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Empirical modelling of latin american stock markets returns and volatility using Markov - Switching garch modelsAtaurima Arellano, Miguel 09 March 2017 (has links)
Using a sample of weekly frequency of the stock markets returns series, we estimate
a set of Markov-Switching-Generalized Autoregressive Conditional Heterocedastic-
ity (MS-GARCH) models to a set of Latin American countries (Argentina, Brazil,
Chile, Colombia, Mexico and Peru) with an approach based on both the Monte Carlo
Expectation-Maximization (MCEM) and Monte Carlo Maximum Likelihood (MCML)
algorithms suggested by Augustyniak (2014). The estimates are compared with a stan-
dard GARCH, MS and other models. The results show that the volatility persistence
is captured di¤erently in the MS and MS-GARCH models. The estimated parameters
with a standard GARCH model exacerbates the volatility in almost double compared
to MS-GARCH model. There is di¤erent behavior of the coe¢ cients and the variance
according the two regimes (high and low volatility) by each model in the Latin Amer-
ican stock markets. There are common episodes related to global international crises
and also domestic events producing the di¤erent behavior in the volatility of each time
series. / Utilizando una muestra de frecuencia semanal de series de retornos de los mercados bursátiles, se estima un conjunto de modelos autorregresivos heterocedásticos condicionales generalizados con cambios de régimen Markov (MS-GARCH, por sus siglas en inglés) a un conjunto de países de América Latina (Argentina, Brasil, Chile, Colombia, México y Perú) con un enfoque basado en los algoritmos de Esperanza-Maximización de Monte Carlo (MCEM, por sus siglas en inglés) y de Máxima Verosimilitud de Monte Carlo (MCML, por sus siglas en inglés) sugeridos por Augustyniak (2014). Las estimaciones son comparadas contra un modelo GARCH estándar, un modelo de cambio de régimen Markov (MS, por sus siglas en inglés) y otros modelos más. Los resultados muestran que la persistencia de la volatilidad es capturada de manera diferente en los modelos MS y MS-GARCH. Los parámetros estimados con un modelo GARCH estándar exacerban la volatilidad a casi el doble en comparación el modelo MS-GARCH. Se evidencia un diferente comportamiento de los coeficientes y la varianza según los dos regímenes (alta y baja volatilidad) en cada uno de los modelos en los Mercados Bursátiles Latinoamericanos. Hay episodios comunes relacionados con las crisis internacionales globales así como eventos domésticos (nacionales) que producen un diferente comportamiento de la volatilidad en cada serie de tiempo.
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MÉTODO DE VALORACIÓN DE VIVIENDAS DESDE LA PERSPECTIVA MEDIOAMBIENTAL Y ANÁLISIS DE COSTESRuá Aguilar, María José 22 July 2011 (has links)
El sector de la construcción tiene una gran importancia en el desarrollo sostenible, y la adaptación en España de recientes directivas de la Unión Europea en materia energética, obliga a definir la calificación energética de los edificios, lo cual será un factor importante en la determinación de su valor.
A este respecto, la presente Tesis Doctoral analiza la normativa y el software oficial que existe para obtener dicha calificación, en viviendas de nueva construcción y en cada zona climática de España.
Partiendo de un proyecto real de viviendas adosadas, se realiza un análisis de los materiales e instalaciones requeridos para cumplir las normativas, así como de los costes de construcción, mantenimiento y consumo energético, y la emisión de CO2, teniendo en cuenta las calificaciones energéticas y las zonas climáticas.
Viviendas más sostenibles exigen mayores costes de construcción, que deberían ser compensados con unos menores costes privados de uso. Pero en la práctica esto no ocurre y es necesario definir unos precios del CO2, o tasas medioambientales, para estimar los costes sociales que hagan rentable la elección de viviendas más eficientes energéticamente. La metodología empleada para definir estos precios son el análisis de costes y análisis de inversiones, que integran los costes económicos o privados y los costes sociales o públicos derivados de las emisiones de CO2 durante el uso de la vivienda.
