[pt] Esta dissertação investiga a presença de informação assimétrica no mercado de planos de saúde do Brasil e os principais efeitos gerados por essa assimetria de informação, conhecidos como seleção adversa e risco moral (moral hazard). A partir de dados do Suplemento Saúde da PNAD 98, são feitas análises descritivas e realizadas inferências estatísticas para avaliação tanto do risco moral quanto da seleção adversa. Na busca por um melhor entendimento do problema de seleção adversa estima-se também um modelo logístico para investigação da relação entre a condição de uma pessoa ter plano de saúde e variáveis explicativas tais como, renda, idade e auto- avaliação do estado de saúde, dentre outras. Em uma etapa subseqüente, são realizadas inferências sobre o risco moral por intermédio de dois procedimentos distintos: no primeiro, a partir da construção de um indicador de risco moral, denominado IRM, analisa-se a diferença entre o número de consultas médicas ambulatoriais realizadas por indivíduos com e sem plano de saúde levando-se em consideração o plano amostral da PNAD 98; o segundo, consiste num procedimento que tem por objetivo verificar a relação entre o fato de uma pessoa ter plano de saúde e o número de consultas médicas realizadas, por intermédio da estimação de um modelo binomial negativo com barreira (hurdle negative binomial model). / [en] The aim of this dissertation is to investigate the presence of asymmetric information in the Brazilian health insurance market and the effects that arises due to this asymmetric information: adverse selection and moral hazard. Using the data set of the Health Supplement of the Brazilian Household Sample Survey (Pesquisa Nacional por Amostra de Domicílios - PNAD) for the year 1998, descriptive analysis are produced and statistical inferences are realized to evaluate the moral hazard and adverse selection. In order to have a better perception of the adverse selection problem it is estimated a logistic model to evaluate the relation among the condition of having a health plan and independent variables such as income, age, and health self- perception. In a next step inferences related to moral hazard are realized by two different procedures: the first one, based on the construction of a moral hazard indicator, named MHI, analyses the differences between the number of physician visits for individuals who have and who have not a health plan, considering the sample design of the Health Supplement of the Brazilian Household Sample Survey. The second procedure aims to verify the relation between having a health plan and the number of physician visits by estimating a hurdle negative binomial model, which allows the elimination of some bias in the average number of physician visits.

A pesquisa traz uma crítica à teoria moderna de finanças em relação à política de gestão de risco, especificamente sobre o Value at Risk, e como ela afeta o risco na economia. O trabalho propõe uma discussão comportamental da ineficácia do VaR e como este tipo de informação pode ser ruim para a economia, por refletir no problema do moral hazard (risco moral) para os gestores, baseados na ilusão de compreensão, ilusão de validade e de habilidade. A dissertação conclui que,ao superestimar a informação do VaR, os agentes alteram seu comportamento para tomar decisão e, com este risco moral, podem gerar o problema dos black swans (cisnes negros). / The research brings a critique of modern finance theory in relation to risk management policy, specifically on the Value at Risk, and how this affects the risk in the economy. The paper proposes a behavioral discussion of VaR ineffectiveness and how such information may be bad in the economy, for reflecting on the moral hazard problem for managers, based on the illusion of understanding, illusion of validity and ability. The dissertation concludes that, to overestimate VaR information, the agents change their behavior to take this decision and, this moral hazard, can generate the black swans.

