Processus de Lévy et leurs applications en finance / No English summary available.

Made available in DSpace on 2014-12-17T14:34:38Z (GMT). No. of bitstreams: 1 WilliamGS.pdf: 1108218 bytes, checksum: 6b7785740714d1c8c6344aa3f011e0dc (MD5) Previous issue date: 2009-11-30 / The object of the present dissertation is to analyze the behavior of the public finances of the districts of the state of Rio Grande do Norte (RN), taking as reference a period fundamentally previous to the implementation of the Fiscal Responsibility Law LRF, comparatively to the first years, immediately after the advent of the mentioned institutional milestone. The central hypothesis of this study proposes that, from the institutions' viewpoint, the LRF sets securely consistent rules, in the orchestration of the behavior of the municipal revenues and expenses. These regulations, on the other hand, might be effective and reach the districts of the RN indiscriminately, apart from stabilizing tendencies and which are sustainable in the long run. In spite of this, the indicators calculated reveal that the districts researched show, during all the period under analysis, a diminished capacity of self-tax collection , and consequently, a high participation of the intergovernmental transfers in the composition of the current revenues. This behavior indicates that the goal of strengthening the municipal public finances, forecast in the LRF, tends to be only partially accomplished, due to the fiscal decentralism. The analysis and interpretation of the data are conducted from the literature of institutionalist orientation and in descriptive statistical tools applied to the municipal strata of the state of Rio Grande do Norte. Further on, it's used the econometrical method Pooled OLS, which demands the elimination of the municipal strata in order to allow the use of the model, in the attempt to strengthen and/or ratify the results of the research. Finally, the evidence reached in the dissertation show that the LRF brings better conditions to the potiguar municipal public finances, predominantly to the economically stronger districts; whereas the less dynamic municipal entities show rather divergent evidence, that is, their economies seem to be more oriented to a more pronounced state participation; therefore, it generates in the state of RN a certain antithesis in the results reached in the dissertation / O objetivo da presente disserta??o ? analisar o comportamento das finan?as p?blicas dos munic?pios do Rio Grande do Norte (RN), tomando como refer?ncia um per?odo fundamentalmente anterior ? implementa??o da Lei de Responsabilidade Fiscal LRF, comparativamente aos primeiros anos, imediatamente posteriores ao advento do referido marco institucional. A hip?tese central deste estudo prop?e que, do ponto de vista das institui??es, a LRF estabelece regras seguramente consistentes, na orquestra??o do comportamento das receitas e despesas municipais. Essas regulamenta??es, por sua vez, podem vir a ser efetivas e alcan?arem os munic?pios do RN indiscriminadamente; al?m de tend?ncias estabilizadoras e que s?o sustent?veis no longo prazo. Apesar disso, os indicadores calculados revelam que os munic?pios pesquisados apresentam, durante todo o per?odo analisado, uma reduzida capacidade de arrecada??o pr?pria e, conseq?entemente, uma elevada participa??o das transfer?ncias intergovernamentais na composi??o das receitas correntes. Esse comportamento indica que o objetivo de fortalecimento das finan?as p?blicas municipais, previsto na LRF, tende a ser apenas parcialmente alcan?ado, em virtude do descentralismo fiscal. A an?lise e interpreta??o dos dados s?o feitas a partir da literatura de orienta??o institucionalista e em instrumentais estat?sticos descritivos aplicados aos estratos municipais do Rio Grande do Norte. Posteriormente, faz-se uso do m?todo econom?trico Pooled OLS, o que demanda a elimina??o dos estratos municipais para permitir a utiliza??o do