In this thesis, we analyze volatility spillovers between crude oil and food commodities. The principal hypothesis assumes crude oil to behave as a production factor of the agricultural food commodities, thence we are looking for appropriate price effects. We mainly employ wavelet coherence and partial wavelet coherence, which provide us with valuable insight into the commodities nexus, without any strict restraints and assumptions levied on our data. Secondly, we build a DCC-GARCH model in order to model the presumed volatility spillovers. We also perform several simple benchmark analyses, in particular we test for Granger causality and we compute the Pearson correlation coefficients. Our data sample, including 10 commodities and 2 indices, covers the latest decade, significantly widening the existing contextual literature. Our results are mostly compliant with related literature, especially regarding the crude oil-fuels bundle and food commodities bundle, respectively. Considering the main research question of volatility spillovers between food commodities and crude oil, our results are indicating reasonably strong relationships with crude oil for soybeans and corn, leaving cotton and wheat rather on the verge of strong relationship and finding cattle to be completely unrelated. Main merits of the thesis...

This dissertation is composed of three essays examining the impact of time varying volatility on firm decision making. The first essay examines the effect of oil price volatility on price setting behavior using Producer Price Index micro data. I analyze whether two measures of price flexibility, price change frequency and dispersion, are affected by changes in oil price volatility. Heterogeneity in oil usage across industries is used to construct industry specific measures of oil price volatility. I find that price changes are more dispersed in high oil usage industries during months with high oil price volatility, however frequency of price change does not change. These results imply that aggregate price level flexibility does not fall during periods of high aggregate volatility. The second essay constructs a state-dependent pricing model with time varying oil price volatility to study if changes in aggregate volatility alter the impulse response of output to monetary policy. Firms use oil as an input to production, while oil price and oil price volatility processes are exogenous. Random menu costs enable the model to match the positive empirical relationship between oil price volatility and price change dispersion. A model simulation examines a counterfactual period of high oil price volatility and implies that increases in aggregate volatility do not substantially reduce the ability of monetary policy to stimulate output. The third essay examines the impact of time varying idiosyncratic uncertainty on investment with multiple types of capital. A model with two types of capital, short-lived equipment and long-lived structures, and nonconvex adjustment costs is constructed to examine the role of economies of scope on investment purchases. Evidence from a structural vector autoregression shows that investment in structures falls four quarters after an uncertainty shock, while investment in equipment falls within one quarter. The model with economies of scope in investment purchases is consistent with these results.

Submitted by Raniere Barreto (raniere.barros@ufvjm.edu.br) on 2018-04-16T18:07:41Z No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) bruno_ferreira_campos_silva.pdf: 2957468 bytes, checksum: 54576f6c332d9ba048e85d7de08b09a8 (MD5) / Rejected by Rodrigo Martins Cruz (rodrigo.cruz@ufvjm.edu.br), reason: Verificar palavras-chave, keywords. UFVJM n?o ? ag?ncia financiadora Verificar nome Carlos Alberto Mirez Tarrillo se ? espanhol. on 2018-04-20T15:06:05Z (GMT) / Submitted by Raniere Barreto (raniere.barros@ufvjm.edu.br) on 2018-05-15T19:08:56Z No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) bruno_ferreira_campos_silva.pdf: 2957468 bytes, checksum: 54576f6c332d9ba048e85d7de08b09a8 (MD5) / Approved for entry into archive by Rodrigo Martins Cruz (rodrigo.cruz@ufvjm.edu.br) on 2018-05-15T19:50:24Z (GMT) No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) bruno_ferreira_campos_silva.pdf: 2957468 bytes, checksum: 54576f6c332d9ba048e85d7de08b09a8 (MD5) / Made available in DSpace on 2018-05-15T19:50:24Z (GMT). No. of bitstreams: 2 license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) bruno_ferreira_campos_silva.pdf: 2957468 bytes, checksum: 54576f6c332d9ba048e85d7de08b09a8 (MD5) Previous issue date: 2017 / Nesta disserta??o ? apresentada a teoria que envolve o modelo de Black ? Scholes como uma alternativa de investimento para produtores rurais dos Vales do Jequitinhonha e Mucuri. Ao fazer um estudo sobre os produtores rurais dos vales, percebe-se que a produ??o no campo ? voltada para a subsist?ncia, vendendo somente o excedente. Foi constatado que a falta de investimento no campo reduz em partes o n?vel de produ??o do produtor rural. A alternativa de investimento atrav?s do modelo de Black ? Scholes na precifica??o de op??es se faz necess?rio n?o somente para se ter um maior investimento no meio rural, mas sim, ser tamb?m uma outra forma de se obter renda com t?cnicas aplicadas na