O objetivo do presente estudo foi verificar empiricamente as implicações dos modelos desenvolvidos por Almeida e Campello (2007) e Acharya, Almeida e Campello (2007) em um contexto de simultaneidade entre as decisões financeiras da firma e no qual o impacto do ambiente legal sobre a capacidade de crédito da mesma fosse considerado. Para alcançar esse objetivo estimou-se um sistema de quatro equações simultâneas, que incorpora os avanços teóricos recentes no tocante as decisões financeiras da firma, para uma amostra de firmas de diversos países. Os resultados alcançados sugerem a rejeição empírica das implicações dos referidos modelos, visto que as diferenças esperadas entre as firmas classificadas como não restritas e classificadas como restritas não puderam ser confirmadas. Os resultados também sugerem que ignorar a simultaneidade que caracteriza as decisões financeiras da firma consiste em um erro de especificação que pode ter consequências sérias sobre as estimativas dos parâmetros e que as restrições financeiras manifestam-se em praticamente todas as firmas, possivelmente em intensidades diferentes. / The purpose of this study is to empirically verify the implications of the Almeida and Campello (2007) and Acharya, Almeida, and Campello (2007) models in a context of simultaneous financial decisions of the firm while taking into account the effects of the legal environment on the credit capacity of the firm. To achieve this goal I estimated a system of four simultaneous equations, which incorporates recent theoretical advancements, over a sample of firms from several countries. The results suggest the rejection of the empirical implications, since the expected differences between constrained and unconstrained firms could not be confirmed. The results also suggest that ignoring the simultaneity among financial decisions induces a misspecification that could have serious consequences on the estimated parameters and that the financial constraints arises in almost all firms, possibly in different degrees.

O objetivo do presente estudo foi verificar empiricamente as implicações dos modelos desenvolvidos por Almeida e Campello (2007) e Acharya, Almeida e Campello (2007) em um contexto de simultaneidade entre as decisões financeiras da firma e no qual o impacto do ambiente legal sobre a capacidade de crédito da mesma fosse considerado. Para alcançar esse objetivo estimou-se um sistema de quatro equações simultâneas, que incorpora os avanços teóricos recentes no tocante as decisões financeiras da firma, para uma amostra de firmas de diversos países. Os resultados alcançados sugerem a rejeição empírica das implicações dos referidos modelos, visto que as diferenças esperadas entre as firmas classificadas como não restritas e classificadas como restritas não puderam ser confirmadas. Os resultados também sugerem que ignorar a simultaneidade que caracteriza as decisões financeiras da firma consiste em um erro de especificação que pode ter consequências sérias sobre as estimativas dos parâmetros e que as restrições financeiras manifestam-se em praticamente todas as firmas, possivelmente em intensidades diferentes. / The purpose of this study is to empirically verify the implications of the Almeida and Campello (2007) and Acharya, Almeida, and Campello (2007) models in a context of simultaneous financial decisions of the firm while taking into account the effects of the legal environment on the credit capacity of the firm. To achieve this goal I estimated a system of four simultaneous equations, which incorporates recent theoretical advancements, over a sample of firms from several countries. The results suggest the rejection of the empirical implications, since the expected differences between constrained and unconstrained firms could not be confirmed. The results also suggest that ignoring the simultaneity among financial decisions induces a misspecification that could have serious consequences on the estimated parameters and that the financial constraints arises in almost all firms, possibly in different degrees.

