<p>This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia.</p><p>Paper I estimates the shadow prices of capital, labour and foreign exchange for the Namibian economy. The results suggest that the shadow price of capital for Namibia is 7.2%. The economic costs of Namibian labour, as a share of financial costs, are 32% for urban semi- and unskilled labour, and 54% for rural semi- and unskilled labour. The economic cost of foreign labour as a share of financial costs is 59%. The estimated shadow exchange rate factor is 4% for the Namibian economy.</p><p>Paper II derives a set of accounting price ratios (APRs) for the various economic sectors of Namibia by using the Semi-Input–Output (SIO) Technique. An APR is the ratio between the market or financial price and the efficiency or economic value of a specific commodity or sector, which is useful for the economic analysis of investment or development initiatives. This larger set of APRs, derived on the basis of information contained in a Namibian Social Accounting Matrix (SAM), should be useful in improving the effective appraisal of development projects and other major investment programmes in Namibia.</p><p>Paper III analyses returns and volatility on the Namibian and South African stock markets, using the daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from 4 January 1999 to 20 March 2003. The methodology has three main parts: (i) unit root tests, (ii) cointegration analysis, and (iii) volatility modelling. The results show that the two markets exhibit very low correlations, and there is no evidence of a linear relationship between the markets. Furthermore, a volatility analysis shows evidence of no spillover effects. These results suggest that the NSX could be an attractive risk diversification tool for regional portfolio diversification in southern Africa</p><p>Paper IV studies the determinants of property prices in the township areas of Windhoek, the capital of Namibia. The work‟s major finding is that properties located close to an environmental bad (e.g. garbage dump) sell at considerable discounts. On the other hand, properties located near an environmental good (e.g. a recreational open space) sell at a premium. These results provide evidence of the importance of environmental quality in lower-income property markets in developing countries. It is important, therefore, for Namibian urban planners to incorporate environmental quality into the planning framework for lower-income areas.</p>

This thesis consists of an introduction and four papers exploring various aspects of the Namibian economy. These aspects cover shadow pricing, environmental valuation and capital market development in Namibia. Paper I estimates the shadow prices of capital, labour and foreign exchange for the Namibian economy. The results suggest that the shadow price of capital for Namibia is 7.2%. The economic costs of Namibian labour, as a share of financial costs, are 32% for urban semi- and unskilled labour, and 54% for rural semi- and unskilled labour. The economic cost of foreign labour as a share of financial costs is 59%. The estimated shadow exchange rate factor is 4% for the Namibian economy. Paper II derives a set of accounting price ratios (APRs) for the various economic sectors of Namibia by using the Semi-Input–Output (SIO) Technique. An APR is the ratio between the market or financial price and the efficiency or economic value of a specific commodity or sector, which is useful for the economic analysis of investment or development initiatives. This larger set of APRs, derived on the basis of information contained in a Namibian Social Accounting Matrix (SAM), should be useful in improving the effective appraisal of development projects and other major investment programmes in Namibia. Paper III analyses returns and volatility on the Namibian and South African stock markets, using the daily closing indices of the Namibian Stock Exchange (NSX) and the Johannesburg Stock Exchange (JSE). The sample covers the period from 4 January 1999 to 20 March 2003. The methodology has three main parts: (i) unit root tests, (ii) cointegration analysis, and (iii) volatility modelling. The results show that the two markets exhibit very low correlations, and there is no evidence of a linear relationship between the markets. Furthermore, a volatility analysis shows evidence of no spillover effects. These results suggest that the NSX could be an attractive risk diversification tool for regional portfolio diversification in southern Africa Paper IV studies the determinants of property prices in the township areas of Windhoek, the capital of Namibia. The work‟s major finding is that properties located close to an environmental bad (e.g. garbage dump) sell at considerable discounts. On the other hand, properties located near an environmental good (e.g. a recreational open space) sell at a premium. These results provide evidence of the importance of environmental quality in lower-income property markets in developing countries. It is important, therefore, for Namibian urban planners to incorporate environmental quality into the planning framework for lower-income areas.