Finalmente, se realiza un análisis multicriterio para obtener la composición de viviendas con distintas calificaciones en una promoción inmobiliaria, considerando los objetivos privados y públicos. / Ruá Aguilar, MJ. (2011). MÉTODO DE VALORACIÓN DE VIVIENDAS DESDE LA PERSPECTIVA MEDIOAMBIENTAL Y ANÁLISIS DE COSTES [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/11275
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Desequilibrio Social, Desigualdad Distributiva y Desempleo en el Perú, 2004 - 2017Avalos Alvarado, Eloy Eduardo 10 November 2022 (has links)
El presente trabajo tiene por objetivo principal contrastar una extensión de la hipótesis de la teoría del desequilibrio distributivo formulada por Figueroa (1993, 2015). Para alcanzar el objetivo se construirán dos índices; uno que mide el desorden social y otro que mide la desigualdad distributiva. Luego, utilizaremos la técnica econométrica de datos de panel bajo efectos aleatorios, teniendo como unidades de análisis empírico a los departamentos del Perú para el periodo 2004-2017. Los resultados alcanzados en la presente investigación dan cuenta de que una relación entre el desorden social y la tasa de desempleo; así como entre la desigualdad distributiva y el desequilibrio social, tienen respaldo empírico y están acorde a lo esperado según las formulaciones de la teoría económica basada en la envidia económica y los límites de tolerancia a la desigualdad distributiva. / The main objective of this paper is to contrast an extension of the hypothesis of
the distributive imbalance theory formulated by Figueroa (1993, 2015). To achieve the objective, two indices will be built; one that measures social disorder and
another that measures distributive inequality. Then, we will use the panel data econometric technique under random effects, having as empirical units of analysis the
departments of Peru for the period 2004-2017. The results achieved in the present
investigation show that a relationship between social disorder and the unemployment rate; as well as between distributive inequality and social imbalance, they
have empirical support and are in accordance with what is expected according to
the formulations of the economic theory based on economic envy and the limits of
tolerance to distributive inequality.
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Estimation of the sovereign yield curve of Peru : the role of macroeconomic and latent factorsOlivares Ríos, Alejandra 04 March 2017 (has links)
The study of the yield curve has been a topic that interested economists for a long time since
the term structure of interest rates is an important transmission channel of monetary policy to
inflation and real activity. In this paper, following Ang and Piazzesi (2003), we study the
relevance of macroeconomic factors on Peruvian sovereign yield curve through an Affine Term
Structure model for the period from November 2005 to December 2015. We estimate a
Gaussian model to understand the joint dynamics of macro variables -inflation and real activity
factors- and Peruvian bond yields in a multifactor model of the term structure. Risk premia are
modeled as time varying and depend on both observable and unobservable factors. A Vector
Autoregressive (VAR) model is estimated considering no-arbitrage assumptions, which let us to
derive Impulse Response Functions and Variance Decompositions. We find evidence that macro
factors help to improve the fit of the model and explain a substantial amount of variation in
bond yields. Variance decompositions show that macro factors explain a significant amount of
the movements in the short and middle segments of the yield curve (up to 50%) while
unobservable factors are the main drivers for most of the movements at the long end of the
yield curve (up to 80%). Furthermore, we find that setting no-arbitrage restrictions improve the
forecasting performance of a VAR and that models that include macro factors forecast better
than models with only unobservable components.
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Contenido informativo de la curva de rendimiento sobre variables macroeconómicasGonzáles Berrocal, Carlos Jhon 04 March 2017 (has links)
La evidencia empírica muestra que en las economías desarrolladas los indicadores
de la curva de rendimiento soberana señalan con anticipación la evolución futura de
la actividad económica. Bajo esta premisa, en el presente trabajo se evalúa y analiza
las bondades informativas y predictivas de la curva de rendimiento soberana del
Perú sobre las principales variables macroeconómicas. Para ello, se emplea la
técnica de Vectores Autoregresivos. Luego de evaluar los resultados de las
estimaciones de los modelos predictivos propuestos para el PBI, se encuentra que
la incorporación de la tasa de rendimiento de corto plazo y el spread del rendimiento
mejora en cierto grado su desempeño predictivo, esto con relación al modelo que
no considera ninguna variable asociada a la curva de rendimiento. Además, un
choque en la tasa de rendimiento soberana de corto plazo tiene un impacto negativo
relativo en la evolución del crédito de las sociedades de depósito, la importación de
bienes de capital y el Producto Bruto Interno, mientras que un choque en el spread
de la curva de rendimiento tiene un efecto positivo débil en el comportamiento futuro
del crédito de las sociedades de depósito, la importación de bienes de capital y el
Producto Bruto Interno. El canal de transmisión entre la tasa de rendimiento
soberana de corto plazo y la actividad productiva es el sistema financiero. Así, un
alza repentino de las tasas soberanas de corto plazo encarece paulatinamente el
crédito de las sociedades de depósito a las empresas, desincentivando las
importaciones de bienes de capital y afectando negativamente el crecimiento del
PBI.
