24º CBM - Sessões Especiais: Especial de Economia
16:30 – 17:05 | 17:10 – 17:45 | 17:50 – 18:25 | 18:30 – 19:05 | |
José Fajardo Santiago Barbachan | Marcos Tsuchida | Marcelo Nazareth | Luiz Henrique Braido | |
Walter Novaes | Paulo Klinger | Wilfredo Maldonado | Juan Pablo Torres-Martinez |
Dual and Symmetric Markets
José Fajardo, IBMEC -RJ
Data: 29 de julho, terça-feira
Horário: 16:30 – 17:05Resumo: In this work we derive a Put-call relationship called put-call duality. To this end we introduce the Dual market concept and as a particular case we obtain necessary and sufficient conditions for a market be symmetric, responding in this way a question raised by Carr and Chesney.
Risk and incentives with multitask
em co-autoria com Aloisio Araujo, IMPA/FGV-RJ e Humberto Moreira, FGV-RJ
Marcos Hiroyuki Tsuchida, FGV-RJ
Data: 29 de julho, terça-feira
Horário: 17:10 – 17:45Resumo: The negative relationship between risk and incentives results from theoretical models of moral hazard, but the empirical work has not confirmed this prediction. In this paper we propose a model with adverse selection followed by moral hazard, where the effort and the risk aversion are private information of the agent which can control the mean and the variance of profits. The utility function of the agent may not have the single-crossing property. In the resulting contract, the relationship between risk aversion and incentives may not be monotone and the relationship between incentives and observed variance of profits may be positive or negative.
Portfolio Selection with Stochastic Transaction Costs
Marcelo Nazareth, FGV-RJ
Data: 29 de julho, terça-feira
Horário: 17:50 – 18:25Resumo: I develop a model of portfolio selection in continuous time where transaction costs are random. In the model, the agent faces a trade off between getting good terms of trade and holding a well-balanced portfolio. First, I formulate the relevant control problem and prove that the value function is the unique viscosity solution of the associated Hamilton-Jacobi-Bellman equation. Next, I present a numerical procedure to solve the equation and a proof that the numerical solution converges to the solution of the problem. The actual implementation of the procedure fully characterizes the optimal consumer behavior in the presence of stochastic transaction costs.
General Equilibrium with Endogenous Securities and Moral Hazard
Luiz Henrique Braido, FGV-RJ
Data: 29 de julho, terça-feira
Horário: 18:30 – 19:05Resumo: This paper studies a class of general equilibrium economies in which individuals’ endowments depend on their private effort and financial markets are endogenous. The economy is modeled as a two-stage game. First, individuals strategically make financial-innovation decisions. Next, they play a Radner-type competitive equilibrium with the securities previously designed. Consumption goods, portfolios, and effort levels are chosen competitively (i.e., taking prices as given). An equilibrium concept is adapted for these moral hazard economies and its existence is proven. It is shown, through an example, how financial incompleteness would emerge endogenously due to incentive reasons.
Interest Rates in Trade Credit Markets
Walter Novaes, PUC-RJ
- Data: 31 de julho, quinta-feira
Horário: 16:30 – 17:05
Resumo: There is evidence – Petersen and Rajan (1997) – that suppliers have advantage over banks in assessing their customers’ credit risk. Yet, interest rates in trade credit markets usually do not vary with borrowers’ risk. Why? We demonstrate that the invariance of interest rates is an optimal response to suppliers’ private information. If firms’ demand for inputs is inelastic, suppliers have no incentive to undercut uninformed banks that charge high interest rates from safe firms. In contrast, competition from banks does not let informed suppliers charge a higher interest rate from risky firms. Hence, the invariance follows when the demand for inputs is inelastic. If, instead, the demand is elastic, suppliers have incentives to subsidize interest rates. Indeed, if the demand is sufficiently elastic, we show that suppliers will charge no interest from all firms, as happens in the U.S. in trade credit up to 10 days.
Nash Equilibrium in Competitive Nonlinear Pricing Games with Adverse Selection
Paulo Klinger, FGV-RJ
- em co-autoria com Frank Page, Universidade do Alabama em Tuscaloosa
Data: 31 de julho, quinta-feira
Horário: 17:10 – 17:45Resumo: The main contribution of this paper is to show that for a large class of competitive nonlinear pricing games with adverse selection, the property of better-reply security is naturally satisfied – thus, resolving the issue of existence of Nash equilibrium for a large class of competitive nonlinear pricing games.
Two essays on the estimation of the solution of the dynamic programming problem
Wilfredo Maldonado, UFF
Data: 31 de julho, quinta-feira
Horário: 17:50 – 18:25Resumo: We present two new results on the estimation of the policy function of the dynamic programming. The first one provides an error bound of the estimated policy function using the Bellman equation. The second one describe a new method for estimating the policy function based on a contraction map defined from the Euler equation.
Endogenous Collateral
em co-autoria com V. F. Martins-da Rocha, Paris I
Juan Pablo Torres Martinez, PUC-RJ
Data: 31 de julho, quinta-feira
Horário: 18:30 – 19:05Resumo: We study a model with a finite number of agents, incomplete financial markets and default, in which the borrowers choose personalized collateral requirements and the lenders receive, in case of default, anonymous collateral bundles.
When is allowed for the lenders to receive part of their rights in advance, and the borrowers can chose to pay today a percentage of their future loans, we prove the existence of equilibrium for each fixed anonymous collateral requirement, even if agents have non-complete preferences.
Moreover, the anonymous collateral requirements can be chosen in way to guarantee a compatibility with the personalized requirements chosen by the borrowers.
To overcome the non-convexities introduced by the endogenous collateral requirements, we construct our equilibrium allocations as a limit of equilibriums in exogenous collateral economies of a Geanakoplos and Zame (2002) type.