a numerical analysis of the implications of i.i.d. shocks to the optimal unemployment insurance mechanism. / O objetivo deste trabalho é prover uma revisão sucinta da literatura sobre o desenho ótimo de programas de seguro-desemprego, por meio da análise de alguns dos artigos mais influentes publicados nas últimas três décadas, e estender os seus principais resultados para um ambiente econômico sujeito a choques agregados. As propriedades dos contratos ótimos são discutidas à luz das hipóteses-chave usualmente adotadas em publicações teóricas nessa área. Além disso, as implicações associadas ao relaxamento dessas hipóteses também são investigadas. A análise de modelos que contemplam apenas um ciclo de desemprego começa com o trabalho de Shavell e Weiss (1979). A partir de um ambiente econômico simples e comum à maioria dos trabalhos, estudam-se as políticas de benefícios, taxas sobre os salários e o nível ótimo de esforço a ser exercido na procura por emprego. Adicionalmente, questiona-se a idéia de que as distorções no preço relativo de consumo e lazer provocadas pelo seguro-desemprego são a única explicação para alterações marginais dos incentivos à procura por emprego. Usualmente interpretada como um problema de perigo-moral causado por um efeito-substtituição, a redução na oferta de trabalho causada por programas de seguro-social é discutida sob essa nova perspectiva. Apresenta-se ainda um estudo teórico sobre contratos de seguro-desemprego ótimo quando os agentes estão sujeitos a mais de um ciclo de desemprego. Finalmente, uma extensão dos modelos a um ambiente sujeito a múltiplos choques agregados é desenvolvida. O trabalho termina com um exercício numérico acerca das implicações de choques i.i.d. sobre o desenho de programas de seguro-desemprego.

[pt] Este trabalho estima a volatilidade de choques agregados e setoriais, bem como suas contribuições para flutuações econômicas, usando microdados de preços. A ideia central é que inovações setoriais estão associadas com a dinâmica de certas estatísticas, como tamanho médio de reajustes de preços, de um setor econômico específico, enquanto a volatilidade de choques agregados pode ser inferida pela correlação destas estatísticas entre setores diferentes. Portanto, microdados de preços contêm informação sobre a natureza dos ciclos econômicos. Emprega-se aqui um modelo de fixação de preços no qual firmas enfrentam não somente custos de menu, mas também fricções de natureza informacional. O modelo é estimado usando o Método dos Momentos Simulados e dados do Reino Unido. Encontra-se que choques setoriais são consideravelmente mais voláteis que choques agregados. / [en] We estimate the volatility of aggregate and sectoral shocks, as well as their contributions to business cycles fluctuations, using price setting data. The key idea is that sector-specific innovations are associated with the dynamics of price setting statistics, such as average size of price adjustments, within a single economic sector, while the volatility of aggregate disturbances can be inferred from the correlation of these statistics across different sectors. Therefore, price setting data provides useful information about the nature of economic fluctuations. We employ a rich price setting model in which firms face not only menu costs, but also informational frictions and estimate it using Simulated Method of Moments and data from the UK. We find that sectoral shocks are considerably more volatile than their aggregate counterparts.

本論文著眼於「無法在任意時點，利用不同經濟個體進行避險」的總體衝擊， 以「經濟個體的終生消費流量平滑化」為目標貫穿全文，探討金融中介活動所扮演的角色。全文包含兩部分。 第一部分，假設經濟體系的風險性資產總量固定且產出每期波動，是總體衝擊的來源。本文認為金融中介在累積利潤的同時，也建立了為經濟個體提供總體衝擊緩衝機制的能力；中介的利潤空間、獨占力量及契約內容共同影響總體風險分攤的運作。而金融中介與直接金融交易二者的風險分攤功能彼此互補，並非相互競爭。此外，政府應適當規範金融中介的市場結構，避免金融中介擁有過大或不足的獨占力量，進而引導中介提供福利水準較高的金融契約。 第二部分，進一步考慮將資源投入安全性與風險性生產技術的投資決策。本文認為在「經濟個體面臨個別流動性風險、且缺乏流動性的長期生產技術屬於風險性投資」的情況下，跨世代金融中介可以利用股權形式的金融契約，吸引每期新世代經濟個體參與，使當期既存中年世代參與者的風險配置效率藉由新存款的挹注而獲得改善、減緩產出波動與個人流動性需求不確定對經濟個體終生消費配置的衝擊。新世代經濟個體參與跨代中介機制不僅可與中年世代共享經濟繁榮的好處，提升事前期望效用；並且亦延續中介既有的經營策略，繼續從事跨世代金融中介業務。

A decade of growth and wealth generation in Russia ended in 2009 with the collapse in GDP and rising unemployment. This Great Recession added new economic challenges to the ‘old’ problems facing children and families, including widening income inequalities and the phenomenon of social orphanage. One question is how the new and existing material pressures affect parent–child relationships. This research contributes to the answer by examining, in aggregate terms, the role poverty plays in the allocation of parental time in this emerging economy. Utilising a nationally representative sample of children, it explores how child interactions with parents are affected by aggregate and idiosyncratic shocks. Drawing on the rational choice paradigm and its critique, we put forward the Parental Time Equilibrium as an analytical guide to the study. This theoretical approach presents individual decisions concerning time spent with children over the long term as the product of a defined equilibrium between resources and demands for involvement. We test this approach through pooled cross-sectional and panel analyses based on the Russian Longitudinal Monitoring Survey dataset from 2007 to 2009. Children in low-income households face the double disadvantage of a lack of money and time investments at home, with both persistent and transient poverty being associated with lower than average parental time inputs in the sample. Moreover, while on average, we find that children do maintain the amount of time they spend with their parents under conditions of severe financial strain, low–income children lose out on play time with the mother. Material resources cannot be considered in isolation from structural disadvantages, of which rural location in particular is detrimental for parent–child time together. The study demonstrates that the cumulative stress of adverse macro-economic conditions and depleted material resources makes it difficult for parents to sustain their human investment in children. The evidence this study provides on the associations between economic stress and pa-rental time allocations advances our knowledge of the disparities of in the childhood experience in modern Russian society. The findings strongly support the equal importance of available resources and basic demand for involvement, thus drawing policy attention to the need to address both in the best interests of children.