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A lei da queda tendencial da taxa de lucro : novas evidências e aplicaçõesClemente, Leonel Toshio January 2017 (has links)
O objetivo central desta tese é verificar novas evidências para a Lei da Queda Tendencial da Taxa de Lucro nos Estados Unidos da América. Primeiramente, apresenta-se revisão bibliográfica sobre a Lei e sua verificação empírica. Observa-se uma tendência inerente ao capitalismo de baixar a taxa de lucro média, que estimações de séries de taxa de lucro podem ser obtidas a partir das contas nacionais e, também, que não há consenso sobre a metodologia de estimação mais adequada. Por não haver consenso, são identificadas e avaliadas as qualidades desejáveis das diferentes séries de taxa de lucro. É desejável que a série de taxa de lucro tenha relação estável de longo prazo com variáveis de investimento e de produção, apresente movimentos cíclicos, tendência de queda e, em períodos de mudanças bruscas da economia, mostre outliers e quebras. No curto prazo, é desejável que a taxa de lucro apresente Granger-causar variáveis de investimento e de produção. Estas qualidades são testadas e avaliadas nas diferentes séries de taxa de lucro. São examinadas as metodologias de estimação da taxa de lucro de Duménil e Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir e Campbell (2015), Marquetti (2012a), Husson (2010) e Moseley (1991). É, então, estimada a taxa de lucro segundo as diferentes metodologias, considerando custos de reposição, custos históricos, em expressão monetária do tempo de trabalho, incluindo e excluindo o capital financeiro, incluindo e excluindo a rotação do capital. As séries resultantes são agrupadas conforme o tamanho da amostra e analisadas por meio de instrumental econométrico. Para as séries de taxa de lucro integradas de primeira ordem, aplica-se o teste de cointegração com as séries de investimento e produção de mesma ordem de integração. Também são realizados testes de causalidade de Granger entre essas variáveis. Para as séries de maior dimensão amostral, são aplicados modelos de espaço de estados, os quais apresentam resultados convergentes e apontam tendência de queda na taxa de lucro a custos de reposição e irrelevância da política neoliberal na determinação dos movimentos da taxa de lucro. Além disso, torna-se evidente que não há uma metodologia de estimação de taxa de lucro que seja absolutamente superior. Para cada problema de pesquisa há vantagens e desvantagens no uso de cada série de taxa de lucro. / The central objective of this thesis is to verify new evidence for the Law of the Tendency of the Profit Rate to Fall in the United States of America. First, we present a bibliographical review on the Law and its empirical verification. We notice an inherent tendency to capitalism to lower the average profit rate, that estimates of profit rate series can be obtained from national accounts and, also, that there is no consensus on the most appropriate estimation methodology. Because there is no consensus, the desired qualities of the different profit rate series are identified and evaluated. It is desirable that, in the long run, the series of profit rates have a stable relationship with investment and production variables, show cyclical movements, a downward trend and, in times of sudden changes in the economy, show outliers and breaks. In the short term, it is desirable that the rate of profit Granger-cause investment and production variables. These qualities are tested and evaluated for the different profit rate series. We examine the methodologies for estimating the profit rate proposed by Duménil and Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir and Campbell Marquetti (2012a), Husson (2010) and Moseley (1991). Then, we estimate the rate of profit according to the different methodologies, considering replacement costs, historical costs, in the monetary expression of working time, including and excluding financial capital, including and excluding capital turnover. The resulting series are grouped according to the sample size and analysed by means of econometric instruments. For the first-order integrated profit rate series, the cointegration test is applied with the investment and production series of the same integration order. Granger causality tests are also performed between these variables. For the series of larger sample size, state space models are applied, which show convergent results and indicate a tendency of a decrease in the rate of profit at replacement costs and irrelevance of the neoliberal policy in determining the movements of the profit rate. In addition, it becomes evident that there is no methodology for estimating the rate of profit that is absolutely superior. For each research problem there are advantages and disadvantages in using each series of profit rate.
