Submitted by Daniella Santos (daniella.santos@fgv.br) on 2009-11-18T11:56:53Z No. of bitstreams: 1 Dissertação_Leonardo_Gomes.pdf: 273681 bytes, checksum: 555d39e5c2301452d9cf5738ea42c04d (MD5) / Approved for entry into archive by Antoanne Pontes(antoanne.pontes@fgv.br) on 2009-11-24T14:04:25Z (GMT) No. of bitstreams: 1 Dissertação_Leonardo_Gomes.pdf: 273681 bytes, checksum: 555d39e5c2301452d9cf5738ea42c04d (MD5) / Made available in DSpace on 2009-11-24T14:04:25Z (GMT). No. of bitstreams: 1 Dissertação_Leonardo_Gomes.pdf: 273681 bytes, checksum: 555d39e5c2301452d9cf5738ea42c04d (MD5) / This work investigates the importance of income distribution on economic growth. We built a bigger and wider representative database of inequality than that commonly used in the literature. We use the system GMM estimator to estimate the parameters of interest. We found evidence of a negative relationship between inequality and growth when we use the more restrict database and evidence of a positive relationship between inequality and growth when we use the expanded one. The coefficients obtained indicate that inequality affects growth marginally. / Este trabalho investiga a importância da distribuição de renda sobre o crescimento econômico. Construímos um banco de dados de desigualdade mais amplo e representativo que o comumentemente usado na literatura. Utilizamos o estimador de GMM por sistemas para estimar os parâmetros de interesse. Encontramos evidências de uma relação negativa entre desigualdade e crescimento ao utilizarmos o banco de dados restrito e evidências de uma relação positiva entre desigualdade e crescimento quando utilizamos o banco de dados ampliado. Os coeficientes encontrados indicam que a desigualdade afeta o crescimento de maneira marginal.

Submitted by Daniella Santos (daniella.santos@fgv.br) on 2009-12-14T12:32:29Z No. of bitstreams: 1 Dissertação_Leticia_Magalhaes.pdf: 812475 bytes, checksum: 8e3353833554686761fdc934680b8151 (MD5) / Approved for entry into archive by Antoanne Pontes(antoanne.pontes@fgv.br) on 2009-12-22T13:13:21Z (GMT) No. of bitstreams: 1 Dissertação_Leticia_Magalhaes.pdf: 812475 bytes, checksum: 8e3353833554686761fdc934680b8151 (MD5) / Made available in DSpace on 2009-12-22T13:13:21Z (GMT). No. of bitstreams: 1 Dissertação_Leticia_Magalhaes.pdf: 812475 bytes, checksum: 8e3353833554686761fdc934680b8151 (MD5) / Este artigo examina a hipótese de convergência de renda per capita entre os estados brasileiros no período de 1970 a 2005. Comentam-se os resultados encontrados para sigmaconvergência medida através de indicadores de desigualdade, como o índice de Theil e coeficiente de variação. Para testar a existência ou não de convergência aplica-se além da metodologia tradicional de beta convergência baseada em regressões de cross-section, a técnica de estimação de GMM em primeira diferença para painel dinâmico. Além disso, com a finalidade de obter a distribuição de renda de longo prazo da economia, utiliza-se a metodologia de cadeia de Markov proposta por Quah (1993). A conclusão do estudo é de que os estados brasileiros já estão muito próximos ao seu steady-state. A velocidade de convergência quando se utiliza o método de GMM eleva-se para 15%, enquanto os resultados obtidos para estudos de cross-section giram por volta de 1%.