modelo, na tentativa de robustecer e/ ou ratificar os resultados da pesquisa. Finalmente, as evid?ncias alcan?adas na disserta??o mostram que a LRF traz melhores condi??es ?s finan?as p?blicas municipais potiguares, al?m da garantia de tend?ncias estabilizadoras e sustent?veis no longo prazo, predominantemente aos munic?pios economicamente mais fortes; j? as entidades municipais menos din?micas apresentam evid?ncias um pouco divergentes, isto ?, suas economias parecem ser mais orientadas a uma participa??o estatal mais pronunciada; assim sendo, gera no estado do RN certa ant?tese nos resultados alcan?ados na disserta??o

Esta dissertação tem como propósito central discutir e analisar as propostas, os fundamentos e a lógica da política econômica do governo federal brasileiro no pós-crise de 2008, com especial predileção para a política fiscal. A fim de permitir uma aproximação apropriada de tal tema, realizou-se uma discussão teórica acerca das finanças públicas e da política fiscal, buscando compreender a importância destas para o sistema econômico. Esta discussão trata de avaliar mais de um modelo teórico, de modo a buscar aquele que melhor atenda aos objetivos da análise proposta. Sendo assim, o capítulo 1 trata fundamentalmente das finanças públicas e de sua relevância para o sistema econômico e sua reprodução, bem como busca compreender os determinantes de sua evolução. O capítulo 2, se volta para a ação estatal propriamente dita, representada pela política fiscal. Dividido em duas partes centrais, o capítulo analisa, de um lado, as teorias acerca dos objetivos que devem ser buscados pela política fiscal, e de outro dos meios que o Estado dispõe para pôr em prática seu projeto. Por último, no capítulo 3, é analisada a evolução do padrão de atuação do Estado brasileiro a partir da mutação de suas estruturas e de sua política fiscal. Esta análise tem início com as respostas do Estado à crise da dívida na década de 1980, por representar uma importante mudança de rumos na sua atuação, e segue até os dias atuais, buscando enfatizar as principais políticas tomadas pelos governos no referido período. Dá-se especial destaque para a mudança ocorrida na condução da política fiscal com a eclosão crise financeira de 2008, discutindo até que ponto esta mudança se refere de fato à busca de um novo paradigma para a atuação do Estado. / This work has as main goal discuss and analyze the proposals, the foundations and the logic of the economic policy of the Brazilian federal government in 2008 after the crisis, with special preference for it's fiscal policy. In order to allow proper approach this theme, a theoretical discussion about public finance and fiscal policy was made, seeking to understand the importance of these to the economic system. This discussion assess more than a theoretical model in order to get the one that best meets the proposed analysis goals. Therefore, Chapter 1 is fundamentally about public finances and its relevance to the economic system and its reproduction, and seeks to understand the determinants of its evolution. Chapter 2, is engaged in the state action, represented by the fiscal policy. Divided into two central parts, the chapter analyzes on the one hand, theories about the objectives to be sought by fiscal policy, and on the other the means that the state has to implement it's project. Finally, Chapter 3 analyzes the evolution of the patterns of the Brazilian State performance from the mutation of its structures and its fiscal policy. This analysis begins with the State's responses to the debt crisis in the 1980s, as it represents a major change of direction in its activities, continue until the present day, seeking to emphasize the main policies taken by governments in that period. It gives special emphasis to the shift in fiscal policy with the outbreak of the 2008 financial crisis, discussing to what extent this change refers in fact to the search for a new paradigm for state action.