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Contribution to the assessment of shelter-in-place effectiveness as a community protection measure in the event of a toxic gas releaseMontoya Rodríguez, María Isabel 26 November 2010 (has links)
En les darreres dècades el nombre d'accidents ocurreguts en la industria química i durant el transport de mercaderies perilloses ha augmentat substancialment, registrant-se en la seva majoria en zones densament poblades. Els núvols de gasos tòxics solen originar-se en aquests accidents i malgrat que són menys probables que altres tipus d'accidents, poden afectar grans extensions i contaminar zones poblades, provocant greus conseqüències. Això comporta un gran repte per a les autoritats civils, que han d'avaluar i decidir l'àrea que cal evacuar i l'àrea en la que s'ha d'implementar el confinament com a mesura de protecció. L'avaluació de l'efectivitat del confinament comprèn tres etapes fonamentals: el càlcul de la dispersió exterior, el càlcul de la concentració interior en funció de la concentració exterior i l'avaluació dels efectes adversos per a la salut. Aquesta tesi s'enfoca principalment en l'estudi de la segona etapa, la qual és funció de la taxa d'infiltració d'aire en les edificacions.Inicialment es va realitzar una extensa revisió bibliogràfica sobre les tres etapes, fent èmfasi en la cerca de models pel càlcul de la concentració interior, la taxa d'infiltració y l'hermeticitat de les vivendes. Posteriorment, a través d'una anàlisi de sensibilitat es trobà que la taxa de renovació d'aire té una gran influencia sobre l'efectivitat del confinament i, a més, atès que aquesta varia per cada edificació, el coneixement de la seva distribució en una població és necessari per a una avaluació adequada de l'efectivitat del confinament, ja que suposar-la constant per a totes les edificacions pot comportar sobreestimacions o subestimacions del radi d'evacuació. Per tant, amb la finalitat d'obtenir una aproximació de la distribució de l'hermeticitat, es va aplicar el model desenvolupat pel Lawrence Berkeley National Laboratory (LBNL), que prové de dades de vivendes nord-americanes, a les vivendes catalanes. De tota manera, els resultats obtinguts es trobaven esbiaixats a les zones climàtiques, essent les prediccions per a vivendes ubicades en zones seques més hermètiques que en zones humides. En el cas de Catalunya, on les tècniques constructives no varien significativament d'una zona a una altra i la majoria de vivendes estan construïdes a base de materials pesats, no és d'esperar una diferència tan marcada com la predita pel model del LBNL. Per tant, es va decidir desenvolupar un model per a les vivendes catalanes utilitzant la base de dades de taxes d'infiltració de vivendes unifamiliars del CETE de Lyon, ja que aquestes vivendes tenen més similitud amb les vivendes catalanes que no pas les nord-americanes.El model desenvolupat, denominat UPC-CETE, permet estimar l'hermeticitat de les vivendes unifamiliars en funció de l'àrea, el número de pisos, l'edat i el tipus d'estructura constructiva: lleugera o pesada. Els valors d'hermeticitat predits amb aquest model foren menors que els obtinguts amb el model del LNBL, tal com s'esperava. Finalment, per tal de validar i millorar el model desenvolupat, es van realitzar mesures de la taxa de renovació d'aire en diverses vivendes de Catalunya i també en habitacions prèviament condicionades per ser utilitzades com a refugi, per tal d'avaluar la reducció guanyada sobre la taxa de renovació de tota la vivenda. Com a mitjana, s'obtingueren reduccions d'un 35% i es trobà que les reduccions més grans tenien lloc en vivendes antigues, amb àrees petites d'una o dues plantes. El model UPC-CETE millorat a partir dels resultats obtinguts en les proves experimentals, s'incorporà a la metodologia per avaluar l'efectivitat del confinament en l'etapa d'estimació de la taxa de renovació d'aire, evitant l'ús d'un valor constant per a totes les vivendes i promovent així l'ús d'una distribució d'aquest paràmetre per secció censal afectada dins la població. / During the last decades the number of accidents in chemical industries and during transportation of hazardous substances has significantly increased, with most of them occurring in highly populated areas. One of the possible accidents is a toxic gas cloud, which although less common than other major hazards could affect larger areas reaching populated zones and producing more severe consequences. This implies then, a great challenge to emergency managers who must plan and decide the areas where protection measures should be implemented: shelter in place and/or evacuation. The assessment of the effectiveness of shelter in place is subjected to three main stages: the calculation of the outdoor gas dispersion, the