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  • 1
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2018-04-18
    Keywords: E21 ; ddc:330
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 2
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2018-04-18
    Description: The Household Budget Survey from IBGE is the only source of microeconomic data on savings of Brazilian families. As this research has been carried out at intervals of at least five years, it is important to discuss and empirically assess whether the estimated models with latest lagged research data are able to produce reliable projections of aggregate current savings rate and future of Brazilian families from current observations of predictive variables that are available from annual frequency for researches.Alternative projection models are estimated with predictive variables suggested by the literature on consumption and savings. One is based on the procedure used by the IBGE to project the aggregate savings rate. Other uses of non-linear structure of Heckman model to take into account the fact that a proportionally high amount of families have zero savings. As the work is focused on the aggregate savings rate, an important methodological aspect is that the models need to be estimated with the weight of each family given by its sample participation on aggregate income.The decompositions of Blinder-Oaxaca and of Neuman-Oaxaca show that the difference between the saving rates estimated with the versions of the POF 2002-2003 and 2008-2009 has been explained in greater extent by changes in the estimated coefficients of the projection models, leaving a secondary role for the effect of changes in sample means of predictive characteristics. This result undermines the use of models estimated with POF data in the projection of aggregate savings rate of Brazilian households, since only the second effect is observed in years without availability of POF.
    Keywords: C01 ; E21 ; ddc:330 ; aggregate household savings rate ; Blinder-Oaxaca decomposition ; Neuman-Oaxaca decomposition
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 3
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2018-04-18
    Description: The versions of 2002-2003 and 2008-2009 of the Household Budget Survey (POF) from the IBGE bring two questions on the subjective evaluation of Brazilian families about the sufficiency of their income. While the first question draws direct information on the degree of family's satisfaction with its monthly income, allowing to build from it a qualitative indicator of income sufficiency, the second question extracts information on the income value evaluated by the family as minimally necessary for covering their monthly expenses, allowing to build from it a quantitative indicator of income sufficiency, defined as the proportion to which the actual income exceeds that value. In looking into the empirical relationship between these two subjective indicators, the work can contribute not only to support these indicators as reliable measures of quality of life of Brazilian families in its material dimension, but also to explain the mismatch between quality objective and subjective indicators of life.
    Keywords: I30 ; I31 ; I39 ; ddc:330 ; life quality indicators ; household income sufficiency
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 4
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The paper investigates the allocative efficiency of the investment policy of pension funds established within the Welfare and Social Security System of the Brazilian federal entities. For that, it develops a model of strategic asset allocation for a pension fund whose resources fund a defined-benefit plan. This model allows to derive the optimal allocation between the main classes of financial assets, based on which it is possible to evaluate the efficiency of the investments by pension fund managers, as well as of the limits that the social security legislation imposes on their investment policies. Since pension funds are traditional long-term investors, the analysis emphasizes the value of each class of assets as an intertemporal hedge for fluctuations in future investment opportunities.
    Keywords: G11 ; G18 ; G2 ; H75 ; ddc:330 ; pension funds ; strategic asset allocation
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 5
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The objective of this is study is to assert the role of domestic financial system as mitigating of sudden stops episodes and driver of capital flows in a group of 14 emerging economies in the period of 1999-2013, especially in face of unfavorable external environment such as high international interest rate or global risk aversion. The countries analyzed - Argentina, Brazil, Chile, Colombia, Indonesia, Malaysia, Mexico, Peru, Philippines, Russia, South Africa, Thailand, Turkey and Ukraine, represented in August 2014 roughly 80% of the Embi Plus and 60% of Embi Global. We work with distinct types of capital flows: Inflow of Foreign Direct Investment (FDI), Inflow of Portfólio (stocks, bonds, derivatives and other investments) and Net Capital (inflow and outflow of all types of capital). The result support evidence that the development of domestic financial system allows an increase of capital flow and a decrease of sudden stops probability. This fact support public policies that improve development and strength of domestic financial system in emerging economies.
    Keywords: F01 ; F20 ; F32 ; ddc:330 ; emerging economies ; capital flow ; sudden stops ; strength of domestic financial system
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 6
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: With data from the Household Budget Survey of 2008-2009, the study investigates the demographic and socioeconomic determinants of saving rate of Brazilian families in the recent past. The main results are consistent with the predictions of the theory of life / permanent income cycle, properly extended to incorporate institutional and structural aspects of Brazilian economic relevance such as credit restrictions, particularly for the poorest sections of the population, comprehensive public retirement schemes and government transfers. It is evident the importance of the life cycle and transitory shocks in current income in explaining fluctuations in the saving rate. Evidence for the existence of precautionary savings due are also found. Heterogeneity tests did not indicate significant differences in the effects of the explanatory variables when the sample is segmented by POF or education level.