Bolsa de Valores, ajudando o homem do campo em ter uma estabilidade financeira baseada n?o somente em sua produ??o. ? realizado um estudo criterioso da equa??o diferencial parcial estoc?stica advinda deste modelo, no tocante ? determina??o de poss?veis simula??es de problemas enfrentados diante das volatilidades dos mercados na precifica??o de op??es. Para que o produtor rural utilize o modelo de Black ? Scholes ? interessante se observar como se comporta os seus par?metros. Ent?o foi realizado uma an?lise do comportamento do valor da precifica??o de op??es em rela??o aos par?metros do modelo de Black ? Scholes baseados em dados reais retirados da BM&FBOVESPA. ? apresentada uma breve compara??o do modelo de Black ? Scholes com o modelo Binomial, compara??o feita com um exemplo de obten??o do valor da op??o de compra e venda via Binomial e Black ? Scholes, e neste exemplo ? observado um melhor retorno para o modelo Binomial. ? observado ao longo da pesquisa que existem dois par?metros que mais oscilam nos mercados, que s?o a volatilidade e a taxa de juros. Para se fazer bons investimentos, o produtor rural deve ficar atento e ter ci?ncia do comportamento da oscila??o desses par?metros. Para se ter uma melhor representa??o da varia??o desses par?metros, ? feito uma compara??o entre o valor das op??es de compra e venda calculados pelo modelo de Black ? Scholes e Binomial. Para a taxa de juros o modelo Binomial apresentou valores fora do esperado em rela??o ao modelo de Black ? Scholes. Devido a car?ncia de informa??es a respeito de como se investir na Bolsa de Valores, ? criado uma cartilha que se encontra nos anexos desta disserta??o voltada para o produtor rural, sobre como fazer um investimento na Bolsa de Valores e quais procedimentos iniciais deve-se tomar para obter ?xito nos mercados. Desses estudos, conclui-se que ? poss?vel o produtor rural investir pequenas quantias de dinheiro e obter retornos significativos em rela??o ao investimento inicial. Podendo assim, aplicar parte desse dinheiro em seu trabalho no campo e tamb?m ter uma forma de renda quando os retornos das produ??es no meio rural n?o forem favor?veis. / Disserta??o (Mestrado Profissional) ? Programa de P?s-Gradua??o em Tecnologia, Sa?de e Sociedade, Universidade Federal dos Vales do Jequitinhonha e Mucuri, 2017. / In this dissertation there is presented the theory that involves the Black model ? Scholes as an alternative of investment for rural producer Jequitinhonha and Mucuri Valleys. When doing a study on the rural producers of the valleys, it is seen that the production in the field is turned for the subsistence, selling only the excess. It was noted that the lack of investment in the field reduces in parts the level of production of the rural producer. The investment alternative through Black model ? Scholes in the options pricing is made necessary not only in order that a bigger investment has been in the rural environment, but yes, to be also another form of income being obtained with techniques applied in the valuable Stock Exchange, helping the man of the field in having a financial stability based not only on his production. It is accomplished out a discerning study of the partial differential equation stochastic resulted from this model, regarding the determination of possible simulations of problems faced before the volatilities of the markets in the options pricing. For the rural producer to use the Black model ? Scholes is interesting it will notice how if it holds his parameters. Then there was accomplished out an analysis of the behavior of the value of the pricing of options regarding the parameters of the Black model ? Scholes based on retired real data of the BM&FBOVESPA. There is presented a short comparison of the Black model ? Scholes with the Binominal model, comparison done with an example of getting the value of the option of purchase and sale was seeing Binomial and Black ? Scholes, and in this example a better return is observed for the Binomial model. It is observed throughout the research that there are two parameters that more oscillate in the markets, which are the volatility and the interest rate. In order that good investments become, the rural producer must be attentive and have science of the behavior of the oscillation of these parameters. In order that there has been a better representation of the variation of these parameters, it is done a comparison between the value of the options of purchase and sale calculated by the Black model ? Scholes and Binomial. For the interest rate the Binomial model presented values out of the waited one regarding the Black model ? Scholes. Due to lack of information about how to invest in the Stock Exchange, it is created a primer that is in the annexes of this dissertation turned to the rural producer how to make an investment in the Stock Exchange and it is necessary to take which initial proceedings to obtain succeed in the markets. Of these studies, it is ended that the possible the rural producer to invest small amounts of money and to obtain significant returns regarding the initial investment. Being able so, to apply part of this money in his work in the field and also to have the form of income when the returns of the productions in the rural environment are not favorable.