This paper presents a Keynesian effective demand model that reproduces expansive or contractive effects of an expansionary fiscal policy as a function of the initial conditions of the public finances.In an economy with fiscal slack, when observed primary surplus is above the optimal fiscal surplus level, expansive fiscal policy raises the level of economic activity.However, when there is no fiscal slackness, when the observed surplus is below the optimal surplus, a fiscal expansion may contract the level of economic activity.The outcome has implications for the debate about whether fiscal policy should be countercyclical or not. In the aforementioned scenery the countercyclical policy is appropriate only when there is fiscal slackness, but it is counterproductive, wouldaggravate the recession instead of ameliorating it, whenever at the initial point the observed fiscal surplus is below the optimal surplus level. / En este trabajo se presenta un modelo keynesiano de demanda efectiva que reproduce efectos expansivos o contractivos de una política fiscal expansiva, enfunción al estado inicial de las finanzas públicas.En una economía con holgura fiscal, cuando el superávit primario observado está por encima del superávit fiscal óptimo, la política fiscal expansiva eleva el nivel de actividad económica. Sin embargo, cuando dicha holgura fiscal no existe, cuando el superávit observado está por debajo del superávit óptimo, una expansión fiscal puede contraer el nivel de actividad económica.Este resultado tiene implicancias en la discusión de si la política fiscal debe ser contracíclica. En el escenario descrito, la respuesta contracíclica es apropiadasolo cuando en la situación inicial hay holgura fiscal; pero sería contraproducente, agravaría una recesión, en lugar de atenuarla, si en el punto de partida el superávit fiscal observado se encuentra por debajo del superávit óptimo.

Este trabalho tem por objetivo mostrar que a função log-periódica pode ser utilizada na Análise Gráfica como um indicador do tipo oscilador, que prevê a reversão de tendências. Os testes realizados mostraram a viabilidade e eficácia de sua utilização, levando a significativas evidências em favor de sua utilização, quando os resultados são comparados àqueles obtidos através da utilização dos indicadores médias móveis, IFR e MACD e do rompimento de tendências. / The purpose of present work is to show that the log-periodic function can be used in Technical Analysis as an oscillator, which anticipates trend reversions. The tests show its usefulness and the advantages of its utilization, once meaningful differences appear when its results are compared with those of moving averages, RSI , MACD and trend reversals.

Esta dissertação tem como propósito central discutir e analisar as propostas, os fundamentos e a lógica da política econômica do governo federal brasileiro no pós-crise de 2008, com especial predileção para a política fiscal. A fim de permitir uma aproximação apropriada de tal tema, realizou-se uma discussão teórica acerca das finanças públicas e da política fiscal, buscando compreender a importância destas para o sistema econômico. Esta discussão trata de avaliar mais de um modelo teórico, de modo a buscar aquele que melhor atenda aos objetivos da análise proposta. Sendo assim, o capítulo 1 trata fundamentalmente das finanças públicas e de sua relevância para o sistema econômico e sua reprodução, bem como busca compreender os determinantes de sua evolução. O capítulo 2, se volta para a ação estatal propriamente dita, representada pela política fiscal. Dividido em duas partes centrais, o capítulo analisa, de um lado, as teorias acerca dos objetivos que devem ser buscados pela política fiscal, e de outro dos meios que o Estado dispõe para pôr em prática seu projeto. Por último, no capítulo 3, é analisada a evolução do padrão de atuação do Estado brasileiro a partir da mutação de suas estruturas e de sua política fiscal. Esta análise tem início com as respostas do Estado à crise da dívida na década de 1980, por representar uma importante mudança de rumos na sua atuação, e segue até os dias atuais, buscando enfatizar as principais políticas tomadas pelos governos no referido período. Dá-se especial destaque para a mudança ocorrida na condução da política fiscal com a eclosão crise financeira de 2008, discutindo até que ponto esta mudança se refere de fato à busca de um novo paradigma para a atuação do Estado. / This work has as main goal discuss and analyze the proposals, the foundations and the logic of the economic policy of the Brazilian federal government in 2008 after the crisis, with special preference for it's fiscal policy. In order to allow proper approach this theme, a theoretical discussion about public finance and fiscal policy was made, seeking to understand the importance of these to the economic system. This discussion assess more than a theoretical model in order to get the one that best meets the proposed analysis goals. Therefore, Chapter 1 is fundamentally about public finances and its relevance to the economic system and its reproduction, and seeks to understand the determinants of its evolution. Chapter 2, is engaged in the state action, represented by the fiscal policy. Divided into two central parts, the chapter analyzes on the one hand, theories about the objectives to be sought by fiscal policy, and on the other the means that the state has to implement it's project. Finally, Chapter 3 analyzes the evolution of the patterns of the Brazilian State performance from the mutation of its structures and its fiscal policy. This analysis begins with the State's responses to the debt crisis in the 1980s, as it represents a major change of direction in its activities, continue until the present day, seeking to emphasize the main policies taken by governments in that period. It gives special emphasis to the shift in fiscal policy with the outbreak of the 2008 financial crisis, discussing to what extent this change refers in fact to the search for a new paradigm for state action.

