Sinergias entre o Programa Microempreendedor Individual e programas de assistência técnica

Este trabalho busca avaliar os impactos do Programa Microempreendedor Individual (MEI) e da assistência técnica prestada pelo Sistema S sobre o mercado de trabalho e a atividade empreendedora dos indivíduos beneficiários, mais precisamente sobre a jornada de trabalho, a produtividade e a demanda por crédito. Além de mensurar os efeitos individuais dessas ações governamentais, busca-se verificar a existência de uma sinergia entre o programa MEI e o Sistema S, caracterizada por um efeito complementar que a assistência técnica prestada pelo Sistema S gera para os beneficiários do programa MEI.Caderno Enap, 99Coleção: Cátedras 2019EconomiaInfraestruturaPolíticas Pública

Ensaios em finanças

Tese (doutorado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, Departamento de Economia, 2012.Esta tese e composta por três ensaios em finanças com o objetivo de investigar o comportamento dos mercados cambial e acionário brasileiro. O primeiro ensaio examina a transmissão na media e na volatilidade entre retornos acionários e variações da taxa de câmbio o no Brasil. Utilizamos modelos multivariados autorregressivos e com heteroscedasticidade condicional, bem como matrizes de correlação condicional variantes no tempo para medir o tamanho, a direção e a simetria da transmissão de média e volatilidade de um mercado para o outro. Os resultados indicam que (i) o mercado acionário lidera a transmissão na média, entretanto (ii) a volatilidade do mercado cambial causa volatilidade no mercado acionário, sendo a transmissão intensificada pela crise do subprime, (iii) retornos negativos e depreciação cambial tendem a aumentar a volatilidade em ambos os mercados, e (iv) o processo de correlação condicional apresenta alta persistência e assimetria em relação à depreciação cambial. O segundo ensaio examina a relação entre correlação serial e volatilidade nos retornos do índice Ibovespa. Para a estimação da volatilidade utilizamos um modelo autorregressivo generalizado exponencial com heteroscedasticidade condicional e para o cálculo da correlação serial, uma estatística de razão de variância onde a defasagem é calculada endogenamente. Os resultados demonstram que (i) a volatilidade é negativamente relacionada à correlação serial para retornos semanais, (ii) essa relação negativa está presente nos retornos diários apenas se utilizarmos correlação serial de primeira ordem, (iii) momentos de maior volatilidade aumentam a ineficiência na precificação dos ativos que compõem o índice, e (iv) a crise do subprime não intensificou esse efeito para retornos semanais, mas produziu uma relação positiva entre volatilidade e correlação serial para retornos diários. O terceiro ensaio estuda a dinâmica dos saltos condicionais na taxa de câmbio Real/Dólar desde a introdução do regime de câmbio futuante no Brasil. Utilizamos um modelo de saltos condicionais constantes e três especificações diferentes do modelo ARJIGARCH proposto por Chan e Maheu (2002) para modelar a dinâmica dos saltos. Os resultados sugerem que (i) os saltos condicionais da taxa de câmbio são variantes no tempo e sensíveis a choques passados, (ii) depreciações cambiais no período anterior tendem a mudar a direção dos saltos no próximo período, e (iii) a intensidade dos saltos é persistente, podendo ser modelada por um processo autorregressivo de médias móveis. _______________________________________________________________________________________ ABSTRACTThis thesis is comprised of three papers on financial econometrics with the main goal of updating the knowledge on the behavior of the foreign exchange and stock markets in Brazil. The first essay searches for evidence of mean and volatility spillovers between stock and exchange markets in Brazil. We employ multivariate generalized autorregressive conditional hetoroscedasticity models with dynamic conditional correlation to measure the size and sign effects of volatility spillovers from one market to another. The results indicate that (i) the stock market leads the exchange market in the mean, (ii) exchange market volatility spillovers to the stock market, and this effect is intensified during the subprime crisis, (iii) negative shocks in returns and currency depreciation tends to increase volatility in both markets, and (iv) the conditional correlation process between the markets is highly persistent and asymmetric. The second essay examines the relation between serial correlation and volatility in the Ibovespa index returns. We employ an exponential general autorregressive conditional heteroskedastic model to estimate volatility and a variance ratio statistic to calculate serial correlation, where the holding period is selected endogenously. The results show that (i) volatility is negatively related with serial correlations for weekly returns, (ii) this negative relation is found in daily returns only if we use first order serial correlation, (iii) higher volatility induces inefficiency, and (iv) the subprime crisis has not intensified the effect for weekly returns, but produced a positive relation between volatility and serial correlation for daily returns. The third essay studies the conditional jump dynamics of the exchange rate between Real and U.S Dollar since the introduction of the oating regime in Brazil. We use a constant conditional jump model and three different specifications of the ARJI-GARCH model of Chan e Maheu (2002) to model jump dynamics. The results suggest that (i) conditional jumps of the exchange rate are time-varying and sensitive to past shocks, (ii) after currency depreciation, the direction of a jump in the next period is more likely to change, and (iii) the jump intensity is highly persistent and behaves like an autorregressive moving average model