Submitted by Daniella Santos (daniella.santos@fgv.br) on 2010-03-11T13:05:06Z No. of bitstreams: 1 Dissertação_Victor_Pina.pdf: 384984 bytes, checksum: 5b56ac7bf5f98833ebcc39735d0a3be4 (MD5) / Approved for entry into archive by Andrea Virginio Machado(andrea.machado@fgv.br) on 2010-03-11T18:50:26Z (GMT) No. of bitstreams: 1 Dissertação_Victor_Pina.pdf: 384984 bytes, checksum: 5b56ac7bf5f98833ebcc39735d0a3be4 (MD5) / Made available in DSpace on 2010-03-12T13:09:13Z (GMT). No. of bitstreams: 1 Dissertação_Victor_Pina.pdf: 384984 bytes, checksum: 5b56ac7bf5f98833ebcc39735d0a3be4 (MD5) Previous issue date: 2009-10-23 / É proposto aqui um modelo estrutural macroeconômico capaz de englobar os impactos das políticas fiscal e monetária do governo sobre os principais agregados macroeconômicos, assim como projetar seus efeitos no curto e médio prazos. Para tanto um sistema com dez equações é proposto. A primeira equação é uma do tipo IS, ligando o hiato do produto e suas defasagens à taxa de juros reais e à taxa de câmbio real. A segunda é uma versão da chamada Curva de Phillips, que liga a inflação, suas defasagens, e valores esperados futuros, ao hiato do produto e à taxa de câmbio nominal. A terceira é a uma equação da chamada Paridade de Juros não Coberta, que liga o diferencial das taxas interna e externa à desvalorização esperada da moeda doméstica e ao prêmio de risco de reter ativos domésticos. Complementa-se o sistema formado por essas três equações da seguinte forma: uma equação para o emprego representando o mercado de trabalho, duas equações que representariam o comportamento fiscal agregado - gasto público, arrecadação tributária - e duas que representariam a demanda por exportações e importações nacionais. Finalmente, são acrescentadas duas identidades que determinarão o caminho da dívida pública e o da dívida externa.

Made available in DSpace on 2010-04-20T20:58:03Z (GMT). No. of bitstreams: 1 1_166943.pdf: 529168 bytes, checksum: 4fbbe4e69878b615851de1e24f7c69b3 (MD5) Previous issue date: 2007-12-17T00:00:00Z / This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as a benchmark for comparative purposes. We use two competing econometric methods, the Generalized Method of Moments (GMM) by (Hansen, 1982) and the Iterative Nonlinear Seemingly Unrelated Regression Estimation (ITNLSUR) by Burmeister and McElroy (1988). Both methods nest other options based on the procedure by Fama-MacBeth (1973). The estimations show that the FF model fits the Brazilian data better than CAPM, however it is imprecise compared with the US analog. We argue that this is a consequence of an absence of clear-cut anomalies in Brazilian data, specially those related to firm size. The tests on the efficiency of the models - nullity of intercepts and fitting of the cross-sectional regressions - presented mixed conclusions. The tests on intercept failed to rejected the CAPM when Brazilian value-premium-wise portfolios were used, contrasting with US data, a very well documented conclusion. The ITNLSUR has estimated an economically reasonable and statistically significant market risk premium for Brazil around 6.5% per year without resorting to any particular data set aggregation. However, we could not find the same for the US data during identical period or even using a larger data set. Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são Infrontados, os modelos Capital Asset Pricing Model (CAPM)e de 3 fatores de Fama-French. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ao ano. / Este estudo procura contribuir com a literatura empírica brasileira de modelos de apreçamento de ativos. Dois dos principais modelos de apreçamento são confrontados, os modelos Capital Asset Pricing Model (CAPM) e de 3 fatores de FamaFrench. São aplicadas ferramentas econométricas pouco exploradas na literatura nacional na estimação de equações de apreçamento: os métodos de GMM e ITNLSUR. Comparam-se as estimativas com as obtidas de dados americanos para o mesmo período e conclui-se que no Brasil o sucesso do modelo de Fama e French é limitado. Como subproduto da análise, (i) testa-se a presença das chamadas anomalias nos retornos, e (ii) calcula-se o prêmio de risco implícito nos retornos das ações. Os dados revelam a presença de um prêmio de valor, porém não de um prêmio de tamanho. Utilizando o método de ITNLSUR, o prêmio de risco de mercado é positivo e significativo, ao redor de 6,5% ano.