The models for volatility, autoregressive conditional heteroscedastic (ARCH) and generalized autoregressive conditional heteroscedastic (GARCH) are discussed. Stationarity condition and forecasting for simple ARCH(1) and GARCH(1,1) models are given. The model for discrete time series is proposed to be negative binomial integer-valued GARCH model, which is a generalization of the Poisson INGARCH model. The stationarity conditions and the autocorrelation function are given. For parameter estimation, three methodologies are presented with a focus on maximum likelihood approach. Simulation study on a sample size of 100 and 500 are carried out and the results are presented. An application of the model to a real time series with numerical example is given indicating that the proposed methodology performs better than the Poisson and double Poisson model-based methods.

x, 51 p. : ill. / New equity shares are sold for raising capital via a primary seasoned equity offering (SEO). In their 2010 article, Murray Carlson, Adlai Fisher, and Ron Giammarino discovered an intriguing relationship between market volatility and primary SEOs, namely that the volatility decreases before a primary SEO and increases thereafter. This pattern contradicts the real options theory of equity issuance for investment. In this study, I examine in greater detail whether the pre- and post-issue volatility dynamics are related to the probability of issuing new equity. I find little evidence that the decision to conduct a primary SEO depends on changes in market volatility after controlling for previously recognized determinants of SEOs. This reconciles the volatility finding of Carlson et al. with the real options theory of equity issuance for investment. I also examine secondary SEOs, in which only existing equity shares are sold and therefore no capital is raised by the firm. For secondary SEOs, real options theory makes no predictions about risk changes around the events. I find that market volatility tends to decline before a secondary SEO, a finding which warrants further attention. / Committee in charge: Dr. Roberto Gutierrez, Chair; Dr. Ekkehart Boehmer, Member; Dr. Wayne Mikkelson, Member; Dr. Jeremy Piger, Outside Member

As pesquisas em finanças tem focado nos últimos anos a modelagem da variância devido à dificuldade de se obter boa previsão dos retornos na média, negligenciando o uso deste último, quanto informação necessária, no estabelecimento de estratégias de alocação de ativos em carteiras de renda variável. Seguindo DeMiguel, Nogales e Uppal (2014), esse trabalho adota o VAR como meio de se obter previsões dos retornos um passo à frente, e então, usá-las na alocação dos ativos. Para a inserção do VAR em finanças, foi permitido que os parâmetros variassem no tempo, o que conseguiu captar com sucesso a dinâmica volátil do mercado de ações. Ainda foram incorporadas técnicas bayesianas de estimação, a fim de driblar a sobreparametrização e obter estimações mais suavizadas, evitando deste modo que a variância das carteiras fossem muito altas. O método teve sucesso na aplicação e mostrou que o uso da previsão um passo à frente para os retornos pode ser usada como uma boa estratégia, expressa nos altos índices de Sharpe encontrados. / Research in finance has focused in recent years in variance modelling due to the difficulty of obtaining good forecasts of mean returns, neglecting the use of this latter on the establishment of asset allocation strategies in the equity portfolios. Following DeMiguel, Nogales e Uppal (2014), this work adopts the VAR as a way of obtaining forecasts of returns one step ahead and to get use of them in the allocation of assets. For insertion of the VAR in finance, the parameters was allowed to vary over time, which successfully captured the volatile dynamics of the stock market. Bayesian estimation techniques was incorporated in order to surmount overparameterization and to get more smoothed estimates, thereby preventing the variance of the portfolio to be very high. The method was successful in this application and showed that the making of one step ahead prediction of returns can be used as a good strategy, which can be expressed in high levels of Sharpe.