O objetivo desta dissertação foi analisar o mercado de saúde suplementar no Brasil e avaliar as regulamentações da Agência Nacional de Saúde Suplementar – ANS, órgão regulador do setor, no contexto da teoria da informação assimétrica. Para tanto, utilizou-se a teoria da informação assimétrica através dos problemas de seleção adversa e risco moral a fim de analisar os problemas regulatórios. Também foram levantados dados e referenciais teóricos do mercado de planos de saúde no Brasil, principalmente no que se refere a sua regulação e suas implicações. A revisão bibliográfica deste trabalho indica que diversos estudos já evidenciaram a presença de assimetria de informação no mercado de saúde suplementar. A avaliação econômica de quatro resoluções normativas da ANS também corrobora para com essa evidência e explicam a presença de seleção adversa e risco moral evidenciados da literatura. Este trabalho conclui que a regulação desse mercado falhou, no que tange a redução das falhas de mercado, mais precisamente com relação com relação à assimetria de informação, onde sua presença tornou-se mais acentuadas com suas constantes intervenções, comprometendo a sustentabilidade do mercado e reduzindo o nível de bem-estar econômico. / The objective of this dissertation was to analyze the health insurance market in Brazil and evaluate the regulations of the National Health Agency - ANS, regulatory agency, in the context of the theory of asymmetric information. Therefore, we used the theory of asymmetric information through the problems of adverse selection and moral hazard in order to analyze the regulatory problems. Also data and theoretical of the health insurance market benchmarks in Brazil, especially in relation to regulation and its implications were raised. The literature review of this work indicates that several studies have demonstrated the presence of asymmetric information in the supplementary health market. The economic evaluation of four legislative resolutions ANS also corroborates with this evidence and explain the presence of adverse selection and moral hazard evidenced literature. This paper concludes that the regulation of the market has failed, as regards the reduction of market failures, specifically with respect with respect to information asymmetry, where their presence has become more pronounced with their constant interventions, compromising the sustainability of the market and reducing the level of economic welfare.

This dissertation analyzes the emergence of the Austro-Hungarian Bank (OeUB) as a modern lender of last resort (LLR) between 1868 and 1914. In order to evaluate policy responses to specific periods of financial distress, an in-depth knowledge of the context and dynamics at hand is indispensable. Chapter I sets the groundwork for this dissertation. It shows that bank failures during the Austro-Hungarian crisis of 1873 followed mainly from the break-down of a large repo market on the Viennese stock exchange. Credit institutions granted repo loans against securities that turned into highly illiquid and depreciated collateral. Banks that were forced to sell repossessed collateral in response to heavy funding withdrawals had to write-off substantial portions of their repo portfolios and thus incurred heavy losses. This chapter reinterprets the Austro-Hungarian crisis of 1873 as a historical "run on repo". It is the first study to examine a historical repo market crisis using microdata. I use semi-parametric survival analysis as well as stratification techniques new to the literature on bank distress to identify the causes of bank failures. Bank failures in 1873 did not spring from a pure liquidity problem, nor did they derive from a simple solvency shock. The complex roots of bank distress in 1873 posed difficult questions for policy-makers who needed to decide whether and how to intervene. Although central banks may be first-best candidates for the role of a LLR, they can also face constraints which obviate an elastic supply of liquidity during crises. Some of these constraints may be ideational, institutional or technical. Others are driven by market characteristics: quantity rationing can be the result of asymmetric information problems in financial markets. In Chapter II, I study a historical experiment implemented to overcome the specter of a credit rationing LLR during the Austro-Hungarian crisis of 1873. I explore bank-level information on treatment by a LLR mechanism designed as a public-private partnership between the central bank and market players. Drawing on inverse probability weighted regression adjustment (IPWRA) to tease out the causal effect of liquidity support, I show that this unconventional LLR was effective in mitigating bank distress: it worked as a remedy for the under-provision of a good particularly desirable in times of crises central bank liquidity. No matter how successful it is in calming financial distress and independently of the concrete form it takes, the LLR always comes at a cost. Moral hazard is a central issue in the literature on last resort lending. In Chapter III, I provide a new explanation for how central banks dealt with moral hazard historically. I focus on one specific component of central banks' risk frameworks: credit limits for discount window customers. I argue that credit limits as operationalized by the Austro-Hungarian Bank (OeUB) after 1878 constituted the backbone of an early form of microprudential regulation that was designed to check moral hazard in normal times. Credit limits empowered the Austro-Hungarian Bank to enforce minimum liquidity and capital standards for its counterparties at the discount window. Rather than contradicting the tenet of free lending in times of distress, credit limits functioned as "contingent rules": enforced in normal times, limits were increased or lifted during liquidity crises perceived as exogenous. Moreover, even during crises, the Bank did not simply relax limits for all credit institutions: it differentiated between banks depending on their fundamentals prior to the crisis. Chapter III provides the first economic interpretation and empirical analysis of the credit limit frameworks employed by central banks in the past.