Using static and dynamic panel data analysis, we examine how interest rates influenced equity prices of European banks and insurance companies between 2006 and 2015. Identification and quantification of effects of the low yield environment, which is a consequence of decreasing interest rates, are crucial for regulators and policy makers. Our static and dynamic models show that decreasing short-term interest rates had a negative impact both on banks and insurers. In this thesis, dynamic models are estimated by means of the Blundell- Bond system GMM estimator and we consider their results superior to the results of static models because all underlying assumptions of the dynamic models are met here. Results obtained by employing the Blundell-Bond system GMM estimator suggest that life insurers were effected more than banks, while banks were effected more than non-life insurers. In case of a 1 percentage point decrease in short-term interest rates, equity prices of life insurers are estimated to decrease on average by 18 %, equity prices of banks by 8 %, and equity prices of non-life insurers by 3 %. JEL Classification C33, C36, C61, E44, G21, G22 Keywords interest rates, equity prices, static panel analy­ sis, dynamic panel analysis, system GMM esti­ mator Author's e-mail jurena.filip.l@ gm ail.com...

There exists much controversy as to whether international migration in general, and migrant's remittances in particular, increase or decrease economic welfare at origin. Our research contributes to the international discussion on remittances by presenting novel insights on the basis of theoretical and empirical analysis. Analysis of remittances from macro-economic as well as micro-economic point of view reveals that remittances not only have growth enhancing effect but also have an equalizing impact on income distribution of the recipient economy. The first chapter shows how large flows of remittances not only help the receiver to accumulate necessary savings but also reduce the critical level of wealth needed to get access to the capital market to instigate entrepreneurship. The second chapter reveals that the measured impact of remittances on business investment have significant country heterogeneity; remittances facilitate entrepreneurship in those countries where the lenders of the capital market can predict smooth and increasing flow of remittances. The third chapter proposes that remittances work better than aid in enhancing growth of the recipient country and the reason is that remittances are more effective than aid in augmenting capital accumulation.

This paper analyses the relationship between corruption and shadow economy. Synthesis of existing theoretical models and the empirical findings in this paper show that different types of corrupt behavior interact with shadow economy differently. Therefore, the relationship between contexts differs. Overall, it seems that the mechanisms leading to the complementary relationship are more prevalent. The results also imply that the quality of public goods available in the official economy influences where the different types of corrupt behavior manifest. When the quality of the public goods is high, corruption and shadow economy appear to be substitutes and when the quality is low, they are complements. However, the relationship is not robust and depends upon the measures used to assess the public goods quality. Furthermore, corruption and shadow economy seem to be complements in decentralized countries and countries with high taxes.

This thesis testing hybrid NKPC for the Czech Republic and the Slovakia. Analysis made by Generalized Method of Moments (GMM) and complementary Two Stage Least Squares (TSLS) demonstrated that given concept, representing short-run relationship between inflation, inflation expectations and marginal cost/output gap, is relevant for the Slovakia and irrelevant for the Czech Republic. And NKPC is relevant for both countries. Thesis also shows the development of the Phillips curve (from its original version up to the modern version) and its derivation. In this thesis is also introduced so called the triangle model. This thesis also presents several (similar) researches which testing (hybrid) NKPC and their results are compared with the results of this thesis.

We estimate the speed of income convergence for a sample of 196 European NUTS 2 regions over the period 1985-1999. So far there is no direct estimator available for dynamic panels with strong spatial dependencies. We propose a two-step procedure, which involves first spatial filtering of the variables to remove the spatial correlation, and application of standard GMM estimators for dynamic panels in a second step. Our results show that ignorance of the spatial correlation leads to potentially misleading results. Applying a system GMM estimator on the filtered variables, we obtain a speed of convergence of 6.9 per cent and a capital elasticity of 0.43. / Series: EI Working Papers / Europainstitut

Air pollution (in terms of PM2.5) is severe in developing countries, and the rapid population growth accompanied by urbanization may limit their potential economic development. This paper aims to investigate if urbanization and economic freedom cause higher levels of PM2.5 in developing countries. By measuring the potential effect of economic freedom on PM2.5 with the Ease of Doing Business-score by the World Bank, a new measure is introduced to the research on socioeconomic factors’ influence on air pollution. It is done by running both fixed effects- and system GMM regressions on a panel consisting of 63 low- and lower-middle-income economies between 2010-2017. The results indicate that PM2.5 is insensitive to changes in both variables and that urbanization’s effect on PM2.5 depends on the level of economic freedom and vice versa. However, both estimators may suffer from bias, and thus, the real relationship of urbanization and economic freedom on PM2.5 remains uncertain.