Made available in DSpace on 2010-04-20T20:59:56Z (GMT). No. of bitstreams: 4 Patricia Ferreira.pdf.jpg: 2199 bytes, checksum: 7b8b4ddf3e6d818263c9d319263f17c7 (MD5) Patricia Ferreira.pdf.txt: 95375 bytes, checksum: 7a2f2b8ed2cf8afa5b1ab79354abd7ca (MD5) license.txt: 4712 bytes, checksum: 4dea6f7333914d9740702a2deb2db217 (MD5) Patricia Ferreira.pdf: 232975 bytes, checksum: 8259fb5ca646fd285ddbf76df357b07b (MD5) Previous issue date: 2009-12-14T00:00:00Z / This paper aims at measuring the collection capacity of two Brazilian Tax Programs named Nota Fiscal Paulista (Sao Paulo’s invoice) and Nota Fiscal Alagoana (Alagoas’ invoice), unveiled by Sao Paulo and Alagoas states, with the goal of reduce companies’ fiscal evasion by stimulating individuals to ask for their invoices when purchasing goods. This paper addresses empirically what influences shadow economies, with the intention to determine the driving forces towards a lower fiscal evasion in Brazil. Program results for Sao Paulo show the rise of approximately 20% in the fiscal revenue. Alagoas analysis is inconclusive probably due to short time period enrolled. Our empirical analysis indicates strong evidence that the program has capacity to raise fiscal revenue in approximately 12% in comparison of the beginning of that program. It is important to emphasize that related costs to the implementation of the program with rebate, wages and systems, were not analyzed. Those imply in the reduction of positive outcomes of this program. / Este trabalho visa medir a eficiência dos Programas da Nota Fiscal Paulista e Alagoana, implantados pelo estados de São Paulo e Alagoas, com o objetivo de reduzir a informalidade das empresas por meio de estímulo aos indivíduos que solicitam o comprovante fiscal na compra. Além da análise empírica, são citados trabalhos desenvolvidos na área e particularidades do sistema de arrecadação brasileiro, que justificam a escolha da sonegação por parte dos indivíduos e das empresas, de forma a fundamentar e direcionar as condutas a serem seguidas na busca de uma menor informalidade. O resultado do programa adotado no estado de São Paulo indica o crescimento de aproximadamente 20% na arrecadação deste estado. Em contrapartida a análise dos dados de Alagoas ainda é inconclusiva, muito provavelmente por termos poucos meses de vigência no programa. Na análise conjunta dos estados, parece haver forte evidência de que o programa é capaz de aumentar a arrecadação estadual, tendo em vista o crescimento da ordem de 12% em relação ao nível de arrecadação destes estados no momento de implementação do programa. É importante destacar que os custos envolvidos na implementação do programa com repasse, pessoal e sistemas, não foram analisados. Os mesmos implicam na redução dos ganhos observados com a aplicação do programa.

This study estimates the economic costs of mining pollution on water resources for the years 2008 and 2009 based on the conceptual framework of Environmental Efficiency. This framework identifies such costs as the mining companies’ trade-off between increasing production that is saleable at market prices (desirable output) and reducing the environmental pollution that emerges from the production process (undesirable output). These economic costs were calculated from parametric and non parametric production possibility frontiers for 28 and 37 mining units in 2008 and 2009, respectively, which were under the purview of the National Campaign for Environmental Monitoring of Effluent and Water Resources, conducted by the Energy and Mining Investment Supervisory Agency (Osinergmin) in those years. The results show that the economic cost of mining pollution on water resources rose to U.S. $ 814.7 million and U.S. $ 448.8 million for 2008 and 2009, respectively. These economic costs were highly concentrated in a few mining units, within a few pollution parameters, and were also higher in mining units with average/low mineral production. Taking into consideration that at present the fine and penalty system in the mining sector is based on administrative criteria, this study proposes a System of Environmentally Efficient Sanctions based on economic criteria so as to establish a preventive mechanism for pollution. It is hoped that this mechanism will generate the necessary incentives for mining companies to address the negative externalities that emerge from their production process. / En este estudio se aproximan los costos económicos de la contaminación ambiental minera sobre los recursos hídricos para 2008 y 2009 en el marco conceptual de la Eficiencia Medioambiental, que interpreta dichos costos como el trade-off de los empresarios mineros entre incrementar su producción que es vendible a precios de mercado (output deseable) yreducir la contaminación ambiental que se desprende de su proceso productivo (output no deseable). Dichos costos económicos fueron calculados a partir de fronteras de posibilidades de producción paramétricas y no paramétricas para 28 y 37 unidades mineras en los años 2008 y 2009 respectivamente, las que estuvieron bajo el ámbito de la Campaña Nacional deMonitoreo Ambiental de Efluentes y Recursos Hídricos que realizó el Organismo Supervisor de Inversión Energía y Minería (Osinergmin) en dichos años. Los resultados indican que los costos económicos de la contaminación ambiental minera sobre los recursos hídricos ascendieron, en promedio, para los años 2008 y 2009, a US$ 814,7 millones,y US$ 448,8 millones, respectivamente. Dichos costos estuvieron altamente concentrados en pocas unidades productivas, así como en pocos parámetros de contaminación, y fueron mayores en unidades mineras con producción media/baja de minerales. Dado que en la actualidad el sistema de multas y sanciones en el sector minero se basa en criterios administrativos, el estudio propone un Sistema de Sanciones Ambientalmente Eficiente basado en criterios económicos

