Textual Analysis of Intangible Information

Traditionally, equity investors have relied upon the information reported in firms’ financial accounts to make their investment decisions. Due to the conservative nature of accounting standards, firms cannot value their intangible assets such as corporate culture, brand value and reputation. Investors’ efforts to collect such information have been hampered by the voluntary nature of Corporate Social Responsibility (CSR) reporting standards, which have resulted in the publication of inconsistent, stale and incomplete information across firms. In short, information on intangible assets is less salient to investors compared to accounting information because it is more costly to collect, process and analyse. In this thesis we design an automated approach to collect and quantify information on firms’ intangible assets by drawing upon techniques commonly adopted in the fields of Natural Language Processing (NLP) and Information Retrieval. The exploitation of unstructured data available on the Web holds promise for investors seeking to integrate a wider variety of information into their investment processes. The objectives of this research are: 1) to draw upon textual analysis methodologies to measure intangible information from a range of unstructured data sources, 2) to integrate intangible information and accounting information into an investment analysis framework, 3) evaluate the merits of unstructured data for the prediction of firms’ future earnings

ANÁLISIS DE LA TOMA DE DECISIONES EN LAS COMISIONES ECONÓMICAS DEL CONGRESO COLOMBIANO, USANDO ANÁLISIS ESTADÍSTICO DE DATOS TEXTUALES

Este artículo analiza las actas de los debates sobre el proceso decisorio de aprobación del presupuesto general de la nación en las comisiones económicas del Congreso de la República de Colombia (periodo 2002-2009), con el propósito de detectar asociaciones entre la posición de los congresistas durante el debate y algunas de sus características individuales. Las actas que son transcripciones literales de los debates, se analizan por medio de las técnicas estadísticas de datos textuales, las cuales se han utilizado recientemente para el estudio de la toma de decisiones de los comités de política de los bancos centrales. Los resultados se contrastan con el concepto de racionalidad acotada asumido por Lindblom (1959). Se encuentra, entre otros resultados, que ser economista o estar inmerso en un proceso judicial son factores determinantes en la frecuencia con la que se debate, o que la filiación política tiene particular incidencia sobre el tipo de intervención que hacen los congresistas.This article analyzes the minutes of debates in Colombian Congressional economic commissions pertaining to the national budget during the period from 2002 to 2009 with the objective of identifying relationships between the debating postures of the members involved and their particular individual characteristics. The minutes, literal transcriptions of the debates, were analyzed using statistical textual data techniques recently used for the study of decision making by central bank policy committees, with the results contrasted with the bounded rationality concept posited by Lindblom (1959). Based on the foregoing, among other results it was determined that being an economist or being immersed in a judicial process were seminal factors in the frequency of debate participation and that political affiliation had a specific impact on the nature of members’ interventions