estimation of indoor concentration from outdoor concentration and the evaluation of human vulnerability. This thesis is mainly focused on the study of the second stage which is primarily a function of buildings leakage.Initially we performed a bibliographic survey with special interest on the models to estimate indoor concentration from outdoor concentration, airtightness of dwellings and ventilation models. Then, through a sensitivity analysis, we found that the air exchange rate has a great influence on the effectiveness of shelter in place. Moreover, since this parameter is different for each building, the knowledge of the distribution of this variable in the affected population would lead to a more accurate assessment of the effectiveness of shelter in place, because if we assume it as a fix value, constant for all buildings, over or underestimations of the evacuation radius may occur. Therefore, with the aim of making an estimation of the airtightness distribution in Catalunya, we applied the model developed by the Lawrence Berkeley National Laboratory (LBNL), a model based on data from North American dwellings, to Catalan dwellings. The results obtained were influenced by climate zones, due to the coefficients of the model, being more airtight the predictions for dwellings located in dry climates than for dwellings in humid zones. In the case of Catalunya, where constructions techniques do not differ significantly from one zone to another and most of the dwellings consist of a heavy structure, a difference such as that predicted by the model of the LBNL is not expected. Consequently, we decided to develop a model for Catalan dwellings using the air leakage database from the CETE de Lyon, since French dwellings are more likely to Catalan dwellings than US dwellings. The model developed, named the UPC-CETE model, predicts the airtightness of single-family dwellings as a function of the floor area, the age, the number of stories and the structure type: light or heavy. The airtihgtness values predicted with this model were smaller than those predicted with the model of the LBNL, as was expected. Finally, in order to validate and improve the model developed we carried out a series of trials to measure the air exchange rate in some Catalan dwellings. Measurements in sealed rooms were also performed with the aim of assessing the reduction gained on the air exchange rate with regards to the air exchange rate of the whole dwelling. On average, we obtained reductions of 35% and found that larger reductions belonged to old dwellings with small floor areas and 1 or 2 stories. The improved model was incorporated on the methodology to assess shelter in place effectiveness on the stage concerning the estimation of the air exchange rate of the dwellings located on the affected zone; therefore, the assumption of a constant value is avoided. These measurements and the model constitute therefore the first proposal for estimating the airtightness distribution of single-family dwellings that could be used by Catalan authorities for emergency response planning.
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The Controversy on the Theory of Capital / La controversia sobre la teoría del capitalJiménez, Félix 10 April 2018 (has links)
This chapter contains the capital theory controversy that took place among the most importanteconomists from the universities of Cambridge (UK) and Cambridge (Mass.). Firstly, we presentthe neoclassical propositions which are summarized in the neoclassical parables. The second section contains Robinson’s criticism of the neoclassical capital theory and Garegnani’s criticismof the decreasing marginal productivity theory. Thirdly, we summarize Samuelson’s attempt to validate the neoclassical production function and his main mistakes. The fourth section presents Solow’s response and Nell’s criticism. Finally, in the fifth section, we present the main contributions to the capital theory controversy. / Este capítulo presenta el contenido de la controversia en torno a la teoría del capital que se llevó a cabo entre los economistas más importantes de las universidades de Cambridge (Inglaterra) yCambridge (Estados Unidos). Primero se presenta las proposiciones fundamentales de la teoría neoclásica, es decir, las parábolas neoclásicas. La segunda sección aborda las críticas de Joan Robinson a la teoría neoclásica del capital y las críticas de Garegnani a la teoría de la productividad marginal decreciente. En la tercera parte, se expone el intento de Samuelson de validar la funciónde producción neoclásica y los principales errores que él comete. La cuarta sección presenta la respuesta de Solow y la crítica de Nell. Finalmente, en la quinta sección, se señalan los principales aportes de esta controversia sobre la teoría del capital.
