Journal

Browse the categories to access the content of academic, scientific and opinion publications of the professors and students of the Department of Economics PUC-Rio.

Linearity Testing Against a Fuzzy Rule-based Model

Fuzzy Sets and Systems

N 161, P 1836-1851, 01/10/2010

In this paper, we introduce a linearity test for fuzzy rule-based models in the framework of time series modeling. To do so, we explore a family of statistical models, the regime switching autoregressive models, and the relations that link them to the fuzzy rule-based models. From these relations, we derive a Lagrange multiplier linearity test and some properties of the maximum likelihood estimator needed for it. Finally, an empirical study of the goodness of the test is presented

José Luis Aznarte, José Manuel Benıtez Sánchez, Marcelo Medeiros.


Anatomy of a regulatory race to the top: changes in delisting rules at Korea´s two stock exchanges, 1999-2002

Journal of Corporate Finance

V 16, P 456-468, 01/10/2010

One dimension of competition among stock exchanges is the quality of products they have to offer. In order to attract listings and trading volume, exchanges can affect the quality of their listed firms by altering their standards for firm disclosure and governance. We identify a competition with respect to delisting standards between Korea's two stock exchanges and show that it complies with the three components of a regulatory race to the top: external trigger, mobility among diverse regimes and meaningful changes that converge to similar rules. The race between the two Korean exchanges ended with stricter rules and better protected minority shareholders. The race also ended, however, with neither exchange gaining market share with respect to trading volume or new listings. Korea's experience, therefore, suggests a reason why these races are rare. In the absence of an external trigger, exchanges will be reluctant to enter a race if they think it will result in rule convergence and no winner

Kathrin Dewenter, Chang Soo Kim, Walter Novaes.


Evaluating the impact of comunity-based health interventions: Evidence from Brazil´s Family Health Program.

Health Economic

V 19, P 126-158, 01/10/2010

Romero Rocha, Rodrigo Reis Soares.


Identifying bank lending reaction to monetary policy through data frequency

Economía, The Journal of LACEA

V 10, N 2, P 47-74, 01/10/2010

Márcio Garcia, Christiano Arrigoni Coelho, João Manoel Pinho de Mello.


Common agency, organizational design and the hold-up problem

Economics Letters

V 108, N 3, P 264-268, 01/10/2010

Vinicius Nascimento Carrasco.


The Benefits of Bagging for Forecast Models of Realized Volatility

Econometric Reviews

V 29, N 5/6, P 571-593, 01/10/2010

Eric Hillebrand, Marcelo Medeiros.


Dry Law and Homicides: Evidence from the São Paulo Metropolitan Area

Economic Journal

V 120, P 157-182, 01/10/2010

Ciro Biderman, A. Schneider, João Manoel Pinho de Mello.


Allocation of Children’s Time along Gender Lines: Work, School, and Domestic Work in Brazil

Research in Labor Economics

V 31, P 161-192, 01/10/2010

M. Berthelon, D. Krueger, Rodrigo Reis Soares.


Testing for Remaining Autocorrelation of the Residuals in the Framework of Fuzzy Rule-based Time Series Modelling

International Journal of Uncertainty, Fuzziness and Knowledge-based Systems

V 18, P 371-387, 01/10/2010

José Luis Aznarte, José Manuel Benıtez Sánchez, Marcelo Medeiros.