Dans cette thèse, nous nous intéressons à des sujets différents en mathématiques financières, tous liés aux imperfections de marché et à la technique fondamentale de la maximisation d'utilité. Elle comporte trois parties. Dans la première, qui se base sur deux papiers, nous considérons le problème d'investissement optimal sur un marché financier avec coûts de transaction proportionnels. On commence par étudier le problème d'investissement dans le cas où la fonction d'utilité est multivariée (ce qui s'adapte particulièrement bien aux marchés des devises) et l'agent a une dotation initiale aléatoire, qui peut s'interpréter comme une option ou un autre contrat dérivé. Après avoir analysé les propriétés du problème et de son dual, nous utilisons ces résultats pour examiner, dans ce contexte, certains aspects d'une technique de pricing devenue populaire dans le cadre des marchés incomplets, l'évaluation par indifférence d'utilité. Dans le deuxième chapitre, nous étudions le problème d'existence d'un ensemble de prix (appelés "prix fictifs" ou "shadow prices") qui offrirait la même utilité maximale à l'agent si le marché n'avait pas de frictions. Ces résultats sont utiles pour clarifier le lien entre la théorie classique des marchés sans frictions et la littérature en croissance rapide sur les coûts de transaction. Dans la deuxième partie de cette thèse, nous considérons le problème d'évaluation de produits dérivés par indifférence d'utilité dans des marchés incomplets, où la source d'incomplétude provient du fait que certains actifs ne peuvent pas être échangés sur le marché, ce qui est le cas par exemple dans le cadre des modèles structurels pour le prix de l'électricité. Sous certaines hypothèses, nous dérivons une caractérisation en terme d'équations différentielles stochastiques rétrogrades (EDSR) pour le prix, et nous nous concentrons ensuite sur les options européennes en établissant en particulier l'existence d'une stratégie de couverture optimale, même lorsque le payoff présente des discontinuités et est éventuellement non borné. Dans la dernière partie, nous analysons un simple problème de principal-agent à horizon fini, où le principal est essentiellement interprété comme un régulateur et l'agent comme une entreprise qui produit certaines émissions polluantes. Nous traitons séparément les problèmes du principal et de l'agent et nous utilisons la théorie des EDSR pour fournir des conditions nécessaires et suffisantes d'optimalité. Nous effectuons également des analyses de sensibilité et nous montrons des résultats numériques dans le but de fournir une meilleure compréhension du comportement des agents. / In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility maximization. The work consists of three parts. In the first one, which is based on two papers, we consider the problem of optimal investment on a financial market with proportional transaction costs. We initially study the investment problem in the case where the utility function is multivariate (which is particularly suitable on currency markets) and the agent is endowed with a random claim, which can be interpreted as an option or another derivative contract. After analyzing the properties of the primal and dual problems, we apply those results to investigate, in this context, some aspects of a popular pricing technique in incomplete markets, i.e. utility indifference evaluation. In the second contribution to the transaction costs literature, we investigate the existence problem for a set of prices (called shadow prices) that would provide the same maximal utility to the agent if the market did not have frictions. These results shed some light on the link between the classical theory of frictionless markets and the quickly growing literature on transaction costs. In the second part of this thesis we consider the utility indifference pricing problem in incomplete markets, where the source of incompleteness comes from the fact that some assets in the market cannot be actively traded, which is the case for example in the framework of structural models for electricity prices. We provide a BSDE characterization for the price under mild assumptions, and then focus on the case of European claims by establishing in particular the existence of an optimal hedging strategy even when the claim presents discontinuities and is possibly unbounded. In the last contribution we analyze a simple principal-agent problem in finite time horizon, where the principal is mainly interpreted as a regulator and the agent as a firm producing some kind of polluting emissions. We separately treat both the agent's and the principal's problems and use the BSDE theory for providing necessary and sufficient conditions for optimality. We also perform some sensitivity analyses and give numerical results in order to provide a better understanding of the agents' behavior.