[pt] Na presença de imperfeições no mercado de crédito, a distribuição de riqueza se torna importante para explicar o desenvolvimento econômico de um país. Pois, quando a obtenção de financiamento é insuficiente ou inviável, criase uma relação entre a riqueza de um indivíduo e suas decisões de investimento. Este artigo apresenta evidência empírica de que restrições de crédito afetam substancialmente decisões cruciais das famílias brasileiras - escolha ocupacional do chefe e do cônjuge, educação de crianças e trabalho infantil. A falta de crédito é detectada pelo fato dos agentes estarem restritos por sua riqueza em suas escolhas. Utilizando os dados da Pesquisa Nacional por Amostra de Domicílios (PNAD), observou-se, para os diferentes tipos de família, uma forte relação entre riqueza e decisões intra- familiares. Os resultados sugerem que esta relação parece ser mais intensa para cônjuges, casais sem filhos e para as mães solteiras. No caso das crianças, as meninas são mais afetadas pela falta de crédito. / [en] In the presence of credit market imperfections, the distribution of wealth becomes a key factor in explaining a country's economic development. When outside financing is unavailable or insufficient, a link between an agent's wealth and his investment decisions is created. This paper provides empirical evidence on credit constraints and key intra-household decisions in Brazil; namely, occupational choice of heads and spouses, child labor and education. Our empirical strategy is based on the literature about wealth- constrained choices, in which credit constraints determine a relationship between initial wealth and household decisions. Using data from the National Surveys of Households (PNAD), we show a strong connection between wealth and such decisions. Our findings suggest credit constraints are relatively more binding for spouses, couples without children and single mothers. For the case of children, the girls are more affected by the lack of credit.

Cette thèse examine les effets des imperfections des marchés financiers sur la macroéconomie. Plus particulièrement, elle se penche sur les conséquences de la faillite dans les contrats financiers dans une perspective d'équilibre général dynamique. Le premier papier construit un modèle qui utilise l'avantage comparatif des banques dans la gestion des situations de détresse financière pour expliquer le choix des firmes entre les prêts bancaires et les prêts du marché financier. Le modèle réussit à expliquer pourquoi les firmes plus petites préfèrent le financement bancaire et pourquoi les prêts bancaires sont plus répandus en Europe. Le premier fait est expliqué par le lien négatif entre la valeur nette de l'entreprise et la probabilité de faire faillite. Le deuxième fait s'explique par le coût fixe d'émission de bons plus élevé en Europe. Le deuxième papier examine l'interaction entre les contraintes de financement affectant les ménages et les firmes. Une interaction positive pourrait amplifier et augmenter la persistance de l'effet d'un choc agrégé sur l'économie. Je construis un nouveau modèle qui contient des primes de financement externes pour les firmes et les ménages. Dans le modèle de base avec prix et salaires flexibles, j'obtiens une faible interaction négative entre les coûts de financement des firmes et des ménages. Le facteur clé qui explique ce résultat est l'effet du changement contre cyclique du coût de financement des ménages sur leur offre de travail et leur demande de prêts. Dans une période d'expansion, cet effet augmente les taux d'intérêt, réduit l'investissement et augmente le coût de financement des entreprises. Le troisième papier ajoute les contraintes de financement des banques dans un modèle macroéconomiques avec des prêts hypothécaires et des fluctuations dans les prix de l'immobilier. Les banques dans le modèle ne peuvent pas complètement diversifier leurs prêts, ce qui génère un lien entre les risques de faillite des ménages et des banques. Il y a deux effets contraires des cycles économiques qui affectent la prime de financement externe de la banque. Premièrement, il y a un lien positif entre le risque de faillite des banques et des emprunteurs qui contribue à rendre le coût de financement externe des banques contre cyclique. Deuxiément, le lissage de la consommation par les ménages rend la proportion de financement externe des banques pro cyclique, ce qui tend à rendre le coût de financement bancaire pro cyclique. En combinant ces deux effets, le modèle peut reproduire des profits bancaires et des ratios d'endettement bancaires pro cycliques comme dans les données, mais pour des chocs non-financiers les frictions de financement bancaire dans le modèle n'ont pas un effet quantitativement significatif sur les principales variables agrégées comme la consommation ou l'investissement. / This Dissertation examines the effect of financial market imperfections on the Macroeconomy. More particularly, it focuses on the consequences of equilibrium default using a Dynamic General Equilibrium approach. The first paper builds a dynamic general