The Private Memory of Aggregate Shocks

We study constrained efficient aggregate risk sharing and its consequence for thebehavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observedidiosyncratic productivity shocks are assumed to be independent of i.i.d. publiclyobserved aggregate shocks. Yet, private allocations display memory with respectto past aggregate shocks, when idosyncratic shocks are also i.i.d.. Under a mild restrictionon the nature of optimal allocations the result extends to more persistentidiosyncratic shocks, for all but the limit at which idiosyncratic risk disappears, andthe model collapses to a pure heterogeneity repeated Mirrlees economy identical toWerning [2007]. When preferences are iso-elastic we show that an allocation is memorylessonly if it displays a strong form of separability with respect to aggregate shocks.Separability characterizes the pure heterogeneity limit as well as the general case withlog preferences. With less than full persistence and risk aversion different from unityboth memory and non-separability characterize optimal allocations. Exploiting thefact that non-separability is associated with state-varying labor wedges, we apply abusiness cycle accounting procedure (e.g. Chari et al. [2007]) to the aggregate datagenerated by the model. We show that, whenever risk aversion is great than one ourmodel produces efficient counter-cyclical labor wedges.

Sistema de monitoramento do nível das interfaces líquido-líquido nas cubas de separação de terras raras

Neste Relatório Técnico é apresentado o projeto de um sistema para monitoramento do nível da interface entre as fases aquosa e orgânica em cada uma das cubas de um sistema de misturadores-decantadores para separação de terras raras por extração por solvente

Do (in)traduzível ao transmissível em Freud : um debate em torno do livro "Versões de Freud" de Pedro Heliodoro Tavares

Rezension zu Tavares, P. H. M. B. Versões de Freud: breve panorama crítico das traduções de sua obra. Rio de Janeiro, 7Letras, 2011

Fundamentos matemáticos aplicado a alguns métodos de criptografia

Trabalho de Conclusao de Curso - Universidade Federal de Santa Catarina, Centro de Ciências Físicas e Matemáticas, Curso de Matemática

The Forward- and the Equity-Premium Puzzles: Two Symptoms of the Same Illness?

We build a pricing kernel using only US domestic assets data and checkwhether it accounts for foreign markets stylized facts that escape consumptionbased models. By interpreting our stochastic discount factor as the projection ofa pricing kernel from a fully specified model in the space of returns, our results indicatethat a model that accounts for the behavior of domestic assets goes a longway toward accounting for the behavior of foreign assets. We address predictabilityissues associated with the forward premium puzzle by: i) using instrumentsthat are known to forecast excess returns in the moments restrictions associatedwith Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreigncurrency portfolios. Our results indicate that the relevant state variables that explainforeign-currency market asset prices are also the driving forces behind U.S.domestic assets behavior.