The purpose of this paper is to offer a review of the history of oil in order to build an understanding of the factors that make the commodity innately volatile. Then, we explain the recent development of US shale production, which may threaten to disrupt the status quo in oil markets. In the last decade, markets have endured two price collapses that are historic both in their frequency and individual magnitudes; however, recent volatility has remained low. We hypothesize that the shale revolution in the United States may have played a role in this new trend. Following the tradition of Pindyck (2004), we utilize a GARCH model in order to analyze crude-oil price volatility since 2004. In order to measure the effects of the shale revolution, we leverage a major news shock in August 2013, at which time Pioneer Natural Resources made the single largest announcement of new retrievable shale reserves in history. We find that the news announcement had a positive effect on the conditional variance of oil and a negative effect on daily returns. The limitations of our instrument for shale production constrain our interpretation of these results, preventing any definitive conclusions about shale companies’ possible role as a volatility-reducing swing producers.

abstract: This dissertation assesses the impact of revenue diversification on state revenue growth and volatility and then, the economic, political and institutional factors that predict diversification. Previous studies, taking advice from modern portfolio theory, argue that diversifying a revenue portfolio can stabilize volatility and even lead to faster rates of growth over time. However, levels of diversification are not assigned randomly. Rather, differences among states in diversification might be a consequence of differences in states such as electoral cycles and the presence and strictness of tax limitations. Thus, the research question is: Whether or to what extent has diversification increased revenue growth and decreased volatility when the endogeneity of diversification is considered? Using two-stage least squares and fixed-effects regression models with the data of the 50 states from 1980 to 2011, I examined the impact of diversification, reflecting a state's own political and institutional characteristics (i.e., endogeneity), on growth and volatility. I found diversification was positively related to growth, but a diversified portfolio does not smooth volatility. Furthermore, I found that the level of revenue diversification increased in each year of legislators' terms and decreased in every year of governors' terms. These findings imply that legislators and governors have different preferences for diversification, perhaps due to different opportunities to enhance their reelection prospects. I then investigated the relationship between political leaders' year of the terms and changes in specific revenue sources, the biggest set of reelection opportunities. Selective sales and income taxes were negatively related to every year of legislators' terms. General sales taxes, corporate income taxes, and charges are positively related to every year of governors' terms. The results suggest that legislators focus on their districts or specific interest groups, closely associated with selective sales taxes. In contrast, governors' constituency-driven preferences lead them to be responsible for broader issues such as balancing the state budget, thereby using general sales taxes and charges as methods to do so. As a consequence of these political factors, levels of diversification will change, thereby influencing revenue growth and volatility. / Dissertation/Thesis / Ph.D. Public Administration 2013