O setor de saúde suplementar brasileiro operou desde os anos de 1940 sem regulação. Em 1998, o governo estabeleceu a regulação deste setor. Na regulamentação das atividades foram estabelecidas a ilimitação do número de consultas médicas, proibição de seleção de risco, entre outras medidas. O objetivo deste trabalho é investigar se a regulação resultou em aumento do número de consultas médicas por parte dos subscritores de planos de saúde, ou seja se ocorreu aumento do risco moral ex-post. Além disto, analisar alterações nos determinantes da demanda por posse de plano de saúde antes e após a regulação visando encontrar indícios de seleção adversa. Para isto, foram utilizados quatro métodos econométricos: regressão de Poisson, regressão binomial negativa e regressão quantílica de dados de contagem e um modelo Probit. O estimador de diferenças-em-diferenças foi utilizado para estimar o impacto da regulação sobre o número de consultas médicas. O modelo de regressão Probit foi utilizado para analisar os determinantes da demanda por posse de plano de saúde. Os dados utilizados provêm da Pesquisa Nacional de Amostra de Domicílios de 1998 (antes da regulação) e 2003 (depois da regulamentação). Os dados foram divididos por sexo e também pelo perfil epidemiológico, sendo selecionados os dados daqueles indivíduos que declararam ser portadores de doença renal crônica. Os resultados dos modelos mostraram que após a regulamentação ocorreu um aumento geral do número de consultas. Contudo, o sinal da principal variável de interesse, a dummy associada ao efeito da regulamentação sobre o número de consultas médicas dos subscritores de planos de saúde foi negativo e estatisticamente significativo - tanto no caso dos homens como no das mulheres - , nos três modelos e nas duas amostras. Isto indica que após a regulamentação ocorreu uma redução do número de consultas médicas dos possuidores de planos de saúde em relação àqueles que não possuíam plano de saúde. O uso da regressão quantílica possibilitou mostrar que o número de doenças crônicas e a posse de um plano de saúde são os fatores que mais afetam o número de consultas. Permitiu também mostrar que os efeitos dos regressores são diferentes entre os sexos e que não são uniformes ao longo dos quantis. Os resultados dos modelos para dados de contagem mostraram que, mesmo quando se controlam as características epidemiológicas, existe risco moral, antes e após a regulamentação. Os resultados do modelo Probit sugerem a existência de seleção adversa após a regulamentação, pois mostram que os indivíduos com maior número de morbidades têm maior probabilidade de adquirir um plano de saúde. Em suma, os resultados mostraram que após a regulamentação ocorreram dois importantes problemas no mercado de saúde suplementar: seleção adversa e risco moral. A conjunção destes dois problemas pode comprometer a sustentabilidade do setor de saúde suplementar brasileiro. / The Brazilian private health insurance sector operated since 1940’s without regulation. In 1998, the government established the regulation of this sector. The reform improved the health insurance coverage level, stating no limit to physician visits and forbiddance of the cream skimming, among others measures. The objective of this thesis is to investigate if the regulation resulted in an increase of physician visits from consumers of health insurance, that is to say, if there has been an increase of moral risk ex-post. Besides, to investigate alterations in the determinants of demand for the health insurance - before and after the regulation - seeking to find evidence or clues of adverse selection. Four econometric methods have been used for this: Poisson Regression, Negative Binominal Regression and Quantile Regression for counts and Probit Regression. The estimator of difference-in-difference was used to estimate the impact of regulation on the amount of physician visits. The Probit model regression was used to analyze the determinants of the demand for health insurance. The data used come from the 1998 Brazilian Household Survey (Pesquisa Nacional de Amostra de Domicílios-PNAD) (before the regulation) and 2003 (after the regulation). The data was divided by gender and also by the epidemiologic characteristics, selecting the data of those individuals who declared being bearers of chronic renal disease. The results of the models showed that, after the regulation, there was a general increase in the amount of consultations. However, the sign of the main variable of interest (year*regulation), the dummy associated to the effect of the regulation on physician visits of the consumers of health insurance, was negative and statistically significant – both in men and in women – in the three models and in both samples. These results suggest that after the regulation there was a reduction in the amount of physician visits of the consumers of health insurance in relation to those who did not hold a health insurance plan. The results of Probit Regression showed that after regulation there is adverse selection, since the number of chronic diseases variable after regulation was positive and statistically significant. The use of quantile regression for counts made possible showing that the number of chronic diseases and the possession of a health insurance plan are the factors which mostly affect the amount of consultations. It also allowed showing that the effects of regressors are different between the genders and also that are different in different parts of the outcome distribution. The results for the models for count data showed that, even when controlling the epidemiologic characteristics, there is a moral hazard, before and after the regulation, since individuals covered by insurance had more physician visits. The results of the Probit Model suggest the existence of adverse selection after a regulation, since it shows that individuals with a higher number of morbidities, are more likely to buy a health insurance plan. In sum, the main findings suggest that after the regulation there are two important problems: adverse selection and moral hazard. The conjunction of these two problems may generate inefficient outcomes and might compromise the sustainability of the Brazilian private health insurance market.

