The ageing of the Swedish population entails an increase of public and pension expenditure. A solution to keep the compensation level constant is to make individuals retire later from the labor force. In order to understand what actions need to be implemented, there is a need of more knowledge about the characteristics of individuals who chose to remain in the labor force after the normal age of retirement. This essay investigates how senior workers’ that are above the normal retirement age responds to an increase of non-labor income and how it affects labor supply. The results show that around 66 % of individuals will continue to work to the same extent, around 15 % will choose to reduce hours of work, and near 19 % will chose to retire. Also the results show that a person that will not change anything in hours of work after an increase in non-labor income will most likely be a male that is self-employed, who really likes his job and has a postgraduate degree. One conclusion in this essay is that to only focus on compensation levels in different social insurance systems to increase senior workers’ labor force participation will not be as effective as if also focus would be on social norms and cultural beliefs to increase engagement towards work.

According to the standard life-cycle hypothesis, all expected future incomes should be incorporated into an individual’s life-time budget and therefore affect current economic behavior. As inheritances can be anticipated to some extent, I test if expectations on receiving an inheritance in the future affect individuals’ current decisions about their labor supply, savings and consumption. To empirically test this, I take advantage of the combined facts that individuals in Sweden are legal heirs to their childless sibling and that the probability of inheriting a childless sibling increases with time due to the negative relationship between age and fertility. If individuals internalize the expected inheritance, we should observe a readjustment in labor supply and consumption at the time of an unexpected birth of a nephew or niece and onwards. Exploiting the variation in the expected inheritance loss, I find that individuals internalize expected inheritances by readjusting their savings after this event. I do not find any overall effects in labor supply or consumption. However, there seems to exist some heterogeneity in responses between males and females, where males only adjust their savings while females adjust both their labor supply and savings.

No description available.

No / This paper investigates the equilibrium relationship between taxation, portfolio choice (risk-taking) and capital accumulation. Specifically, it examines how taxes affect risk-taking and capital accumulation. We extend the existing literature by relaxing two crucial assumptions in modelling risk-taking behavior: (i) that the investment opportunity set is fixed and (ii) that there is no distinction between attitudes towards risk and behavior towards intertemporal substitution. We extend the investment opportunity set of individuals through optimally determined human capital; and distinguish intertemporal substitution from attitudes towards risk via a recursive utility function. In the presence of these extensions, the paper successfully derives a closed-form solution to the stochastic growth model with stochastic wage income.

Assume the model is a closed economy, and the shock is from technology progress. This research, based on a real business cycle model, explores the government¡¦s optimal taxation on consumption and labor income under the condition that representative agent¡¦s utility function has consumption externalities as well as leisure externalities. In the following, by changing the value (namely, by setting the consumption and leisure externalities parameter as either positive or negative), this research examines cyclical property of optimal taxation in terms of four situations occurred. The results indicate that, when labor income taxation in the economy is a constant, consumption externalities parameter is negative, leisure externalities parameter is positive, then the consumption taxation is countercyclical at this time; at other times the consumption taxation is procyclical. On the other hand, suppose consumption taxation is a constant, consumption externalities parameter is negative, leisure externalities parameter is positive, or both consumption and leisure externalities parameter are negative, then labor income taxation is countercyclical at this time; at other times the labor income taxation is procyclical.

Chapter one shows that US households with high unconditional and cyclical labor income risk are more leveraged and allocate a greater share of their financial assets to stocks. I use self-reported risk preferences to show that rational sorting of risk tolerant workers into risky employment is responsible for this otherwise puzzling result. With risk preferences accounted for, I find evidence that households with greater permanent income variance reduce leverage and stock allocations to an extent consistent with theory. However, household portfolios and employment selection do not respond significantly to any of the other three forms of labor income risk I measure: disaster risk, permanent income cyclicality, and permanent income variance cyclicality. Chapter two reports evidence that individual investors in Indian equities hold better performing portfolios as they become more experienced in the equity market. Experienced investors tilt their portfolios profitably towards value stocks and stocks with low turnover, but these tilts do not fully explain their performance. Experienced investors also tend to have lower turnover and disposition bias. These behaviors, as well as underdiversification, diminish when investors experience poor returns resulting from them, consistent with models of reinforcement learning. Furthermore, Indian stocks held by experienced, well diversified, low-turnover and low-disposition-bias investors deliver higher average returns even controlling for a standard set of stock-level characteristics. Chapter three shows that news reflected by industry stock returns is only gradually incorporated into stock prices in other countries. Information links between cross-border portfolios play a significant role in explaining variation in the speed of this incorporation; responses to industry news are rapid across borders where portfolios share more crosslistings, equity analyst coverage, and a greater common equity investor base. The drift in returns following cross-border industry news has halved in the past 25 years. About half of this change relates to a growth in information links and reductions in expropriations risks facing foreign investors. A simple long-short trading strategy designed to exploit gradual diffusion of industry news across borders appears profitable, but is unlikely to yield returns as high as the 8 to 9 percent annual rate the strategy has returned historically. / Economics