    Keywords: E21 ; ddc:330 ; saving rate ; households
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 7
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The paper investigates the demographic and socioeconomic determinants of aggregate savings rate of Brazilian families in the recent past. The main results are consistent with the predictions of the theory of the cycle of life/permanent income, properly extended to incorporate institutional and structural aspects of the Brazilian economy today, such as credit restrictions, particularly for the poorest sections of the population, comprehensive Public retirement schemes and government transfers. It is evident the importance of the cycle of life and transitory shocks on current income to account for fluctuations in the savings rate. They are also found evidence for the existence of saving for precautionary reasons. The database used in the study was produced by Household Research Budgets for 2002-2003 and 2008-2009. Although it is the only source of microeconomic observation savings of Brazilian families, this research has no annual frequency. Thus, the work applies the decomposition of Blinder-Oaxaca to assess the empirical relevance of the projection of aggregate savings of Brazilian families from econometric models estimated with data produced by research from previous years. The results show a significant instability of the estimated coefficients, as a result of changes in the response of household savings decisions to their demographic and socioeconomic characteristics, which implies savings projections do not fully reliable.
    Keywords: C01 ; E21 ; ddc:330 ; household savings ; Blinder-Oaxaca decomposition
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 8
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The financial account of the balance of payments aggregates a set of heterogeneous flows, with marked differences in terms of purpose, risk, maturity and liquidity. With this perspective, the paper analyzes the factors that explain comparatively extreme events occurred in the flows of the three main headings of the financial account: direct investment, portfolio investment and account for loans and financing. These events are identified in the literature as sudden stops in net capital inflows from residents or the sudden flight of capital from residents. The paper concludes that the global risk is the only relevant variable to explain the events of sudden stop in net inflow of foreign capital of almost all forms of capital. The explanatory power of each local variable differs between the types of capital flow.
    Keywords: F21 ; F32 ; ddc:330 ; sudden stop ; sudden flight ; financial account ; flow of external capital
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 9
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The home bias is observed in the composition of portfolios of different classes of financial assets. The literature offers conflicting arguments about the rationality of this behavior in the case of the portfolios invested in short-term securities, commonly known as currency deposits. In the context of an economy subject to strong volatility, the conventional wisdom suggests that conservative investors should concentrate these deposits on domestic bonds. However, these instruments can be very risky for a long-term investor due to uncertainty about the future short-term interest rate. Not least important, under the assumption of uncovered interest parity, it may be optimal for this investor to maintain foreign currency deposits as a hedge against a deterioration of the domestic investment opportunities. On the root of this argument is the fact that the lower expected return on domestic bonds, as it stimulates the outflow of capital, it is accompanied by real depreciation of the domestic currency. Therefore, the foreign currency deposits reduce the volatility of future wealth as the size of current wealth tends to increase when its expected return decreases. This work evaluates the effectiveness of the foreign currency deposits as an intertemporal hedge for Brazilian long-term investors. The main conclusion is that fairly conservative investors should allocate significant part of these deposits in dollars, pounds and ienes.
    Keywords: G11 ; G15 ; ddc:330
    Language: Portuguese
    Type: doc-type:workingPaper
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  • 10
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    Brasília: Instituto de Pesquisa Econômica Aplicada (IPEA)
    Publication Date: 2019-01-24
    Description: The balance of payments' financial account aggregates a very heterogeneous set of capital flows. Among other features, these investments differ in terms of maturity, risk, liquidity and receptor. From this viewpoint, this paper analyzes comparatively the behavior of the main components of the financial account during the events of sudden stops in the net inflow of foreign capital to the emergent and developed countries. These events are identified in the literature as sharp and unexpected falls in the financial account surplus of a country as a result of the foreign investors' decisions to stop the financial flows to this country. The article concludes that these events are almost entirely explained by contraction of flows of portfolio investment flows and loans, whose average maturities are lower than that of the direct investment. In addition, investments in fixed income and for the public sector are relatively more stable than investments in variable income and for banks and private companies.
    Keywords: F21 ; F32 ; ddc:330 ; external capital flow ; sudden stop ; Kapitalmobilität
    Language: Portuguese
    Type: doc-type:workingPaper
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