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A lei da queda tendencial da taxa de lucro : novas evidências e aplicaçõesClemente, Leonel Toshio January 2017 (has links)
O objetivo central desta tese é verificar novas evidências para a Lei da Queda Tendencial da Taxa de Lucro nos Estados Unidos da América. Primeiramente, apresenta-se revisão bibliográfica sobre a Lei e sua verificação empírica. Observa-se uma tendência inerente ao capitalismo de baixar a taxa de lucro média, que estimações de séries de taxa de lucro podem ser obtidas a partir das contas nacionais e, também, que não há consenso sobre a metodologia de estimação mais adequada. Por não haver consenso, são identificadas e avaliadas as qualidades desejáveis das diferentes séries de taxa de lucro. É desejável que a série de taxa de lucro tenha relação estável de longo prazo com variáveis de investimento e de produção, apresente movimentos cíclicos, tendência de queda e, em períodos de mudanças bruscas da economia, mostre outliers e quebras. No curto prazo, é desejável que a taxa de lucro apresente Granger-causar variáveis de investimento e de produção. Estas qualidades são testadas e avaliadas nas diferentes séries de taxa de lucro. São examinadas as metodologias de estimação da taxa de lucro de Duménil e Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir e Campbell (2015), Marquetti (2012a), Husson (2010) e Moseley (1991). É, então, estimada a taxa de lucro segundo as diferentes metodologias, considerando custos de reposição, custos históricos, em expressão monetária do tempo de trabalho, incluindo e excluindo o capital financeiro, incluindo e excluindo a rotação do capital. As séries resultantes são agrupadas conforme o tamanho da amostra e analisadas por meio de instrumental econométrico. Para as séries de taxa de lucro integradas de primeira ordem, aplica-se o teste de cointegração com as séries de investimento e produção de mesma ordem de integração. Também são realizados testes de causalidade de Granger entre essas variáveis. Para as séries de maior dimensão amostral, são aplicados modelos de espaço de estados, os quais apresentam resultados convergentes e apontam tendência de queda na taxa de lucro a custos de reposição e irrelevância da política neoliberal na determinação dos movimentos da taxa de lucro. Além disso, torna-se evidente que não há uma metodologia de estimação de taxa de lucro que seja absolutamente superior. Para cada problema de pesquisa há vantagens e desvantagens no uso de cada série de taxa de lucro. / The central objective of this thesis is to verify new evidence for the Law of the Tendency of the Profit Rate to Fall in the United States of America. First, we present a bibliographical review on the Law and its empirical verification. We notice an inherent tendency to capitalism to lower the average profit rate, that estimates of profit rate series can be obtained from national accounts and, also, that there is no consensus on the most appropriate estimation methodology. Because there is no consensus, the desired qualities of the different profit rate series are identified and evaluated. It is desirable that, in the long run, the series of profit rates have a stable relationship with investment and production variables, show cyclical movements, a downward trend and, in times of sudden changes in the economy, show outliers and breaks. In the short term, it is desirable that the rate of profit Granger-cause investment and production variables. These qualities are tested and evaluated for the different profit rate series. We examine the methodologies for estimating the profit rate proposed by Duménil and Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir and Campbell Marquetti (2012a), Husson (2010) and Moseley (1991). Then, we estimate the rate of profit according to the different methodologies, considering replacement costs, historical costs, in the monetary expression of working time, including and excluding financial capital, including and excluding capital turnover. The resulting series are grouped according to the sample size and analysed by means of econometric instruments. For the first-order integrated profit rate series, the cointegration test is applied with the investment and production series of the same integration order. Granger causality tests are also performed between these variables. For the series of larger sample size, state space models are applied, which show convergent results and indicate a tendency of a decrease in the rate of profit at replacement costs and irrelevance of the neoliberal policy in determining the movements of the profit rate. In addition, it becomes evident that there is no methodology for estimating the rate of profit that is absolutely superior. For each research problem there are advantages and disadvantages in using each series of profit rate.