Acompanhando o desenvolvimento do mercado de capitais brasileiro, a procura pelo seguro de responsabilidade civil de diretores e administradores, cujo principal objetivo é ressarcir as perdas pecuniárias que os administradores venham a sofrer em virtude de reclamações de terceiros, cresceu significativamente nos últimos anos. Se de um lado este seguro mostra-se um importante instrumento de proteção aos administradores diligentes que porventura tenham seu patrimônio afetado para reparação de danos a terceiros prejudicados por seus atos, de outro, ele poderia servir de incentivo aos maus gestores que, amparados pelo seguro, negligenciariam seus deveres e obrigações enquanto administradores, gerando o chamado risco moral (moral hazard). Mediante a análise de hipóteses em que se discute a aplicação do seguro no âmbito da administração das companhias, este trabalho propõe-se a examinar de que forma os múltiplos efeitos resultantes da aplicabilidade ou o do afastamento da aplicabilidade do seguro afetam o comportamento dos administradores, bem como debater a admissibilidade do seguro no direito brasileiro, vis-à-vis os questionamentos relativos às situações que colocam em xeque a viabilidade da cobertura securitária. / Following the development of the Brazilian capital market, the demand for the directors and officers liability insurance (D&O Insurance) whose main purpose is to indemnify pecuniary losses incurred by managers as a result of third-party complaints against them grew considerably in the past few years. On the one hand, the D&O Insurance appears as an important instrument for protection of diligent managers who happen to have their assets affected in order to indemnify damages deriving from their acts; on the other hand, this type of insurance could be seen as an incentive for bad managers, who could neglect their duties and obligations in their capacity as officers based on the protection afforded by the D&O Insurance, therefore increasing the so-named moral hazard. By analyzing the hypothesis in which the applicability of the insurance is questionable, this paper intends to examine how the multiple effects arising from the applicability or the inapplicability of the D&O Insurance affect the managers behavior, as well as to discuss the admissibility of this type of insurance by the Brazilian law, vis-à-vis the situations where the feasibility of the insurance coverage is questionable.

金融事件的頻傳，主管金融機構的政府財政主管難辭其咎，而財政主管的 職責則囊括了兩個方面，一方面是對於金融機構平日的監督管理，包括能 允分掌握其營運資訊，若有小問題時，則要求適當的改正，另一方面則是 指當銀行經營狀況不是好時，對於這些機金融機構的處理方式，例如適時 地限制其貸放額度、範圍，甚至勒令其停止營業、清查資產，都可避免其 繼續惡化下去。為了避免財政主管在監管金融機構上，會有延誤處理金融 問題的不良動機與原因，本篇文章即試著利用適當報酬結構的設計，看看 是否能糾正此弊端；透過模型的設立，可以看出(1)金融機構的資產選與 其自有資本比例的大小有關(2)財政主管的報酬設計與其在監管金融機構 上的巧妙連繫(3)在設計報酬來誘使其出力監督銀行與最適的關門時機之 間的確有一抵換(trade-off)的關係。