Certaines ressources ne peuvent pas être échangées sur le marché mais elles peuvent être valorisées par les prix virtuels. Je dérive théoriquement 3 types de prix virtuels dont j'estime structurellement la valeur au niveau individuel afin d'analyser leurs effets sur le comportement et le bien-être des individus. J'apparie statistiquement les enquêtes Consumer Expenditure et American Time Use en utilisant une procédure d'appariement qui résout les faiblesses des procédures standards. Premièrement, j'estime le prix virtuel du temps qui nécessite des étapes permettant l'estimation d'une fonction d'utilité, qui dépend du temps et des biens marchands, que j'utilise comme une nouvelle mesure de bien-être. Les résultats montrent que la réallocation du temps a permis d'absorber 30% de l'effet néfaste de la Grande Récession. Je calcule ensuite le prix virtuel de 5 activités (produites par le consommateur), telles que le loisir et l'alimentation, afin d'estimer les élasticités des utilisations du temps (y compris l'offre de travail) et de la demande d'activité par rapport au revenu complet, au prix virtuel du temps, au prix virtuel des activités, au salaire, et au prix des biens marchands. Le troisième prix virtuel que j'aborde fournit le coût du sous-emploi/chômage en fonction de caractéristiques individuelles. Cela permet d'évaluer le coût d'opportunité des politiques d'emplois et de déterminer le niveau des allocations chômage. Finalement, je propose une reformulation de la théorie des normes sociales où j'analyse les déterminants de la désobéissance aux normes sociales ; et l'effet de la désobéissance sur les prix virtuels, le comportement individuel et, enfin, sur la croissance. / Many resources cannot be exchanged and priced on the markets but they can be valued by shadow prices. In this thesis, I theoretically derive 3 kinds of shadow prices and structurally estimate them at the individual level to analyze their effects on the behavior and the welfare of individuals. I combine the consumer expenditure and the American time use surveys (2004-2012) using a statistical matching procedure that overcomes the shortcomings of standard procedures. I first estimate the shadow price of time, which involves several steps where a utility function is estimated as a proxy for a new kind of well-being measure that depends on the amounts of time and market goods: it is shown that the reallocation of the forgone market work hours absorbed 30% of the Great Recession's negative welfare impact. Then, I compute the shadow prices of 5 home-produced activities (e.g., leisure and food) to estimate the elasticities of the time allocation functions (including the labor supply) and the demand elasticities of the activities with respect to the full income, the shadow price of time, the shadow price of the activities, the wage rate, and the price of market goods. The third shadow price addressed in this thesis yields the costs of under/unemployment as a function of demographic characteristics, which is essential for evaluating the opportunity cost of unemployment policies and for setting the level of unemployment benefits. Finally, I propose a reformulation of the theory of social norms where I analyze the determinants of the disobedience level to social norms along the effects of the disobedience on shadow prices, individuals' behavior, and, eventually, on economic growth.

傳統參數隨機成本邊界模型需事先假設其函數型態，但真正的函數型態未知，若是假設錯誤的函數型態可能存在模型設定誤差，另外過去估計成本函數時，大多著重於技術效率的衡量，而忽略配置效率，如此一來，將導致模型參數估計產生偏誤，影響後來效率的計算。基於上述的問題，本研究將應用半參數隨機成本邊界模型且同時考量技術效率與配置效率，不但函數設定具有彈性且能正確的衡量效率值，然而在考量配置效率的衡量後，增加模型估計的困難度，使得估計收斂不易，因此本研究提出一個五階段的估計步驟，應用蒙地卡羅模擬進行分析，該估計步驟不但能簡化估計且能得到技術與配置效率的一致性估計。最後則將本研究提出的估計方法應用在實證研究上，探討14個東歐國家在轉型期間其技術與配置效率的衡量，使用不平衡縱橫資料，共340家商業銀行進行實證分析。 / Conventional parametric stochastic cost frontier models are likely to suffer from biased inferences due to misspecification and the ignorance of allocative efficiency (AE). To fill up the gap in the literature, this article proposes a semiparametric stochastic cost frontier with shadow input prices that combines a parametric portion with a nonparametric portion and that allows for the presence of both technical efficiency (TE) and AE. The introduction of AE and the nonparametric function into the cost function complicates substantially the estimation procedure. We develop a new estimation procedure that leads to consistent estimators and valid TE and AE measures, which are proved by conducting Monte Carlo simulations. An empirical study using unbalanced panel data on 340 commercial banks from 14 East European countries over the period 1993-2004 is performed to help shed some light on the usefulness of our procedure.