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A lei da queda tendencial da taxa de lucro : novas evidências e aplicaçõesClemente, Leonel Toshio January 2017 (has links)
O objetivo central desta tese é verificar novas evidências para a Lei da Queda Tendencial da Taxa de Lucro nos Estados Unidos da América. Primeiramente, apresenta-se revisão bibliográfica sobre a Lei e sua verificação empírica. Observa-se uma tendência inerente ao capitalismo de baixar a taxa de lucro média, que estimações de séries de taxa de lucro podem ser obtidas a partir das contas nacionais e, também, que não há consenso sobre a metodologia de estimação mais adequada. Por não haver consenso, são identificadas e avaliadas as qualidades desejáveis das diferentes séries de taxa de lucro. É desejável que a série de taxa de lucro tenha relação estável de longo prazo com variáveis de investimento e de produção, apresente movimentos cíclicos, tendência de queda e, em períodos de mudanças bruscas da economia, mostre outliers e quebras. No curto prazo, é desejável que a taxa de lucro apresente Granger-causar variáveis de investimento e de produção. Estas qualidades são testadas e avaliadas nas diferentes séries de taxa de lucro. São examinadas as metodologias de estimação da taxa de lucro de Duménil e Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir e Campbell (2015), Marquetti (2012a), Husson (2010) e Moseley (1991). É, então, estimada a taxa de lucro segundo as diferentes metodologias, considerando custos de reposição, custos históricos, em expressão monetária do tempo de trabalho, incluindo e excluindo o capital financeiro, incluindo e excluindo a rotação do capital. As séries resultantes são agrupadas conforme o tamanho da amostra e analisadas por meio de instrumental econométrico. Para as séries de taxa de lucro integradas de primeira ordem, aplica-se o teste de cointegração com as séries de investimento e produção de mesma ordem de integração. Também são realizados testes de causalidade de Granger entre essas variáveis. Para as séries de maior dimensão amostral, são aplicados modelos de espaço de estados, os quais apresentam resultados convergentes e apontam tendência de queda na taxa de lucro a custos de reposição e irrelevância da política neoliberal na determinação dos movimentos da taxa de lucro. Além disso, torna-se evidente que não há uma metodologia de estimação de taxa de lucro que seja absolutamente superior. Para cada problema de pesquisa há vantagens e desvantagens no uso de cada série de taxa de lucro. / The central objective of this thesis is to verify new evidence for the Law of the Tendency of the Profit Rate to Fall in the United States of America. First, we present a bibliographical review on the Law and its empirical verification. We notice an inherent tendency to capitalism to lower the average profit rate, that estimates of profit rate series can be obtained from national accounts and, also, that there is no consensus on the most appropriate estimation methodology. Because there is no consensus, the desired qualities of the different profit rate series are identified and evaluated. It is desirable that, in the long run, the series of profit rates have a stable relationship with investment and production variables, show cyclical movements, a downward trend and, in times of sudden changes in the economy, show outliers and breaks. In the short term, it is desirable that the rate of profit Granger-cause investment and production variables. These qualities are tested and evaluated for the different profit rate series. We examine the methodologies for estimating the profit rate proposed by Duménil and Lévy (2011), Shaikh (2010), Kliman (2011), Jones (2012), Freeman (2012), Norfield (2012), Bakir and Campbell Marquetti (2012a), Husson (2010) and Moseley (1991). Then, we estimate the rate of profit according to the different methodologies, considering replacement costs, historical costs, in the monetary expression of working time, including and excluding financial capital, including and excluding capital turnover. The resulting series are grouped according to the sample size and analysed by means of econometric instruments. For the first-order integrated profit rate series, the cointegration test is applied with the investment and production series of the same integration order. Granger causality tests are also performed between these variables. For the series of larger sample size, state space models are applied, which show convergent results and indicate a tendency of a decrease in the rate of profit at replacement costs and irrelevance of the neoliberal policy in determining the movements of the profit rate. In addition, it becomes evident that there is no methodology for estimating the rate of profit that is absolutely superior. For each research problem there are advantages and disadvantages in using each series of profit rate.
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