Submitted by Renata Junqueira (repajunqueira@hotmail.com) on 2016-09-12T19:57:23Z No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-09-21T14:11:27Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-09-23T17:12:07Z (GMT) No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) / Made available in DSpace on 2016-09-23T17:12:24Z (GMT). No. of bitstreams: 1 Dissertação - Renata de Andrade Junqueira Ribeiro.pdf: 1064886 bytes, checksum: baad34290f965fc38c8c027553d693be (MD5) Previous issue date: 2016-08-29 / This paper uses an econometric model and identifies the relation between the perception of mining company Vale S.A.’s credit risk, measured by Credit Default Swap (CDS), and earnings surprises, measured by the difference between reported earnings per share (EPS) and EPS expected by market analysts. Conclusion is that a surprise in earning announcement significantly impacts Vale’s CDS and negative surprises tend to have higher influence than positive ones. Results suggest caution upon announcing future goals, since maintaining market expectations at reasonable levels could prevent sudden increases in funding costs. / Neste trabalho, é utilizado um modelo econométrico reduzido a fim de identificar a relação entre a percepção de risco de crédito da empresa mineradora Vale S.A., medida pelo Credit Default Swap (CDS), e a surpresa na divulgação de resultado, medida pela diferença entre o lucro por ação divulgado e o esperado pelos analistas de mercado. Conclui-se que uma surpresa no anúncio do resultado influencia significativamente o CDS da Vale e as surpresas negativas têm influência maior que as positivas. Os resultados sugerem cautela no anúncio de metas futuras, uma vez que a manutenção das expectativas de mercado em patamares moderados ajuda a evitar aumentos súbitos no custo de captação.

This thesis analyses what drives sovereign credit risk when contagion is con- trolled for. CDS spreads are used as a measure of credit risk and bond yields are used to estimate interconnectedness of the examined countries. The main contribution lies in the use of high-frequency data and a robust wavelet based estimator in addition to spatial econometric model. The aim of this thesis is to test for presence of contagion and to evaluate which fundamentals are decisive for market perception of sovereign credit risk. Another goal is to evaluate the possibility of a structural break caused by the Greek debt restructuring. The results show that the restructuring did bring change. Contagion is present during the post-crisis period and it diminishes as the economies recover. Sim- ilarly, fundamentals are of higher importance in the post-crisis period when compared with the following period. JEL Classification C22, C31, C33, G01, G32, G33 Keywords spatial econometrics, CDS spreads, sovereign credit risk, financial contagion, realised covari- ance Author's e-mail josef.zahlava@gmail.com Supervisor's e-mail petr.gapko@seznam.cz