Heterogeneous effects of the implementation of macroprudential policies on bank risk

In this article, we analyze the effect of a set of 12 macroprudential policies on the risk-taking of banks using a large number of countries and banks. Our empirical results show that, although on average these policies reduce risk-taking, the effects are quite heterogeneous and vary considerably depending on the instrument implemented, market concentration, size of banks, liquidity, leverage and different levels of risk. Structural policies, such as limits on asset concentration and interbank exposures, are the most effective in terms of financial stability. Borrower based policies, such as loan-to-value and debt-to-income ratios, also have a positive effect on stability. Concentration limits tend to be more effective for larger and more leveraged banks, while loan-to-value and debt-to-income ratios are more effective in concentrated markets. We also show that there seems to be a greater effect through the leverage channel for policies that are most effective in reducing risk-taking

Assimetria no repasse da taxa de câmbio para a inflação: evidências para o Brasil

Neste artigo investigamos a existência de uma relação não linear dos repasses cambiais para a inflação medida pelos índices de preços ao consumidor e ao produtor no Brasil, utilizando dados mensais entre janeiro de 2000 a junho de 2015. Para isso, estimamos diferentes especificações desse repasse para os índices de preços por meio de um modelo TVAR (Threshold Vector Autoregressive) que usa a taxa de câmbio como variável threshold. Os resultados encontrados confirmam a importância do repasse cambial na dinâmica da inflação brasileira, bem como sugerem a existência de assimetria em relação à direção da variação da taxa de câmbio – em geral os repasses são maiores quando há depreciação cambial. Os resultados também indicam que a evidência de assimetria está mais presente para o período anterior à crise de 2008, o que pode estar associado aos efeitos da crise sobre o markup das empresas. Palavras-chave: Repasse cambial, Assimetria, Inflação.TÍTULO EM INGLÊSAsymmetric exchange rate pass-through: evidence for Brazil AbstractThis paper investigates the existence of a nonlinear exchange rate pass-through in Brazil from January 2000 to June 2015. For this purpose, we estimate different specifications of a TVAR (Threshold Autoregressive Vector) model in which we use the exchange rate as the threshold variable. The results confirm the important role of exchange rate pass-through in determining Brazilian inflation, as well as the existence of asymmetry related to the direction of the exchange rate changes – i.e. higher rates of pass-through are associated with exchange depreciations. The results also show that the evidence of asymmetry is stronger for the period prior the 2008 financial crisis, which may be associated with lower markups in the aftermath of the crisis.Key words: Exchange pass-through, Asymmetry, Inflation Classificação JEL: C13, E31, E58Artigo recebido em set. 2017 e aceito para publicação em jan. 2018. 

PRONATEC e o mercado de trabalho : uma análise para os cursos oferecidos no IFRS Campus Rio Grande

Este artigo tem por objetivo avaliar a efetividade do Pronatec sobre o salário de reinserção, tempo de emprego e empregabilidade dos traba-lhadores que participaram dos cursos do programa no IFRS, campus RioGrande, nos anos de 2013 e 2014. Para tanto, foi aplicado o método de Diferenças em Diferenças com os dados identificados da Relação Anualde Informações Sociais – RAIS para o período de 2011 a 2018. Os resultados apontam que os cursos do Pronatec oferecidos pelo IFRS - campusRio Grande, no período destacado, não geraram efeitos sobre as dimensões avaliadas, indicando assim, a falta de efetividade do programa.This article aims to evaluate the effectiveness of Pronatec on the rein-tegration salary, time of employment and employability of workers whoparticipated in the program courses at IFRS, campus Rio Grande, in theyears 2013 and 2014. For that, the method of differences in differenceswas applied with the data identified from theRelação Anual de InformaçõesSociais – RAISfor the period from 2011 to 2018. The results indicate thatthe Pronatec courses offered by IFRS - campus Rio Grande, in the men-tioned period, did not generate effects on the dimensions evaluated, thusindicating the lack of effectiveness of the program