equilibrium model that emphasizes banks' comparative advantage in monitoring financial distress in order to explain firms' choice between bank loans and market debt. Banks can deal with financial distress more cheaply than bond holders, but this requires a higher initial expenditure proportional to the loan size. In contrast, bond issues may involve a small fixed cost. Entrepreneurs' choice of bank or bond financing depends on their net worth. The model can explain why smaller firms tend to use more bank financing and why bank financing is more prevalent in Europe than in the US. The first fact can be explained by the negative link between the net worth of a business and its default probability. Explaining the second fact requires taking into account the higehr fixed cost of issuing market debt in Europe. The second paper examines the possibility of feedback effects between between the financing constraints of households and of firms. A positive interaction between the financial strength of household and firm balance sheets may amplify aggregate shocks and increase the persistence of aggregate fluctuations. I develop a new model that incorporates both firm and household external finance spreads and time varying leverage. Contrary to a common intuition, the baseline Real Business Cycle model with credit constraints produces a small negative interaction between the costs of external financing for firms and households. The key factor in this result is the effect of changes in the external finance premium on borrowers' labour supply and the demand for loans. The reduction in households' cost of borrowing in a boom decreases labour supply and raises houshold loan demand. This increases interest rates, crowds out investment, and raises borrowing costs for financially constrained firms. The third paper integrates household financing frictions with bank financing frictions and house price fluctuations in a dynamic general equilibrium model. The key assumption in the model is that a bank cannot fully diversify shocks, leading to a link between household and bank sectors' default risks. The cyclical behaviour of banks' external funding cost is determined by two main factors. On one hand, booms improve the financial health of the banks' borrowers which tends to reduce the cost of bank funding. On the other hand, consumption smoothing by savers and borrowers during booms increases the proportion of external financing in the banks' balance sheet which tends to increase the cost of bank funding. As a result of these opposing effects, the model matches procyclical profits and leverage in the financial sector, as observed in the data, but for non financial shocks the banking frictions in the model have an insignificant impact on the main macroeconomic aggregates such as output, consumption and investment.

Cette thèse examine les effets des imperfections des marchés financiers sur la macroéconomie. Plus particulièrement, elle se penche sur les conséquences de la faillite dans les contrats financiers dans une perspective d'équilibre général dynamique. Le premier papier construit un modèle qui utilise l'avantage comparatif des banques dans la gestion des situations de détresse financière pour expliquer le choix des firmes entre les prêts bancaires et les prêts du marché financier. Le modèle réussit à expliquer pourquoi les firmes plus petites préfèrent le financement bancaire et pourquoi les prêts bancaires sont plus répandus en Europe. Le premier fait est expliqué par le lien négatif entre la valeur nette de l'entreprise et la probabilité de faire faillite. Le deuxième fait s'explique par le coût fixe d'émission de bons plus élevé en Europe. Le deuxième papier examine l'interaction entre les contraintes de financement affectant les ménages et les firmes. Une interaction positive pourrait amplifier et augmenter la persistance de l'effet d'un choc agrégé sur l'économie. Je construis un nouveau modèle qui contient des primes de financement externes pour les firmes et les ménages. Dans le modèle de base avec prix et salaires flexibles, j'obtiens une faible interaction négative entre les coûts de financement des firmes et des ménages. Le facteur clé qui explique ce résultat est l'effet du changement contre cyclique du coût de financement des ménages sur leur offre de travail et leur demande de prêts. Dans une période d'expansion, cet effet augmente les taux d'intérêt, réduit l'investissement et augmente le coût de financement des entreprises. Le troisième papier ajoute les contraintes de financement des banques dans un modèle macroéconomiques avec des prêts hypothécaires et des fluctuations dans les prix de l'immobilier. Les banques dans le modèle ne peuvent pas complètement diversifier leurs prêts, ce qui génère un lien entre les risques de faillite des ménages et des banques. Il y a deux effets contraires des cycles économiques qui affectent la prime de financement externe de la banque. Premièrement, il y a un lien positif entre le risque de faillite des banques et des emprunteurs qui contribue à rendre le coût de financement externe des