O presente trabalho teve por objetivo avaliar aspectos relevantes da economia internacional. O primeiro ensaio desta tese visou avaliar pela primeira vez (até onde se tem conhecimento) se o recente desenvolvimento do mercado de Credit Default Swaps - CDS alterou os efeitos das mudanças de rating sobre o mercado financeiro.Como o CDS é um derivativo que tem como objetivo refletir a qualidade do crédito do ativo avaliado e esta mensuração é feita através do mercado e de forma contínua no tempo, este instrumento poderia reduzir a relevância dos ratings atribuídos pelas agências; uma vez que estes últimos também avaliam a qualidade do crédito, mas sua atuação é discreta no tempo. Foi empregada a metodologia de estudo de evento a uma base de dados diária de CDS, bolsa e taxas de câmbio para37 países. Em resumo,foram encontradas evidências de que o impacto das mudanças de ratings sobre os ativos financeiros sofreu moderação nos últimos dez anos e que o papel do CDS pode estar por trás desta redução. Além disso, foram encontrados resultados que mostram que o mercado de CDS é o que mais reage a reclassificações de risco. O principal objetivo dos ensaios seguintes é trazer luz ao debate das fontes de competitividade no comércio internacional. Neste sentido, o segundo ensaio trata do papel do custo fixo de entrada para a exportação sobre a competitividade internacional no nível da firma. Foi estimadoo custo médio de entrada para a exportação utilizando o banco de dados do World Bank Enterprise Survey do Banco Mundial que conta com informações de mais de 70 mil firmas de diversos setores de atividade distribuídas em mais de 120 países em desenvolvimento. A pesquisadora se apoiou no modelo e na metodologia desenvolvidos na publicação da Econometrica de Das, Roberts e Tybout (2007) e conclui que em média uma firma paga 3,2 milhões de dólares para começar a exportar. Além disso, encontrou que o custo fixo de entrada para exportação varia entre os países e isso ajuda a explicar porque firmas semelhantes com produtividade parecida instaladas em países diferentes têm probabilidades distintas de serem exportadoras. No terceiro ensaio desta tese, estudou-se o impacto da desoneração da folha de pagamento, implementada a partir de 2011, nas exportações e importações brasileiras. Através de um painel de efeito fixo para produto, relacionando as exportações e importações em função da variável desoneração e a da variável de intensidade de mão-de-obra na produção do bem. Os dados foram extraídos do MDIC, da PIA e a variável desoneração foi construída utilizando as diversas leis que, ao longo do tempo, foram ampliando o rol de bens desonerados. Grosso modo, controlando por intensidade de mão-de-obra, encontrou-se que as desonerações foram responsáveis por uma queda da quantidade importada dos bens cujos similares foram desonerados internamente, enquanto que o efeito nas exportações provocou uma queda nos preços dos bens desonerados que não foi compensada por uma elevação na quantidade exportada, o que conjuntamente resultou em uma queda das exportações em valor. / This thesis evaluated some relevant aspects of the international economy. The first chapter evaluatesfor the first time (as far as we know) if the recent development of the credit default swaps market, CDS, has changed the effects of rating reclassifications on the financial market. Given that the price of CDS is driven bythe entity\'s credit quality and it moves continuously over time, this instrument would reduce the significance of ratings assigned by the agencies, since these agencies act discretely over time. We apply the event study methodology to a daily database of CDS, stocks and exchange rates for 37 countries. Generally speaking, we find evidences that the impact of ratings changes on financial assets has moderated over the past decade and that the role of CDS may explain this reduction. Furthermore, we find results that show that the CDS market is more responsive to risk reclassification. The following chapters have the main objective to shed some light on the debate on the sources of competitiveness in international trade. In this sense, the second chapter studies the role of sunk entry cost to export in international competitiveness at firm level. We estimate the average export sunk entry cost using the World Bank Enterprise Survey database of the World Bank that has informations about more than 70 thousand firms spreaded over several activity\'s sectors and more than 120 developing countries. We followed the model and methodology developed by Das, Roberts and Tybout in a paper published in Econometrica in 2007 and we found that a firm, in average, pays 2.3million dollars in order to start exporting. Besides that, we found that the export entry cost varies between countries and this fact helps to explain why similar firms in different countries have different probabilities to become exporters. In the third chapter of this thesis, we present a study on the impact of the payroll tax exemption implemented since 2011 on Brazilian exports and imports. Using a panel of fixed effect for product, we will relate the exports and imports as function of the variable exemption and the variable of labor intensity in the production function of the good. The data were extracted from the MDIC, the PIA and the variable exemption was constructed using the many laws that, over time, were expanding the list of exempted goods. Generally speaking, controlling by labor intensity, we found that the payroll tax exemption was responsible for a drop in the quantity of goods imported from abroad, while the effect on exports led to a drop in the prices of the goods exported, which was not offset by a rise in the quantity exported, resulting in a fall in exports by FOB value.

No description available.

Credit derivatives are instruments that transfer the credit risk from one party to another one. The most common credit derivative is the single entity credit default swap (CDS).A basket default is similar to a single entity CDS except that the underlying obligation is a basket of entities rather than a single reference asset. The copula methods play an important role while we price a multiname product since the assets in the portfolio are not independent. We need to model the correlated default times by using copula functions. In this article, we develop a copula based methodology for pricing -to-default swaps by using market CDS quotes. In order to know the influence of changing price drivers such as correlations and intensities on spreads, we also discuss the sensitivity analysis in this article.

