Credit cycles and macro fundamentals

We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980–2005 we directly estimate the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our main contribution, we test for the correct dynamic specification of these models. In all cases, the hypothesis of correct dynamic specification is strongly rejected. Moreover, accounting for dynamic mis-specification, many of the variables thought to explain the credit cycle, turn out to be insignificant. The main exceptions are GDP growth, and to some extent stock returns and stock return volatilities. Their economic significance appears low, however. This raises the puzzle of what macro-economic fundamentals explain default and rating dynamics. JEL Classification: G11, G2

Risk aversion under preference uncertainty

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this result for asset allocation: poor agents that are uncertain about their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. Keywords: Risk Aversion , Preference Uncertainty , Risk-taking , Asset Allocation JEL Classification: D81, D84, G11 This Version: November 25, 201

Credit Cycles and Macro Fundamentals

We study the relation between the credit cycle and macro economic fundamentals in an intensity based framework. Using rating transition and default data of U.S. corporates from Standard and Poor’s over the period 1980–2005 we directly estimate the credit cycle from the micro rating data. We relate this cycle to the business cycle, bank lending conditions, and financial market variables. In line with earlier studies, these variables appear to explain part of the credit cycle. As our main contribution, we test for the correct dynamic specification of these models. In all cases, the hypothesis of correct dynamic specification is strongly rejected. Moreover, accounting for dynamic mis-specification, many of the variables thought to explain the credit cycle, turn out to be insignificant. The main exceptions are GDP growth, and to some extent stock returns and stock return volatilities. Their economic significance appears low, however. This raises the puzzle of what macro-economic fundamentals explain default and rating dynamics.Credit Cycles, Business Cycles, Bank Lending Conditions, Unobserved Component Models, Intensity Models, Monte Carlo Likelihood

Why do investors sell losers? How adaptation to losses affects future capitulation decisions

According to disposition effect theory, people hold losing investments too long. However, many investors eventually sell at a loss, and little is known about which psychological factors contribute to these capitulation decisions. This study integrates prospect theory, utility maximization theory, and theory on reference point adaptation to argue that the combination of a negative expectation about an investment’s future performance and a low level of adaptation to previous losses leads to a greater capitulation probability. The test of this hypothesis in a dynamic experimental setting reveals that a larger total loss and longer time spent in a losing position lead to downward adaptations of the reference point. Negative expectations about future investment performance lead to a greater capitulation probability. Consistent with the theoretical framework, empirical evidence supports the relevance of the interaction between adaptation and expectation as a determinant of capitulation decisions. Keywords: Investments , Adaptation , Reference Point , Capitulation , Selling Decisions , Disposition Effect , Financial Markets JEL Classification: D91, D03, D8

Systemic risk diagnostics: coincident indicators and early warning signals

We propose a novel framework to assess financial system risk. Using a dynamic factor framework based on state-space methods, we construct coincident measures (‘thermometers’) and a forward looking indicator for the likelihood of simultaneous failure of a large number of financial intermediaries. The indicators are based on latent macro-financial and credit risk components for a large data set comprising the U.S., the EU-27 area, and the respective rest of the world. Credit risk conditions can significantly and persistently de-couple from macro-financial fundamentals. Such decoupling can serve as an early warning signal for macro-prudential policy. JEL Classification: G21, C33credit portfolio models, financial crisis, frailty-correlated defaults, state space methods, systemic risk

Aspectos da urbanização de Foz do Iguaçu

Anais do VI Encontro de Iniciação Científica e II Encontro Anual de Iniciação ao Desenvolvimento Tecnológico e Inovação – EICTI 2017 - 04 a 06 de outubro de 2017 - temática Ciências HumanasA partir da discussão proposta pelo projeto de pesquisa “A questão urbana na tríplice fronteira – Brasil, Paraguai e Argentina”, analisamos alguns aspectos do processo de urbanização de Foz do Iguaçu, buscando traçar um panorama das dinâmicas que balizaram a constituição da cidade e as contradições postas no tecido socioespacial iguaçuense. Esse perfil será de extrema importância no desenvolvimento do projeto, uma vez que é necessário compreender não apenas a história da cidade, mas também analisar como ela se relaciona como o contexto atual, sobretudo com a emergência do mundo cada vez mais globalizadoUniversidade Federal da Integração Latino-Americana (Unila); Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq); Fundação Araucária; Parque Tecnológico Itaipu (PTI) e Companhia de Saneamento do Paraná (SANEPAR

Padre Antônio Vieira e o Estudo do Brasil Colonial: Os Sermões como fontes Históricas e ferramentas didáticas

Anais do XVII Congresso Internacional das Jornadas de Educaão História - teoria, pesquisa e prática - I Encontro da AIPEDH - Associação Iber-Americana de Pesquisadores em Educação História, realizado pela Universidade Federal da Integração Latino-Americana, entre 02, 03 e 04 de agosto de 2017.Essa comunicação foi construída tendo como base um conjunto de experiências oriundas da prática docente na universidade. Formulada como estratégia didática para uma disciplina sobre História do Brasil Colônia, a utilização dos sermões do Pe. Antônio Vieira ofereceu a possibilidade de desenvolver duas habilidades fundamentais nos alunos da graduação em História: (1) a habilidade de dissecar fontes coevas, e (2) a competência de articular as informações garimpadas com o debate historiográfico existente, lançando luz sobre questões que auxiliem na compreensão da constituição social e política do período colonial brasileiro. A engenharia reversa dos sermões (a busca pelas suas estratégias de persuasão) fez aparecer a anatomia da dominação patriarcal constituída sobre a economia açucareira, a proteção indígena articulada com a proposição do cativeiro africano e, enfim, algumas limitações de nossa cultura política (nossa "cordialidade", diria S. Buarque de Holanda) que o barroco de Vieira expressava com maestriaUS