banques contre cyclique. Deuxiément, le lissage de la consommation par les ménages rend la proportion de financement externe des banques pro cyclique, ce qui tend à rendre le coût de financement bancaire pro cyclique. En combinant ces deux effets, le modèle peut reproduire des profits bancaires et des ratios d'endettement bancaires pro cycliques comme dans les données, mais pour des chocs non-financiers les frictions de financement bancaire dans le modèle n'ont pas un effet quantitativement significatif sur les principales variables agrégées comme la consommation ou l'investissement. / This Dissertation examines the effect of financial market imperfections on the Macroeconomy. More particularly, it focuses on the consequences of equilibrium default using a Dynamic General Equilibrium approach. The first paper builds a dynamic general equilibrium model that emphasizes banks' comparative advantage in monitoring financial distress in order to explain firms' choice between bank loans and market debt. Banks can deal with financial distress more cheaply than bond holders, but this requires a higher initial expenditure proportional to the loan size. In contrast, bond issues may involve a small fixed cost. Entrepreneurs' choice of bank or bond financing depends on their net worth. The model can explain why smaller firms tend to use more bank financing and why bank financing is more prevalent in Europe than in the US. The first fact can be explained by the negative link between the net worth of a business and its default probability. Explaining the second fact requires taking into account the higehr fixed cost of issuing market debt in Europe. The second paper examines the possibility of feedback effects between between the financing constraints of households and of firms. A positive interaction between the financial strength of household and firm balance sheets may amplify aggregate shocks and increase the persistence of aggregate fluctuations. I develop a new model that incorporates both firm and household external finance spreads and time varying leverage. Contrary to a common intuition, the baseline Real Business Cycle model with credit constraints produces a small negative interaction between the costs of external financing for firms and households. The key factor in this result is the effect of changes in the external finance premium on borrowers' labour supply and the demand for loans. The reduction in households' cost of borrowing in a boom decreases labour supply and raises houshold loan demand. This increases interest rates, crowds out investment, and raises borrowing costs for financially constrained firms. The third paper integrates household financing frictions with bank financing frictions and house price fluctuations in a dynamic general equilibrium model. The key assumption in the model is that a bank cannot fully diversify shocks, leading to a link between household and bank sectors' default risks. The cyclical behaviour of banks' external funding cost is determined by two main factors. On one hand, booms improve the financial health of the banks' borrowers which tends to reduce the cost of bank funding. On the other hand, consumption smoothing by savers and borrowers during booms increases the proportion of external financing in the banks' balance sheet which tends to increase the cost of bank funding. As a result of these opposing effects, the model matches procyclical profits and leverage in the financial sector, as observed in the data, but for non financial shocks the banking frictions in the model have an insignificant impact on the main macroeconomic aggregates such as output, consumption and investment.

Questa tesi analizza le determinanti e gli effetti dell'innovazione attraverso un'analisi empirica. Nel primo capitolo viene analizzato l'impatto delle leggi di proprietà intellettuale sull'innovazione domestica in campo farmaceutico. Nel secondo capitolo, in cui vengono usati dati a livello di impresa, si studia la correlazione tra innovazione, export, produttività e vincoli finanziari. Infine nell'ultimo capitolo si studia l'effetto dell'innovazione domestica nell'attrarre investimenti diretti esteri. Mentre nel primo e nell'ultimo capitolo l'innovazione viene misurata come output, usando il numero di brevetti attribuiti ad un determinato paese, nel secondo capitolo vengono usati dati di R&D, e quindi di input di innovazione. / This dissertation analyses the determinants and the effects of innovation using an empirical analysis. In the first chapter the impact of Intellectual Property Rights on domestic innovation in the pharmaceutical sector is estimated. In the second chapter the correlation between innovation, export, productivity and financial constraint is studied at the firm level. Finally, in the last chapter the role of domestic innovation in attracting Foreign Direct Investments is estimated. While in the first and in the last chapter innovation output is considered, and innovation is proxied by patent data, in the second chapter innovation input is taken into account, and R&D data are used.