Submitted by Renata Lopes (renatasil82@gmail.com) on 2016-07-26T20:15:21Z No. of bitstreams: 1 esthergrizendegarcia.pdf: 2061658 bytes, checksum: 362dbb4c657f5be1883e9421ad02ba40 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2016-07-27T11:32:10Z (GMT) No. of bitstreams: 1 esthergrizendegarcia.pdf: 2061658 bytes, checksum: 362dbb4c657f5be1883e9421ad02ba40 (MD5) / Made available in DSpace on 2016-07-27T11:32:10Z (GMT). No. of bitstreams: 1 esthergrizendegarcia.pdf: 2061658 bytes, checksum: 362dbb4c657f5be1883e9421ad02ba40 (MD5) Previous issue date: 2016-06-20 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / FAPEMIG - Fundação de Amparo à Pesquisa do Estado de Minas Gerais / O presente trabalho tem como objetivo investigar a relação entre o estado de saúde dos indivíduos e seus rendimentos provenientes do trabalho. Indivíduos doentes podem perder produtividade em sua atividade profissional, podem necessitar se ausentar do trabalho por um período, ou até mesmo deixar de trabalhar. O estudo é realizado para o Brasil, utilizando os dados da PNAD de 2003 e 2008, que contêm o suplemento de saúde. Para a pesquisa foram selecionados apenas os indivíduos do gênero masculino com idade entre 18 e 65 anos. São criadas as variáveis estado de saúde e nível socioeconômico, a partir da Análise do Componente Principal (PCA). Para a investigação, utiliza-se o método Propensity Score Matching (Escore de Propensão). Os indivíduos não saudáveis (grupo de tratamento) estão pareados com um subgrupo de indivíduos saudáveis (grupo de controle) a fim de obter atributos semelhantes de ambos os grupos, em que a única característica que os diferenciam é a condição de saúde. O estudo utiliza três tipos de pareamento: Vizinho Mais Próximo (Nearest Neighbor Matching), Pareamento por Raio (Radius Matching) e Pareamento por Kernel. Em seguida, utiliza-se o modelo minceriano para mensurar o retorno salarial. Os resultados da pesquisa demostram que o estado de saúde é relevante para explicar rendimentos do trabalho principal. Considerando os três métodos de pareamento, os indivíduos não saudáveis auferem em torno de 13,2% a 21% a menos que os indivíduos saudáveis. Esse efeito é corroborado quando os resultados são estimados pela combinação do método de pareamento com regressão linear, indivíduos não saudáveis auferem, em média, rendimentos entre 11,75% e 15,9% menores que os rendimentos de indivíduos saudáveis. / This study aims to investigate the relationship between the health status of individuals and their income from work. Ill patients may lose productivity in their professional activity, they may need to be absent from work for a period, or even stop working. The study is conducted for Brazil, using the PNAD data of 2003 and 2008, which contain the health supplement. For the research were selected only male subjects aged between 18 and 65 years. The variables health and socioeconomic status, from the Principal Component Analysis (PCA) are created. For research, we use the propensity score matching method (Score Propensity). Non-healthy individuals (treatment group) are matched with a subset of healthy individuals (control group) to obtain similar attributes of both groups, wherein the unique feature that distinguish them is the health condition. The study uses three types of pairing: Nearest Neighbor (Nearest Neighbor Matching), pairing by Radius (Radius Matching) and pairing by Kernel. Then you use the mincerian model to measure the wage returns. The survey results demonstrate that the health status is relevant to explain income of the main job. The survey results show that, considering the three methods of matching, unhealthy individuals earn 13.2% to 21% less than healthy individuals. This effect is higher considering the regression model combined with matching, unhealthy individuals earn, on average, around 11.75% and 15.9% lower than the healthy individuals.