O objetivo deste trabalho é investigar as relações entre a atividade de negócios, representada pelas variáveis de contratos em aberto e volume negociado, o conteúdo informacional dos diferentes grupos de participantes, categorizados pela bolsa brasileira, e a volatilidade diária e intradiária dos preços futuros para boi gordo, café arábica e milho, contratos agropecuários de maior liquidez na BMF&BOVESPA. O ferramental metodológico foi baseado nos trabalhos de Bessembiender e Seguin (1992), Daigler e Wiley (1999) e Wang (2002), amparados, majoritariamente, pela teoria de microestrutura de mercado e noise trading. Os resultados encontrados sugerem que existe relação entre contratos em aberto, volume negociado e volatilidade dos preços futuros. No caso de contratos em aberto, foi encontrada uma relação negativa (positiva) entre a série esperada (não esperada) e volatilidade, sendo que o impacto da série não esperada é superior, em magnitude, ao da série esperada. Para o volume negociado, em geral, há evidência de um efeito positivo do volume negociado (tanto esperado como não esperado) sobre a volatilidade, sendo que a série esperada apresentou maior impacto do que a série não esperada. Quanto ao conteúdo informacional dos participantes, no modelo com volatilidade diária, encontrou-se evidência de que choques de demanda de pessoa jurídica não financeira contribuiu para o aumento da variação dos preços futuros de boi gordo. No contrato de café arábica, o modelo sugere que choques de demanda de pessoa física influencia a volatilidade de forma positiva, enquanto que no contrato de milho, choques de demanda de todas as categorias de agentes, com exceção da pessoa jurídica não financeira, aparentemente atuam de forma a incrementar a volatilidade dos preços futuros. Desta forma, a separação da posição líquida não esperada e a avaliação do impacto positivo dos choques de demanda sobre a volatilidade sugerem que tais investidores são não informados. No âmbito da análise da volatilidade intradiária, os resultados obtidos são, majoritariamente, similares aos encontrados no modelo que analisa a volatilidade diária. Ademais, a regressão quantílica possibilitou o mapeamento completo dos impactos das variáveis analisadas, mostrando que há diferenças significativas em relação à influência das séries nos diferentes quantis da distribuição condicional da volatilidade, tanto diária quanto intradiária. / The objective of this study is to investigate the relationships between business activity, represented by the variables of open interest and trading volume, the information content of different groups of participants, categorized by the Brazilian exchange, and daily and intraday volatility of futures prices for live cattle, arabica coffee and corn, which are the Brazilian agricultural contracts that have greater liquidity. The methodological tool was based on the works of Bessembiender and Seguin (1992), Daigler and Wiley (1999) and Wang (2002), supported mostly by the market microstructure theory and noise trading. The results suggest that there is a relationship between open interest, trading volume and volatility of future prices. Particularly for open interest, is was found a negative relationship (positive) between the expected series (unexpected) and volatility, and the impact of unexpected series was superior in magnitude comparing to the expected series. For the traded volume, in general, there was evidence of a positive effect of trading volume (both expected and unexpected) on the volatility, and the expected series showed greater impact than the series unexpected. As for the informational content of the participants, considering the model that explains the daily volatility, is was found evidence that demand shocks non-financial corporation contributed to the increase in variation of live cattle futures prices. For the arabica coffee contract, the model suggests that demand shocks of individual influences positively the volatility. For the corn contract, demand shocks of all categories of participants, with the exception of non-financial corporation, apparently act in order to increase the volatility of future prices. Thus, the separation of the unexpected net position and the evaluation of the positive impact of demand shocks on volatility suggest that such investors are not informed. In examining the intraday volatility, the results obtained are mostly similar to those found in the model which analyzes the daily volatility. The quantile regression permitted the complete mapping of the impacts of the variables analyzed, showing that there are significant differences regarding the influence of the variables in the different quantiles of the conditional distribution of volatility, intraday as much daily.