Made available in DSpace on 2010-04-20T21:00:03Z (GMT). No. of bitstreams: 4 Tharso Bossolani.pdf.jpg: 13639 bytes, checksum: 8ee5f1f8943534333d827d42b7b43087 (MD5) Tharso Bossolani.pdf.txt: 97419 bytes, checksum: a09e6ef5f7bc3920ee912a85c0e9fe51 (MD5) Tharso Bossolani.pdf: 343773 bytes, checksum: 2273b0e57adeef163462c9113f661b6e (MD5) license.txt: 4886 bytes, checksum: 5a30b7eb4485f26b12dbeb3883b77a18 (MD5) Previous issue date: 2009-02-10T00:00:00Z / The creation of the European “New” Markets represented a substantial change to support innovative, fast growing companies. In Brazil, there is no evidence of empirical studies that analyze how an IPO impacts the companies’ performance. This study compiles data of companies that went public during 2004 and 2006, when the capital markets went through an important progress. The purpose of this study is to analyze if companies improve their performance after an IPO. The results suggest that companies accelerate the growth of assets and sales after the IPO, becoming less leveraged. These changes as consistent with credit constraints faced before the IPO. As a consequence, profitability is maintained the same after the IPO. Further, companies utilize the larger owner`s equity as a result of the IPO to increase their debt. / A criação dos novos mercados europeus representou uma mudança substancial para suportar empresas inovadoras e de alto crescimento. No Brasil, não foi verificado nenhum estudo empírico que avaliasse o impacto do IPO para o desempenho das empresas. Para tal, utilizou-se dados de empresas que fizeram seu IPO durante os anos de 2004 até 2006, quando o mercado acionário passou por um importante progresso. O objetivo deste trabalho é analisar se as empresa melhoram seu desempenho após o IPO. Os resultados obtidos sugerem que as empresas brasileiras aceleram o crescimento dos ativos e receitas após o IPO, tornando-se menos alavancadas que no período pré-IPO. Estas mudanças indicam uma restrição de crédito antes do IPO. Assim, as empresas conseguem manter a mesma rentabilidade após o IPO. Além disso, as empresas utilizam-se do aumento do patrimônio líquido proveniente do IPO para fazerem captações de novas dívidas.

The submitted thesis is composed of three different articles dealing with issues of financial innovation, credit constraints, and their impact on welfare. The first article treats the contemporary theoretical grasp of the interaction between the financial and real economies, focusing primarily on the role of modern financial innovation in the business cycle. For this purpose, a framework promoted by the Regulation School and Post Keynesians is frequently employed, whilst some other unorthodox streams and mainstream economics are partially discussed as well. All of them aspire -- either per se or under the pressure of the contemporary economic agenda -- to clarify the evolution of financial innovation and credit in the recent era. It is generally found that certain consensus across the schools of economic thought exists, but some of them have done a better job in predicting the consequences of the financial innovation for real economic activity than others. Further, two dynamic macroeconomic models are developed in order to, inter alia, identify the possible effects of extended credit availability presented in the former article on the example of the housing market, and simulate the effects of housing price changes on general welfare. Clearly, this part of the thesis exhibits the indirect consequences of financial innovation as, once again, being rather ambiguous: after having partially unleashed the unprecedented credit granting in the economy, impacting interest rates and loan-to-value ratios, with a subsequent impact on housing prices, it has also influenced credit constrained and unconstrained households in a different manner. Based on an analysis of the situation using partial and general equilibrium analytical frameworks, two somewhat different conclusions are drawn up with respect to the occurrence of various shocks in the models. Under the partial equilibrium framework the effects of relaxation of credit constraints are visible and quite straightforward, indicating relatively simple and intuitive relationship between the price appreciation and general welfare. This is primarily perspicuous for the credit constrained households. In the general equilibrium framework, on the other hand, the transitional dynamics of shock proliferation is more transparent and the impact on credit constrained vs. unconstrained households is more ambiguous and much different from the basic intuition used in the article anchored in the partial equilibrium toolbox.