Cette thèse de doctorat comprend trois articles indépendants sur la finance des ménages et l’évaluation des actifs. Les deux premiers articles sont étroitement liés, utilisent des données similaires et étudient le rôle du risque de revenu du travail dans le choix du portefeuille. Le troisième article étudie un modèle de volatilité basé sur le model de Markov-switching multifractal. Le premier article est intitulé "Countercyclical Income Risk and Portfolio Choices" (avec Sylvain Catherine et Paolo Sodini). En utilisant les données du panel administratif suédois sur les salaires et les choix de portefeuille des particuliers, nous montrons que le risque de du revenu contracyclique réduit la volonté des ménages d'investir sur le marché financier. Le deuxième article est intitulé "Seeking Skewness". À l'aide de données administratives détaillées des ménages suédois sur les portefeuille et le revenu du travail, cet article examine le comportement des investisseurs de la demande d'asymétrie dans leur choix de portefeuille. Le troisième article est "Multifractal Volatility with Shot-noise Component" (avec Laurent Calvet). Baser sur le modèle Markov Switching Multifractal (MSM) de Calvet et Fisher (2004), nous développons dans cet article un modèle de volatilité multifractale à temps discret pour capturer des sauts et des décroissances dans le processus de volatilité. / This doctoral thesis consists of three independent papers in household finance and empirical asset pricing. The first two papers are closedly related, use similar data, and investigate the role of labor income risk in portfolio choice. The third paper studies volatility model based on Markov switching multifractal. The first paper is “Countercyclical Income Risk and Portfolio Choices” (with Sylvain Catherine and Paolo Sodini). Using Swedish administrative panel data on individual's wages and portfolio holdings, we show that countercyclical labor income downside risk reduces households' willingness to invest in financial market. The second paper is “Seeking Skewness”. Using detailed disaggregated Swedish household administrative data on portfolio holdings and labor income, this paper investigates retail investors’ behavior of seeking skewness in their portfolio choice. The third paper is “Multifractal Volatility with Shot-noise Component” (with Laurent Calvet). Based on the Markov Switching Multifractal (MSM) model of Calvet and Fisher (2004), we develop in this paper a discrete-time multifractal volatility model to capture the jump and decay pattern in the volatility process along with other stylized facts.

No description available.