Escolaridade e diferencial de rendimento entre o setor privado e o setor público no Brasil

Pesquisa e Planejamento Econômico

V 39, N 3, P 431-464, 01/01/2010

Este trabalho tem como objetivo investigar os determinantes do diferencial de rendimentos público-privado para diferentes níveis de escolaridade dos trabalhadores no Brasil. Primeiramente, utilizando o rendimento do trabalho principal como variável de interesse, é estimado um hiato de rendimentos bastante favorável ao setor público para trabalhadores com baixa escolaridade. Já para trabalhadores mais qualificados, o hiato tende a desaparecer ou mesmo a tornar-se favorável ao setor privado. Adicionalmente, de maneira a considerar os diferentes regimes de aposentadoria vigentes no país, é definida a variável Valor Presente do Contrato de Trabalho (VPCT) como medida dos rendimentos dos indivíduos ao longo da vida. Diferentemente do resultado encontrado utilizando o rendimento do trabalho, é verificado que o diferencial do VPCT é favorável ao setor público mesmo para trabalhadores com elevados níveis de escolaridade

Gustavo Gonzaga, Sergio Firpo, Breno Gomide Braga.


Modeling multiple regimes in financial volatility with a flexible coefficient GARCH(1,1) model

Econometric Theory

V 25, P 117-161, 01/10/2009

Alvaro Veiga, Marcelo Medeiros.


A market game approach to differential information economies.

Economic Theory

V 38, P 321-330, 01/10/2009

Guadalupe Fugarolas, Carlos Herves Beloso, Emma Moreno Garcia, Juan Pablo Torres-Martínez.


Biased procurement auctions

Economic Theory

V 38, N 1, P 169-185, 01/09/2009

Leonardo Rezende.


Asymmetric Effects and Long Memory in the Volatility of Dow Jones Stocks

International Journal of Forecasting

V 25, P 304-327, 01/02/2009

Marcel Scharth, Marcelo Medeiros.


Altruism, fertility, and the value of children: health policy evaluation and intergenerational welfare

Journal of Public Economics

V 93, N 1-2, P 208-295, 01/02/2009

Javier Birchenall, Rodrigo Reis Soares.


Life expectancy and welfare in Latin America and the Caribbean

Health Economics

V 18, N S1, P S37-S54, 01/02/2009

Rodrigo Reis Soares.


Labor adjustment dynamics in Brazilian manufacturing

Brazilian Review of Econometrics

V 29, N 2, P 251-284, 01/01/2009

In this paper, we investigate the dynamics of labor adjustment at the rm level in

Brazilian manufacturing, using information on average hours per worker to measure

employment deviation from desired levels as in Caballero et al. (1997). We use Brazilian

manufacturing data at the establishment level and monthly frequency. The objective is

to estimate the employment adjustment function, which relates the magnitude of em-

ployment changes to the size of employment gaps. The empirical results point to the

presence of nonconvexities in employment adjustment costs in Brazilian manufacturing,

with estimated employment adjustment rates increasing with the size of employment

gaps. On average, employment adjustment rates range from 10% for small employment

gaps to 35% for large ones. The results also show that there is a large proportion of

rms in the sample that do not adjust employment over two consecutive periods. We

run several robustness tests with alternative ways of estimating the employment gaps,

using other forms of dealing with measurement error and a problem of endogeneity of the

hours change variable. Although the magnitudes of employment adjustment rates vary,

we show that: i) the variations are in line with the expected directions of the biases in

estimating the coecient of the hours change variable; and ii) the format of employment

adjustment functions does not change across speci cations, always revealing that employ-

ment adjustment rates increase with the size of employment gaps, which is compatible

with nonconvex costs of employment adjustment. We also study how the employment

adjustment function varies according to several establishment characteristics, such as

skilled-labor intensity, size, payroll expenses, and overtime payments. We show that the

employment adjustment function tends to have a higher mean and to display larger val-

ues when measured for establishments with characteristics that are arguably related to

lower costs of employment adjustment: larger proportion of low-skilled workers, smaller

size and lower overtime payments.

Gustavo Gonzaga.


Repeated lending under contractual incompleteness

Annals of Finance

V 6, P 51-82, 01/01/2009

Vinicius Nascimento Carrasco, João Manoel Pinho de Mello.


Does Crime Affect Economic Decisions? An Empirical Investigation of Savings in a High-Crime Environment

B.E. Journal of Economic Analysis & Policy

V 8, 01/12/2008

Eduardo Zilberman.


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