This thesis consists of three self-contained essays about absenteeism. Essay I analyzes if the design of the insurance system affects work absence, i.e. the classic insurance problem of moral hazard. Several reforms of the sickness insurance system were implemented during the period 1991-1996. Using Negative binomial models with fixed effects, the analysis show that both workers and employers changed their behavior due to the reforms. We also find that the extent of moral hazard varies depending on work contract structures. The reforms reducing the compensation levels decreased workers’ absence, both the number of absent days and the number of absence spells. The reform in 1992, introducing sick pay paid by the employers, also decreased absence levels, which probably can be explained by changes in personnel policy such as increased use of monitoring and screening of workers. Essay II examines the background to gender differences in work absence. Women are found, as in many earlier studies, to have higher absence levels than men. Our analysis, using finite mixture models, reveals that there are a group of women, comprised of about 41% of the women in our sample, that have a high average demand of absence. Among men, the high demand group is smaller consisting of about 36% of the male sample. The absence behavior differs as much between groups within gender as it does between men and women. The access to panel data covering the period 1971-1991 enables an analysis of the increased gender gap over time. Our analysis shows that the increased gender gap can be attributed to changes in behavior rather than in observable characteristics. Essay III analyzes the difference in work absence between natives and immigrants. Immigrants are found to have higher absence than natives when measured as the number of absent days. For the number of absence spells, the pattern for immigrants and natives is about the same. The analysis, using panel data and count data models, show that natives and immigrants have different characteristics concerning family situation, work conditions and health. We also find that natives and immigrants respond differently to these characteristics. We find, for example, that the absence of natives and immigrants are differently related to both economic incentives and work environment. Finally, our analysis shows that differences in work conditions and work environment only can explain a minor part of the ethnic differences in absence during the 1980’s.

QC 20100603

Titel: Basel III – En studie om baselregelverkets påverkan på den svenska banksektorn   Nivå: D-nivå (30 Högskolepoäng) inom ämnet företagsekonomi   Författare: Nour Reda 891029-xxxx, Johan Laryd 850131-xxxx   Handledare: Per-Olof Bjuggren, Professor inom nationalekonomi; Economics, Finance and Statistics, Internationella Handelshögskolan. Louise Nordström, Doktorand inom nationalekonomi; Economics, Finance and Statistics, Internationella Handelshögskolan.   Datum: Jönköping, Maj 2011   Frågeställningar: (i) Vilka behov finns för att det befintliga regelverket skall kompletteras? (ii) Hur kommer införandet av Basel III ändra kostnadsfördelningen mellan banken och dess kunder? (iii) Kommer införandet av Basel III leda till en stabilare finansiell marknad?   Syfte: Det övergripande syftet med denna studie är att beskriva och undersöka Basel III:s påverkan på den svenska banksektorn.   Metod: Författarna har inom studien använt en kvalitativ metod med en deduktiv ansats som tillvägagångssätt. De intervjufrågor som vi tagit fram har grundats på studiens tre frågeställningar. Respondenterna som intervjuats är personer som är ansvariga eller delaktiga i arbetet mot införandet av Basel III. Det har lämnats stort utrymme för respondenterna att kunna föra sina egna diskussioner för att vidare mynna till väldefinierade resultat.   Resultat Resultatet av denna studie visar att de svenska storbankerna är positivt inställda mot införandet av Basel III och tror att det nya regelverket kommer bidra till en stabilare finansiell marknad. Kritik riktas mot regelverkets nya krav på bankers likviditet, samt det bruttosoliditetskrav som kommer införas. Som en effekt av det nya regelverket kommer bankernas kostnader öka, vilket i sin tur kommer drabba deras kunder negativt, i form av högre räntekostnader. / Title: Basel III – An investigation about the impact of Basel III on the Swedish banking sector   Level: D-level (30 ECTS) Master Degree in Business Administration   Arthur: Nour Reda 891029-xxxx, Johan Laryd 850131-xxxx   Supervisor: Per-Olof Bjuggren, Professor in Economics, Department; Economics, Finance and Statistics, International Business School. Louise Nordstrom, PhD in economics, Department; Economics, Finance and Statistics, International Business School.   Date: Jonkoping, May 2011   Questions: (i) Is there any needs for the existing set of regulations to be complemented? (ii) How will the new set of regulations effect the cost distribution between the Swedish banks and their clients? (iii) Will the effects of Basel III lead to a more stable financial market?   Purpose: The overall goal of this paper is to describe and examine the impact of Basel III on the Swedish banking sector.   Method: The authors have used a qualitative method with a deductive approach for the thesis. The interview questions are founded on the basis of the three question formulations of the thesis. The respondents who were interviewed are persons responsible or somehow involved in work towards the introduction of Basel III. There has been considerable scope for respondents to bring their own discussions in order to achieve well-defined results.   Result: The result of this study shows that the major Swedish banks have a positive attitude towards the implementation of Basel III, and that they believe the new regulation will contribute to a more stable financial market. The new liquidity ratios and the leverage ratio are given criticism from the banks. A direct effect of the new regulation is increased costs for Swedish Banks. Which will affect their customers negatively through a higher cost of capital.