O objetivo deste estudo é identificar e estimar a influência da escolaridade e outros fatores socioeconômicos no rendimento do trabalho no nordeste e sudeste do Brasil. Retornos a escolaridade, sexo, cor da pele e nível educacional dos pais foram estimados com ajustamento de quatros diferentes modelos econométricos: três regressões lineares múltiplas e um modelo de variável instrumental. Neste estudo foi utilizada amostra de 3.169 observações, selecionada da Pesquisa sobre Padrões de Vida 1996-1997 - PPV do IBGE. A seleção da amostra se deu através da imposição de algumas restrições aos microdados da PPV, sendo as principais: i) observações com rendimento do trabalho positivo; ii) de pessoas com 15 anos ou mais de idade que conheciam o nível educacional dos pais. O referencial teórico deste estudo é baseado na teoria do capital humano, com ênfase especial as contribuições de T. W. Schultz e Jacob Mincer. Os resultados encontrados são consistentes com os princípios propostos por Mincer. Em todas formulações o conjunto de variáveis mostrou-se relevante e o coeficiente de determinação satisfatório. A pesquisa aponta para a existência de uma relação positiva entre educação e rendimento do trabalho. As taxas de retornos estimadas para escolaridade variam de 12% a 19% e parecem plausíveis para o caso brasileiro. Como relação de causa e efeito, pode-se esperar que um ano adicional de educação formal eleve tanto a produtividade quanto o rendimento do trabalho. Também importante, é a constatação que o nível educacional dos pais exerce influência positiva sobre o rendimento do trabalho. Esta variável foi utilizada como proxy das características não observáveis que influenciam a escolarização dos indivíduos, denominadas de family background. A média de anos de estudos completos na amostra selecionada situa-se muito acima das estatísticas oficiais do país, em torno de 10 anos, evidenciando a crescente importância com que instituições públicas e privadas do mercado de trabalho vêem a educação. Provavelmente, este fato tenderá a ser muito mais relevante no futuro, conduzindo os policymakers e as pessoas comuns a considerarem os investimentos em educação uma questão prioritária, se não a mais importante. Outras variáveis especificadas nos modelos mostraram-se relevantes, como sexo, cor da pele e região. Algumas dessas variáveis explicam parcela significativa das diferenças regionais no Brasil. Diferenciais regionais de escolaridade e renda refletiram os contrastes entre pobreza rural e o crescimento desorganizado nas áreas urbanas. Nossos resultados mostram que o rendimento do trabalho é muito mais elevado nas metrópoles estudadas, especialmente no sudeste. Tanto no nordeste quanto no sudeste, o rendimento do trabalho no meio rural apresenta valores inferiores aos do meio urbano. Os anos de idade das pessoas mostram-se relacionados positivamente com o rendimento do trabalho, até certo ponto no intervalo entre 52 e 58 anos, quando o rendimento do trabalho é máximo. Além desse limite, espera-se uma depreciação do estoque de capital humano acumulado pelo indivíduo. Como sugerido pela variável representativa das pessoas de origem asiática, este grupo étnico apresenta rendimento do trabalho acima dos demais grupos da amostra selecionada. Finalmente, apesar das mulheres exibir escolaridade ligeiramente maior que os homens - um ano a mais - seu rendimento médio no trabalho corresponde a 75% do pelos homens. / The objective of this study is to identity and estimate the influence of schooling, and other social and economic factor on labor income in northeast and southeast regions of Brazil. Returns to schooling, gender, race, region and parents’ level of schooling were then estimated through the adjustment of four different econometric models: three multiple regression equations, and one instrumental variable equation. The data used in the study were obtained from a selected sample with 3,169 observations. These observations came from a larger sample of the Research on Standards of Living, also called PPV, conducted by IBGE in the 1996-1997 period. The selected sample imposed to the PPV sample the following main restrictions: i) observations with a positive labor income in the labor market; and, ii) persons with aging 15 years or more and aware of their parents' level of schooling. The theoretical background of the study is based on the theory of human capital, and special emphasis is given to the contributions of T.W. Schultz and Jacob Mincer. The results of the economic models are consistent with the theoretical principles proposed by Mincer. The research findings support the principle of strong and positive relation between formal education and labor income, despite the frequent argument that social, economic, and cultural factors influencing the level of education makes difficult to know the real direction of such relationship. The rates of return estimated for schooling, ranging from 12 to 19 %, seem to be plausible for the Brazilian case. Previous research support this evidence. As a relation of cause and effect, it might be expected that one additional year of formal education will raise both labor productivity and labor income. Also important, is the indication that parents’ level of schooling is likely to exert a positive influence on labor income. This variable was used as a proxy of the family background, an attempt to capture the influence of a complex set of non observable variables on formal education. The average schooling in the selected sample is much higher than the official statistics for the country, close to 10 years. A possible implication of such result is the growing importance that private and public institutions are given to education in the labor market. Probably, this fact will tend be more evident in the future, so that policymakers and common people have to consider investment in education a high priority issue, if not the highest one. Other variables specified in the models also appear to be relevant. This is the case of gender, race, and region. Some of these variables explain a significant share of the regional differences found in the Brazilian society. Labor income regional differences reflect the so called contrasting scenarios between rural poor and turbulent growth in urban areas. Our findings indicate that labor income is much higher in the metropolitan areas studied, especially in the southeastern region. Labor income of rural people both in northeast and southeast falls behind the urban values. The age variable tends to be positively associated to labor income up to a given point in time, between 52 and 58 years. This is the interval within which the peak of labor income is observed. Beyond that, it might be expected a depreciation effect on the stock of human capital. As suggested by the variable representing the descendants from Asian people, this ethnic group shows the highest labor income in comparison to other groups in the selected sample. And finally, in spite of exhibiting a slightly higher level of formal education - one year more - the women of the sample earned only 75% of the average labor income of the sample.