Ensaios em macroeconomia aplicada

Esta tese apresenta três ensaios em macroeconomia aplicada e que possuem em comum o uso de técnicas estatísticas e econométricas em problemas macroeconômicos. Dentre os campos de pesquisa da macroeconomia aplicada, a tese faz uso de modelos macroeconômicos microfundamentados, em sua versão DSGE-VAR, e da macroeconomia financeira por meio da avaliação do comportamento da correlação entre os retornos das ações usando modelos Garch multivariados. Além disso, a tese provoca a discussão sobre um novo campo de pesquisa em macroeconomia que surge a partir do advento da tecnologia. No primeiro ensaio, aplicamos a abordagem DSGE-VAR na discussão sobre a reação do Banco Central do Brasil (BCB) as oscilações na taxa de câmbio, especificamente para o caso de uma economia sob metas de inflação. Para tanto, baseando-se no modelo para uma economia aberta desenvolvido por Gali e Monacelli (2005) e modificado por Lubik e Schorfheide (2007), estimamos uma regra de política monetária para o Brasil e examinamos em que medida o BCB responde a mudanças na taxa de câmbio. Além disso, estudamos o grau de má especificação do modelo DSGE proposto. Mais especificamente, comparamos a verossimilhança marginal do modelo DSGE às do modelo DSGE-VAR e examinamos se o Banco Central conseguiu isolar a economia brasileira, em particular a inflação, de choques externos. Nossas conclusões mostram que as respostas aos desvios da taxa de câmbio são diferentes de zero e menores do que as respostas aos desvios da inflação. Finalmente, o ajuste do modelo DSGE é consideravelmente pior do que o ajuste do modelo DSGE-VAR, independentemente do número de defasagens utilizadas no VAR o que indica que de um ponto de vista estatístico existem evidências de que as restrições cruzadas do modelo teórico são violadas nos dados. O segundo ensaio examina empiricamente o comportamento da correlação entre o retorno de ações listadas na BMF&BOVESPA no período de 2000 a 2015. Para tanto, utilizamos modelos GARCH multivariados introduzidos por Bollerslev (1990) para extrair a série temporal das matrizes de correlação condicional dos retornos das ações. Com a série temporal dos maiores autovalores das matrizes de correlação condicional estimadas, aplicamos testes estatísticos (raiz unitária, quebra estrutural e tendência) para verificar a existência de tendência estocástica ou determinística para a intensidade da correlação entre os retornos das ações representadas pelos autovalores. Nossas conclusões confirmam que tanto em períodos de crises nacionais como turbulências internacionais, há intensificação da correlação entre as ações. Contudo, não encontramos qualquer tendência de longo prazo na série temporal dos maiores autovalores das matrizes de correlação condicional. Isso sugere que apesar das conclusões de Costa, Mazzeu e Jr (2016) sobre a tendência de queda do risco idiossincrático no mercado acionário brasileiro, a correlação dos retornos não apresentou tendência de alta, conforme esperado pela teoria de finanças. No terceiro ensaio, apresentamos pesquisas que utilizaram Big Data, Machine Learning e Text Mining em problemas macroeconômicos e discutimos as principais técnicas e tecnologias adotadas bem como aplicamos elas na análise de sentimento do BCB sobre a economia. Por meio de técnicas de Web Scraping e Text Mining, acessamos e extraímos as palavras usadas na escrita das atas divulgadas pelo Comitê de Política Monetária (Copom) no site do BCB. Após isso, comparando tais palavras com um dicionário de sentimentos (Inquider) mantido pela Universidade de Harvard e originalmente apresentado por Stone, Dunphy e Smith (1966), foi possível criar um índice de sentimento para a autoridade monetária. Nossos resultados confirmam que tal abordagem pode contribuir para a avaliação econômica dado que a série temporal do índice proposto está relacionada com variáveis macroeconômicas importantes para as decisões do BCB.This thesis presents three essays in applied macroeconomics and who have in common the use of statistical and econometric techniques in macroeconomic problems. Among the search fields of applied macroeconomics, the thesis makes use of microfounded macroeconomic models, in tis DSGE-VAR version, and financial macroeconomics through the evaluation of the behavior of correlation between stock returns using multivariate Garch models. In addition, leads a discussion on a new field of research in macroeconomics which arises from the advent of technology. In the first experiment, we applied the approach to dynamic stochastic general equilibrium (DSGE VAR in the discussion about the reaction of the Central Bank of Brazil (CBB) to fluctuations in the exchange rate, specifically for the case of an economy under inflation targeting. To this end, based on the model for an open economy developed by Gali and Monacelli (2005) and modified by Lubik and Schorfheide (2007), we estimate a rule of monetary policy for the United States and examine to what extent the CBC responds to changes in the exchange rate. In addition, we studied the degree of poor specification of the DSGE model proposed. More specifically, we compare the marginal likelihood of the DSGE model to the DSGE-VAR model and examine whether the Central Bank managed to isolate the brazilian economy, in particular the inflation, external shocks. Our findings show that the response to deviations of the exchange rate are different from zero and lower than the response to deviations of inflation. Finally, the adjustment of the DSGE model is considerably worse than the adjustment of the DSGE-VAR model, regardless of the number of lags used in the VAR which indicates that a statistical point of view there is evidence that the restrictions crusades of the theoretical model are violated in the data. The second essay examines empirically the behavior of the correlation between the return of shares listed on the BMF&BOVESPA over the period from 2000 to 2015. To this end, we use models multivariate GARCH introduced by Bollerslev (1990) to remove the temporal series of arrays of conditional correlation of returns of stocks. With the temporal series of the largest eigenvalues of matrices of correlation estimated conditional, we apply statistical tests (unit root, structural breaks and trend) to verify the existence of stochastic trend or deterministic to the intensity of the correlation between the returns of the shares represented by eigenvalues. Our findings confirm that both in times of crises at national and international turbulence, there is greater correlation between the actions. However, we did not find any long-term trend in time series of the largest eigenvalues of matrices of correlation conditional. In the third test, we present research that used Big Data, Machine Learning and Text Mining in macroeconomic problems and discuss the main techniques and technologies adopted and apply them in the analysis of feeling of BCB on the economy. Through techniques of Web Scraping and Text Mining, we accessed and extracted the words used in the writing of the minutes released by the Monetary Policy Committee (Copom) on the site of the BCB. After that, comparing these words with a dictionary of feelings (Inquider) maintained by Harvard University and originally presented by Stone, Dunphy and Smith (1966), it was possible to create an index of sentiment for the monetary authority. Our results confirm that such an approach can contribute to the economic assessment given that the temporal series of the index proposed is related with macroeconomic variables are important for decisions of the BCB

An Empirical Investigation of UIP and PPP in Inflation Targeting Countries

This thesis consists of three empirical chapters, which study the role of central bank credibility in influencing the exchange rate parities in inflation targeting countries. Central bank credibility is considered to be of upmost importance to the success of the inflation targeting regime. The increasing popularity of inflation targeting as a monetary policy framework requires an evaluation of its wider implications on the economy compared to alternative monetary regimes. This thesis provides insight into the relation between central bank credibility and the exchange rate parities in a comparative study of inflation targeting countries and countries that operate alternative monetary regimes. The first empirical chapter investigates the extent to which deviations from the Taylor rule influence the exchange rate parities. The use of a nonlinear framework provides evidence for the strong persistence of deviations from the parities when Taylor rule deviations are large. The findings of the comparative study show that central bank credibility is more important in inflation targeting countries than in nontargeting countries. The second empirical chapter considers the role of interest rate expectations as an often overlooked measure of central bank credibility when investigating the UIP relation. Using a nonlinear framework, the findings are able to confirm the validity of UIP when the public expects the central bank to adopt a tight monetary stance with closer adherence to the inflation target. The final empirical chapter analyses the role of macroeconomic shocks including inflation expectations shocks in a nonlinear model of the real exchange rate. It is shown that the adjustment to PPP is partially influenced by central bank credibility shocks, in particular those arising from survey expectations