Submitted by Marlene Santos (marlene.bc.ufg@gmail.com) on 2016-10-13T17:45:33Z No. of bitstreams: 2 Dissertação - Luciano Ferreira da Silva - 2016.pdf: 1661946 bytes, checksum: 28fb8508d545a9e09562fc653abfc880 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2016-10-13T17:45:33Z (GMT). No. of bitstreams: 2 Dissertação - Luciano Ferreira da Silva - 2016.pdf: 1661946 bytes, checksum: 28fb8508d545a9e09562fc653abfc880 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2016-09-05 / Although the search for strenghtening regulation and control had only been explicited in the 1995 with the Managerial Reform of Ministry of Government Administration and Reform (MARE), through State's managerial reform master plan, the basic sanitation sector only achieved federal regulatory landmark with the 11.445/2007 law. This law has brought universal access to services as one of the fundamental principles and objectives pursued by organizations related to this sector, which, after analyzing financial resources needed, estimated by the Ministry of Cities in 2013, would be inconceivable without the participation of private capital. On the other hand, introducing private capital necessarily improves regulatory action, once the more transparent and stable are the rules and mechanisms behind regulatory agencies, the greater are the chances of return to investors and the impacts on cost of companies’ capital are smaller. Thus, assessment of risk impacts derived from the action of regulatory agencies is of fundamental importance to the awareness of the need for greater transparency predictability and stability of the rules. Thus, whereas the Basic Sanitation Company of the State of São Paulo (Sabesp), is commonly used as a benchmark for the sector, among other reasons because it is the largest segment, this study examined the effects of Resolutions of the Regulatory Agency of sanitation and Energy of the State of São Paulo (Asesp), the regulatory events, of economic and financial nature, from 2007 to 2015, on the clusters of volatility of return of sanitation Company shares Basico do Estado de Sao Paulo (Sabesp ) by the method TGARCH (Threshold Generalized Autoregressive Conditional Heteroscedastic). The results constitute evidence that the regulatory agency decisions can influence the volatility when it generates change in expectations and may cause changes in the risk and cost of capital. At the end has crafted a diagnosis that considered correct use of the CAPM and WACC to define the cost of capital, but pointed out that the decision of Arsesp in not recognizing a specific component for regulatory risk was inadequate. Recommends to the next tariff review cycle of Sabesp, the assessment by the Arsesp of possibility of including a specific component to reward investors due to regulatory risk. / Embora a busca pelo fortalecimento das funções de regulação e controle tenha sido explicitada em 1995, com a reforma gerencial, pelo Ministério da Administração Federal e Reforma do Estado (MARE), por meio do Plano Diretor da Reforma do Aparelho do Estado, o setor de saneamento básico só veio a contar com um marco regulatório federal, a Lei nº 11.445, em 2007. Essa lei trouxe como um dos princípios fundamentais e objetivo perseguido pelas organizações do setor a universalização do acesso aos serviços, algo que, pelo montante de recursos financeiros necessários, estimado pelo Ministério das Cidades em 2013, seria inconcebível sem a participação do capital privado. Por outro lado, a atração do capital passa necessariamente pela melhoria da ação regulatória, pois quanto mais transparente e estável forem as regras e os mecanismos de atuação das agências reguladoras, maiores serão as chances de retorno aos investidores e menores serão os impactos causados no custo de capital. Assim, a avaliação dos impactos decorrentes do risco derivado da atuação das agências reguladoras é de fundamental importância para a sensibilização quanto a necessidade de maior transparência previsibilidade e estabilidade das regras. Desse modo, considerando que a Companhia de Saneamento Básico do Estado de São Paulo (Sabesp), é comumente utilizada como um benchmark para o setor, dentre outras razões porque é a maior do segmento, este trabalho analisou os efeitos das Deliberações da Agência Reguladora de Saneamento e Energia do Estado de São Paulo (Asesp), os eventos regulatórios, de natureza econômico-financeira, no período de 2007 a 2015, sobre os clusters de volatilidade do retorno das ações da Companhia de Saneamento Básico do Estado de São Paulo (Sabesp), por meio da metodologia TGARCH (Threshold Generalized Autoregressive Conditional Heteroscedastic). Os resultados constituem-se em evidências de que as decisões da agência reguladora podem influenciar a volatilidade quando gera modificação nas expectativas, podendo provocar alterações no risco e no custo de capital. Ao final foi elaborado um diagnóstico que considerou correta a utilização do CAPM e da metodologia WACC para a definição do custo de capital, mas apontou que a decisão da Arsesp em não reconhecer um componente específico para o risco regulatório foi inadequada. Recomenda para o próximo ciclo de revisão tarifária da Sabesp, a avaliação por parte da Arsesp da possibilidade de inclusão de um componente específico para premiar o investidor em razão do risco regulatório.