O principal objetivo da Medida Provisória (MP) nº 579/2012 foi viabilizar a redução tarifária aos consumidores de energia elétrica no Brasil. Entretanto, a medida trouxe outras consequências ao setor elétrico, entre elas incertezas quanto às regras para renovações de concessões existentes. No presente trabalho, verificou-se o impacto da MP no risco sistêmico do setor elétrico e, também, no risco sistêmico dos demais setores regulados da economia brasileira, mas não afetados diretamente com a medida. Analisou-se o risco sistêmico por meio do beta recursivo desalavancado, considerando-se uma base de 140 empresas listadas na B3 entre janeiro de 2008 a setembro de 2016. A partir da metodologia de controle sintético, criaram-se grupos de controle de modo a captar isoladamente o feito da MP sobre o risco sistêmico das empresas do setor elétrico e demais setores regulados. Os resultados mostram um aumento do risco sistêmico dos setores regulados no Brasil após a publicação da MP 579/2012, sugerindo um efeito contágio do ambiente regulatório do país. Ainda, estima-se que o aumento do risco sistêmico tenha custado mais de R$ 14 bilhões aos consumidores/contribuintes brasileiros, lançando dúvidas sobre o real efeito da MP. / The main objective of the Act (PM) n.o 579/2012 was to enable fees reduction to electric power consumers in Brazil. However, it has brought other consequences to the electric power sector, including uncertainties about the rules for renewals of existing concessions. The present work verifies the impact of the PM on the systemic risk of the electric sector and on the systemic risk of the other regulated sectors of the Brazilian economy, but not directly affected with that measure. The analysis of systemic risk uses unleveraged recursive betas, considering a set of 140 companies listed on the B3 between January 2008 and September 2016. Based on the synthetic control methodology, I have created control groups in order to capture the PM effect on the systemic risk of companies in the electricity power sector and other regulated sectors. The results show an increase in the systemic risk of regulated sectors in Brazil after publication of MP 579/2012, suggesting a possible contagion effect of the country\'s regulatory environment. Moreover, I have estimated that the increase in systemic risk may have cost Brazilian consumers/taxpayers more than R $ 14 billion, casting doubt on the real effect of the PM.

La fiscalisation des ressources de la sécurité sociale constitue non seulement le basculement d’un financement par cotisations sociales vers un financement par l’impôt au sein de la sécurité sociale, mais également un mécanisme d’ensemble aboutissant à la globalisation du droit des finances publiques, à l’uniformisation des prélèvements obligatoires et des modèles sociaux. Elle traduit la mutation des finances sociales, et l’harmonisation des règles applicables. La thèse propose ainsi une redéfinition de la fiscalisation qui constitue ainsi le pont entre la fiscalité et la sécurité sociale, dont les répercussions sont tant structurelles que parlementaires / The taxation of social security resources is a switch between social contributions and taxes in social security resources, and also a general mechanism leading to the globalization of the public finance law, the standardization of obligatory contributions and social models. Social finances become integral parts of public finances due to taxation system. The thesis proposes a redefinition of taxation that is the link between tax system and social security. The repercussions of this mechanism are both structural and parliamentarians

Consumers today leave a fragment of information when they pay with their debit and credit cards. The aim of our work is to investigate ways to design a concept of a system in which digitally stored information that today is fragmented among several different holders, can be assembled into a system and made available to consumers. In our study of how a system for financial flow of information should be designed, we intend to study the present situation and the attempts made to alter it into a more informative reality. We intend to investigate the flow of information when a consumer pays by card, and the possible solutions regarding the design and transportation of digital receipts. A majority of the information of our digital consumption is today handled digitally. We pay bills and make purchases online with debit- and credit cards. Some of this information is available digitally for the parties involved. However, there is an essential element of information that is not being made available digitally to consumers. The digital receipt is a natural part of the whole that is our idea. The digital nature of the information creates