The <u>first essay</u> [“Twin Deficits and Free Lunches: Macroeconomic Outcomes In Anticipation of Foreign Aid”] concerns itself with situations in which private agents anticipate a future windfall (free lunch) that will help service the debt resulting from a present fiscal expansion (implemented via a temporary tax cut). Such expectations of a windfall can arise in the context of natural resource discoveries or, more interestingly, due to perceptions by agents in “too important to fail” countries that will be bailed out through higher foreign aid or debt relief. We employ an overlapping generations model featuring credit constraints to study the real effects of such free lunch expectations in a small open economy, drawing contrasts with the standard tax and money finance closure rules. The model is solved analytically and shows that anticipated aid is equivalent to current aid when agents have perfect foresight, so that a temporary tax cut is seen as permanent. Accordingly, agents raise their consumption and indebtedness (at the expense of future generations) by an amount that is an increasing function of their “impatience” (subjective rates of time preference plus probability of death). A worsening of the current account obtains (twin deficits) across a range of plausible closure rules, including those featuring money finance. The introduction of credit constrained households (we study the variant where myopic agents spend their current disposable incomes) does not alter the basic result in the case of full aid finance, but does matter for mixed tax-aid regimes, in more complex settings where agent expectations and donor promises on aid diverge, and when governments face borrowing constraints so that the timing of aid delivery matters. The <u>second essay</u> [“The Role of Domestic Debt in Economic Growth: An Empirical Investigation For Developing Economies”] focuses on the remaining source of government financing, i.e. domestic debt, and the role it can play in mobilizing private savings, facilitating credit intermediation in higher risk settings (i.e. serving a “collateral” function on bank balance sheets), developing financial markets and supporting economic growth in general. To investigate this question empirically, we set up a new domestic debt database covering about 100 developing economies, going back three decades to 1975; explore Granger causality links between domestic debt and key macroeconomic and institutional variables; and estimate the growth impact of domestic debt using panel regressions, allowing for non-linear effects. Domestic debt, as a share of GDP is found to exert a significant positive impact on economic growth, with potential channels including domestic savings mobilization, provision of risk-insurance on banks’ balance sheets; and greater institutional accountability of the state to its citizens. Although this result countervails more established arguments against domestic debt (i.e. that it leads to crowding out and banks to become lazy), there is some evidence that above a ratio of 35 percent of bank deposits, domestic debt does begin to undermine economic growth. The growth payoff also depends on debt quality, with higher payoffs observed for positive interest-rate bearing marketable debt issued to nonbank sectors. The <u>third and final essay</u> [“Why Do Banks in Developing Economies Hold Domestic Government Securities?”] explores demand-side determinants of domestic debt, by focusing on commercial bank holdings of government paper, discriminating carefully between voluntary factors (such as mean-variance portfolio optimization) and statutory ones (cash reserve and capital adequacy requirements). The analysis is made possible by the construction of a dataset on government and private returns (real and nominal) for almost 600 banks from 70 emerging and low-income economies, spanning the (pre-Basel II) period 1995-2005. A battery of structural cross-section regressions indicates that banks’ portfolio decisions are at least as significantly influenced by mean-variance considerations as regulatory factors: the actual portfolio share of government securities (λ) responds intuitively, and sizably, to variations in the moments of the distributions for government and private returns as well as in the minimum-variance portfolio share (λ*). Higher cash reserve requirements tilt portfolios away from government securities toward riskier private lending, while higher capital adequacy requirements work the other way. The association between actual portfolios and the identified determinants is noticeably weaker at lower ends of the λ distribution, suggesting the domination of non-CAPM factors in those contexts.