This paper investigates the European CDS markets response to earnings announcements between the years 2011-2013. Through the use of event study methodology, we investigate if the CDS market reacts to earnings news in terms of abnormal spread changes. Furthermore, by exploring the pre- and post announcement window the study examines the efficiency of the CDS market. The results imply that earnings announcements provide valuable information to the CDS market, with statistically significant results on the 5 % and 10 % significant level for negative and positive news respectively. Additionally, the paper shows that the market has a rather symmetric reaction to negative and positive earnings news since there is no significant difference in effects. The paper further reveals that there is no significant difference in the response between different credit rating groups. In terms of market efficiency, the study cannot confirm that there is anticipation for earnings announcements. The study further shows that there is no post-earnings announcement drift in the CDS market and that the market, overall, is efficient in incorporating the information into the spreads. Finally, a cross-sectional regression analysis confirms that negative earnings surprises are linked to large announcement day reactions, while positive earnings surprises are not.

Invandring och integration har varit bland de viktigaste valfrågorna i senare års valrörelser i Sverige. Integration syftar i dessa sammanhang på många olika processer och skär in i skilda politiska områden och diskurser. I uppsatsen undersöks: (1) hur, utifrån vilka problemformuleringar och med fokus på vem, partiledarna talar om integration i valdebatterna 2006–2018, (2) hur olika integrerande åtgärder legitimeras i valdebatterna, (3) hur de Andra konstrueras diskursivt och hur maktrelationer, ansvar och förpliktelse uttrycks samt (4) om diskursen om integration har förändrats. Studien bidrar med en ökad förståelse för hur integration formas till en meningsfull politisk praktik. Materialet består av valdebatter från de fyra valåren 2006–2018. I analysen, som är en kritisk och postkolonial diskursanalys, kombineras två metoder. Med hjälp av en legitimeringsanalys visas hur olika integrerande åtgärder rättfärdigas. Sedan urskiljs de processer och deltagare som förekommer i legitimeringarna med en transitivitetsanalys. Resultatet visar att två diskurser är återkommande i alla integrationsdebatter, dels att människor behöver lära sig svenska för att kunna integreras, dels att en lyckad integration kräver förbättrade villkor på arbetsmarknaden. Den förra lägger en stor del av det integrerande ansvaret på individen, medan den senare främst tillskriver politiken ett ansvar. Resultatet synliggör också att det över tid har skett förändringar i vilka andra diskurser som aktualiseras i debatterna och hur dessa legitimeras. Sammantaget indikerar detta att det har skett en förändring i samhällsklimatet under den studerade tidsperioden. Studien visar även att diskurserna om integration i Sverige på flera håll överlappar med diskurserna om ämnet i andra länder.

The enactement of the Energy Policy and conservation Act of 1975, led to a paradigm shift in material selection and design in the automotive industry. The net effect was an increased focus by the automotive industry toward the use of light metals leading for the reduction of weight and hence, the dependence of imported oil. Increasing use of aluminum was a transition in that direction. However, raw aluminum on an average is 1.5 - 2 times as expensive as steel. Near net shape manufacturing processes (Die casting, Thixo-forging, etc) provided the much needed competitive advantage vis-à-vis steel / iron parts by permitting the manufacturing of Al components. Semi solid processing involves the net shape manufacturing of alloys in a two phase region (liquid + solid). The reduced turbulence (during casting), less entrapped gases and lower operating temperatures (processes below the liquidus) make semi solid processing ideal for the manufacturing of high integrity Al parts. Traditionally, semi solid processing involved the heating of billets to a two phase region (called Thixcasting). Rheocasting is a new semi solid processing technique wherein the alloy is cooled from a liquid state (a combination of controlled heat / nucleation and growth phenomena) to yield structures similar to the Thixocasting process. Rheocasting or Slurry-On-Demand is in its early stages of development (the first industrial prototype of rheocasting was invented in the late 1990's) and forms the central point of interest in this work. Much research is underway around the globe to understand the controlling mechanism as well as the structure - property relationships in rheocast parts, primarily limited to the hypoeutectic Al-Si alloys (less than 12.6% Si). This work is dedicated in the development of novel methods for the rheocasting of hypereutectic Al-Si alloys (greater than 12.6% Si) and Al based wrought alloys (alloys with Cu, Zn, Mg and Si as alloying elements). The thesis presents the problems associated with microstructure control of hypereutectic Al-Si (primary Si coarsening and accelerated growth) and Al based wrought alloys (dendritic structures and hot tearing) with currently available technologies. Novel processing techniques are presented for the casting of hypereutectic Al-Si alloys and Al based wrought alloys with a combination of industrial trials and a through analysis of the underlying mechanisms.