opportunities for new services and markets, but the digital receipt also replaces the unwanted physical receipt. We found that there is an interest among consumers for the introduction of the digital receipt and the information that it enables. We have for this purpose created a conceptual design, and initiated a discussion on the future systems of private financial information. / Consumers today leave a fragment of information when they pay with their debit and credit cards. The aim of our work is to investigate ways to design a concept of a system in which digitally stored information that today is fragmented among several different holders, can be assembled into a system and made available to consumers. In our study of how a system for financial flow of information should be designed, we intend to study the present situation and the attempts made to alter it into a more informative reality. We intend to investigate the flow of information when a consumer pays by card, and the possible solutions regarding the design and transportation of digital receipts. A majority of the information of our digital consumption is today handled digitally. We pay bills and make purchases online with debit- and credit cards. Some of this information is available digitally for the parties involved. However, there is an essential element of information that is not being made available digitally to consumers. The digital receipt is a natural part of the whole that is our idea. The digital nature of the information creates opportunities for new services and markets, but the digital receipt also replaces the unwanted physical receipt. We found that there is an interest among consumers for the introduction of the digital receipt and the information that it enables. We have for this purpose created a conceptual design, and initiated a discussion on the future systems of private financial information.

Research on SME public policies has greatly evolved during the past years. This is the case particularly in developed countries, where many institutions have been put in place to support these firms owing notably to their social and economic importance. Yet, the scientific community acknowledges that we still have substantial knowledge gaps with regards to the question of how and when governments should intervene to assist SMEs, and which specific categories of SMEs should receive assistance in some shape or form. The objective of this thesis is to bring an element of response to the above-mentioned question concerning public financing measures in particular. More precisely, its objective is to show how the type of measures used by governments and the internal characteristics of beneficiary firms contribute to make government intervention more or less effective in the short term (over a one-year interval) notably in terms of job creation. The interest of this thesis thus lies in the fact that it highlights new parameters which can be used in the framework of strategies aiming at improving the results of government intervention in the SME sector. The measures we examine include research and development subsidies, capital interventions, and loans. The characteristics of firms we consider include the level of cash-flow, the level of equity, and the level of financial debt. To achieve our objective, we focus on the context of the Brussels-capital Region in Belgium and consider 2004-2010 as the period of study. The thesis is principally inspired by Storey’s propositions (one of the pioneers of research on entrepreneurship and public policies), who posits that setting effective SME policies requires an understanding of factors influencing the birth, the growth, and the death of the latter. It uses the comparative and longitudinal approaches in a quasi-experimental research design with the relative difference-in-differences estimation and panel-data regression including dummy variables as techniques of analysis. The thesis is presented in five chapters. The first is devoted to the general introduction, in which we delineate the framework of the study. The second reviews the literature on the foundations and evaluation methods of SME policies. It gives the state of the art of current research on the topic addressed and defines the background of the thesis. The third chapter describes the methodology used to answer the research question. The fourth chapter is devoted to the results, which are presented through two empirical studies. The first empirical study analyzes the influence of the type of measures. It reveals that subsidies are on average more effective than the two other forms of financing followed respectively by loans, and capital interventions. The second empirical study analyzes the simultaneous influence of the type of measures and the