Les droits disciplinaires des fonctions publiques : « unification », « harmonisation » ou « distanciation ». A propos de la loi du 26 avril 2016 relative à la déontologie et aux droits et obligations des fonctionnaires

The production of tt‾ , W+bb‾ and W+cc‾ is studied in the forward region of proton–proton collisions collected at a centre-of-mass energy of 8 TeV by the LHCb experiment, corresponding to an integrated luminosity of 1.98±0.02 fb−1 . The W bosons are reconstructed in the decays W→ℓν , where ℓ denotes muon or electron, while the b and c quarks are reconstructed as jets. All measured cross-sections are in agreement with next-to-leading-order Standard Model predictions.The production of $t\overline{t}$, $W+b\overline{b}$ and $W+c\overline{c}$ is studied in the forward region of proton-proton collisions collected at a centre-of-mass energy of 8 TeV by the LHCb experiment, corresponding to an integrated luminosity of 1.98 $\pm$ 0.02 \mbox{fb}^{-1}. The $W$ bosons are reconstructed in the decays $W\rightarrow\ell\nu$, where $\ell$ denotes muon or electron, while the $b$ and $c$ quarks are reconstructed as jets. All measured cross-sections are in agreement with next-to-leading-order Standard Model predictions

Physics case for an LHCb Upgrade II - Opportunities in flavour physics, and beyond, in the HL-LHC era

The LHCb Upgrade II will fully exploit the flavour-physics opportunities of the HL-LHC, and study additional physics topics that take advantage of the forward acceptance of the LHCb spectrometer. The LHCb Upgrade I will begin operation in 2020. Consolidation will occur, and modest enhancements of the Upgrade I detector will be installed, in Long Shutdown 3 of the LHC (2025) and these are discussed here. The main Upgrade II detector will be installed in long shutdown 4 of the LHC (2030) and will build on the strengths of the current LHCb experiment and the Upgrade I. It will operate at a luminosity up to 2×1034 cm−2s−1, ten times that of the Upgrade I detector. New detector components will improve the intrinsic performance of the experiment in certain key areas. An Expression Of Interest proposing Upgrade II was submitted in February 2017. The physics case for the Upgrade II is presented here in more depth. CP-violating phases will be measured with precisions unattainable at any other envisaged facility. The experiment will probe b → sl+l−and b → dl+l− transitions in both muon and electron decays in modes not accessible at Upgrade I. Minimal flavour violation will be tested with a precision measurement of the ratio of B(B0 → μ+μ−)/B(Bs → μ+μ−). Probing charm CP violation at the 10−5 level may result in its long sought discovery. Major advances in hadron spectroscopy will be possible, which will be powerful probes of low energy QCD. Upgrade II potentially will have the highest sensitivity of all the LHC experiments on the Higgs to charm-quark couplings. Generically, the new physics mass scale probed, for fixed couplings, will almost double compared with the pre-HL-LHC era; this extended reach for flavour physics is similar to that which would be achieved by the HE-LHC proposal for the energy frontier

LHCb upgrade software and computing : technical design report

This document reports the Research and Development activities that are carried out in the software and computing domains in view of the upgrade of the LHCb experiment. The implementation of a full software trigger implies major changes in the core software framework, in the event data model, and in the reconstruction algorithms. The increase of the data volumes for both real and simulated datasets requires a corresponding scaling of the distributed computing infrastructure. An implementation plan in both domains is presented, together with a risk assessment analysis

Multidifferential study of identified charged hadron distributions in ZZ-tagged jets in proton-proton collisions at s=\sqrt{s}=13 TeV

Jet fragmentation functions are measured for the first time in proton-proton collisions for charged pions, kaons, and protons within jets recoiling against a $Z$ boson. The charged-hadron distributions are studied longitudinally and transversely to the jet direction for jets with transverse momentum 20 $< p_{\textrm{T}} < 100$ GeV and in the pseudorapidity range $2.5 < \eta < 4$. The data sample was collected with the LHCb experiment at a center-of-mass energy of 13 TeV, corresponding to an integrated luminosity of 1.64 fb$^{-1}$. Triple differential distributions as a function of the hadron longitudinal momentum fraction, hadron transverse momentum, and jet transverse momentum are also measured for the first time. This helps constrain transverse-momentum-dependent fragmentation functions. Differences in the shapes and magnitudes of the measured distributions for the different hadron species provide insights into the hadronization process for jets predominantly initiated by light quarks.Comment: All figures and tables, along with machine-readable versions and any supplementary material and additional information, are available at https://cern.ch/lhcbproject/Publications/p/LHCb-PAPER-2022-013.html (LHCb public pages