Este trabalho foi desenvolvido em duas etapas: i) síntese, caracterização e aplicação de pontos quânticos de CdS, CdSe e CdTe em células solares. ii) modificação da superfície dos pontos quânticos de CdSe através de troca de ligante, seguida de caracterização e aplicação em células solares. Os pontos quânticos foram sintetizados utilizando acetatos de cádmio, selênio, telúrio e enxofre como precursores e ácido oleico como agente de estabilização. Na segunda etapa o ácido oleico foi substituído por ligantes com maior afinidade eletrônica pelos sítios de Cd2+: ácido 3-mercaptopropiônico, 4-ácido-mercaptobenzóico e ácido 11-mercaptoundecanóico. As amostras foram caracterizadas por UV-Vis, fluorescência, microscopia eletrônica de transmissão, difratometria de raios-X e voltametria cíclica. Adicionalmente, testes de solubilidade, análises de TGA e de RMN foram realizadas para confirmar a troca de ligante. Através dos resultados, verificou-se que todos os pontos quânticos sintetizados são adequados para sensibilização de TiO2 em dispositivos fotovoltaicos. No entanto, os pontos quânticos de CdSe e CdTe apresentaram fatores que evidenciam maior confinamento quântico, sendo que a maior estabilidade do éxciton foi obtida para o CdSe. Através das análises de RMN foi possível verificar que não existe apenas uma confirguração espacial preferencial para a adsorção do ligante sobre a superfície deste ponto quântico enquanto que curvas de corrente versus potencial e de eficiência de conversão de fóton incidente mostraram que a eficiência do dispositivo é fracamente dependente do ligante. Contudo, a troca de ligantes favorece a solubilidade em solventes com diferentes polaridades, inclusive água, o que amplia as possibilidades de aplicação dos pontos quânticos sintetizados neste trabalho. / This work was developed in two stages: i) synthesis, characterization and application of CdS, CdSe and CdTe quantum dots to assemble solar cells, ii) surface modification, characterization and application of CdSe quantum dots to assemble solar cells. The quantum dots were synthesized by using cadmium acetate, Se, S or Te as precursors and oleic acid as stabilizing agent. In the second stage the oleic acid capping layer was replaced by other ligands with higher electron affinity to Cd2+: 3-mercaptopropionic acid, 4-mercaptobenzoic acid and 11-mercaptoundecanoic acid. The samples were characterized by UV-Vis, fluorescence, transmission electron microscopy, x-ray diffractometry and cyclic voltammetry. Additionally, solubility tests, TGA analysis and NMR were performed to evaluate the CdSe surface modification. The results showed that all quantum dots synthesized are adequate to sensitize TiO2 in photovoltaic devices. However, CdSe and CdTe quantum dots presented better quantum confinement and the exciton generated in CdSe presented the higher stability. NMR analysis provided information about the non-preferential orientation for adsorption of the ligands on the CdSe surface, meanwhile measurements of current vs. potential and incident photon current efficiency showed a weak dependence of photovoltaic device efficiency with the nature of the ligand. On the other side, the surface modification favors the solubility in solvents with different polarizabilities, including water, widening the range for applications of the quantum dots synthesized in this work.

O objetivo deste artigo é propor uma nova maneira de mensurar o risco sistêmico do sistema financeiro e identificar as instituições financeiras sistemicamente importantes utilizando a teoria dos valores extremos e modelos da classe GAS. Para demonstrar a qualidade da nossa medida de risco, nós comparamos a nossa medida de risco com o BSI através de um horse race proposta por Rodríguez-Moreno e Peña (2013). Os nossos resultados apontam que a nossa medida tem boas características, porque a horse race entre ela e o BSI gerou um empate e que a instituição que teve maior influência na nossa amostra foi o JP Morgan, ao passo que a instituição menos relevante foi a AIG. / The objective of this paper is to propose a new way of measuring the systemic risk of the financial system and to identify the systemically important financial institutions using the theory of extreme values and GAS class models. To demonstrate the quality of our risk measure, we compare our risk measure with the BSI through a horse race proposed by Rodríguez-Moreno e Peña (2013). Our results indicate that our measure has good characteristics because the horse race between it and BSI generated a tie and that the institution that had the greatest influence in our sample was JP Morgan, whereas the institution less was AIG.