characteristics of beneficiary firms. It shows that public measures are in general more effective in categories of firms having a relatively-high level of cash-flow, a relatively-high level of equity, or a relatively-low level of debt than in the other categories of firms. This result means that a high level of cash-flow as a high level of equity and a low level of debt have a positive effect on the expected outcomes of government intervention in the SME sector. Finally, chapter 5 presents the general conclusion. In this chapter, we summarize the main points developed; present the limitations of the thesis and the perspectives for future research. / La recherche sur les politiques publiques visant à soutenir les PME s’est fortement développée au cours de ces dernières années. C’est le cas en particulier dans les pays développés, où de nombreuses institutions ont été mises en place pour soutenir ces entreprises en raison notamment de leur importance socio-économique. Pourtant, la communauté scientifique s’accorde sur le fait que nous ayons toujours des gaps de connaissance substantiels concernant la question du comment et quand les pouvoirs publics devraient intervenir pour assister les PME (ou les entrepreneurs), et quelles catégories spécifiques de PME devraient recevoir de l’aide sous une forme quelconque. Cette thèse essaye d’apporter un élément de réponse à la question susmentionnée en prenant le cas particulier des mesures publiques de financement. Son objectif est de montrer comment le type de mesure utilisé par les pouvoirs publics et les caractéristiques internes des entreprises bénéficiaires contribuent à rendre l’intervention publique plus ou moins efficaces dans le court terme (sur un intervalle d’un an) notamment en termes de création d’emplois. Ainsi, l’intérêt de cette thèse réside dans le fait qu’elle met en évidence de nouveaux paramètres ou facteurs qui peuvent être utilisés dans le cadre des stratégies visant à optimiser les résultats de l’intervention publique dans le secteur des PME. Les mesures que nous examinons incluent les subsides à la recherche développement, les interventions en capital, et les prêts. Les caractéristiques des entreprises que nous considérons comprennent le niveau de cash-flow, le niveau des capitaux propres, et le niveau de la dette financière à plus d’un an. Pour atteindre notre objectif, nous nous focalisons sur le contexte de la Région de Bruxelles-capitale en Belgique et considérons la période 2004-2010 comme période d’étude. La thèse s’inspire principalement des travaux de Storey (un des pionniers de la recherche sur l’entrepreneuriat et les politiques publiques), qui soutient que la mise en place de politiques efficaces dans le secteur des PME nécessite une compréhension et une prise en compte des facteurs concourant à la naissance, la croissance, et la faillite de ces entreprises. Elle utilise les approches comparative et longitudinale, dans un design de recherche quasi-expérimental avec l’estimation par différence-en-différences relative et la régression avec des données de panel incluant les variables dummy comme techniques d’analyse. La thèse est présentée en cinq chapitres. Le premier chapitre porte sur l’introduction générale, qui délimite le cadre général de la thèse. Le second passe en revue la littérature et ressort les fondements et méthodes d’évaluation des politiques visant à soutenir les PME. Il fait un état de l’art de la recherche actuelle sur le sujet abordé et définit le cadre théorique de la thèse. Le troisième chapitre présente la méthodologie utilisée pour répondre à la question de recherche. Le quatrième chapitre est consacré aux résultats, qui sont présentés à travers deux études empiriques. La première étude empirique analyse l’influence du type. Elle révèle que les subsides sont en moyenne plus efficaces que les deux autres formes de financement, suivis par les prêts, et le capital respectivement. La deuxième étude empirique analyse l’influence simultanée du type de mesure et des caractéristiques des entreprises bénéficiaires. Elle montre que les mesures publiques sont en général plus efficaces chez les catégories entreprises présentant un niveau de cash-flow relativement élevé, un montant de capitaux propres relativement élevé, et un niveau d’endettement relativement faible. Ces résultats indiquent ainsi qu’un niveau de cash-flow élevé de même qu’un niveau de capitaux propres élevé et un niveau d’endettement faible contribuent à rendre les mesures publiques plus efficaces. Pour finir, le chapitre 5 présente la conclusion générale. Dans ce chapitre, nous résumons les principaux point développés, et présentons les limites de la thèse ainsi que les perspectives pour la recherche future. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished