Research |
Mollick, A. V., J. R. Faria, P. H. Albuquerque and M. A. Léon-Ledesma (2007): "Can Globalisation Stop the Decline in Commodities’ Terms of Trade?" Cambridge Journal of Economics, forthcoming.
Albuquerque, P. H. and S. Gouvea (2007): "Canaries and Vultures: A Quantitative History of Monetary Mismanagement in Brazil," Journal of International Money and Finance, forthcoming.
Albuquerque, P. H. (2007): "Shared Legacies, Disparate Outcomes: Why American South Border Cities Turned the Tables on Crime and Their Mexican Sisters Did Not," Crime, Law and Social Change, 47 (2), 69-88.
Albuquerque, P. H. (2006): "BAD Taxation: Disintermediation and Illiquidity in a Bank Account Debits Tax Model," International Tax and Public Finance, 13 (5), 601-624.
Rivas, A., A. Rodriguez and P. H. Albuquerque (2006): "Are European Stock Markets Influencing Latin American Stock Markets?" Análisis Económico, 21 (47), 51-67.
Albuquerque, P. H. (2003): "A Practical Log-Linear Aggregation Method with Examples: Heterogeneous Income Growth in the USA," Journal of Applied Econometrics, 18 (6), 665-678.
Articles Submitted to Refereed Journals
"China's Exports and the Oil Price" (with João R. Faria, Nottingham Trent University, André V. Mollick, University of Texas-Pan American, and Miguel A. Léon-Ledesma, University of Kent).
"The Increasing Impact of Spain on the Equity Markets of Brazil, Chile and Mexico" (with Andrés Rivas, Texas A&M International University, Rahul Verma, University of Houston, Downtown, and Antonio Rodriguez, Texas A&M International University).
"A Statistical Evaluation of Femicide Rates in Mexican Cities along the US-Mexico Border" (with Prasad R. Vemala).
Trade Journal Articles
Albuquerque, P. H. (2006): "When Laredo Turned the Tables on Crime," Crime & Justice International, 22 (94), 29-31.
Albuquerque, P. H. (2001): "Os Efeitos Econômicos da CPMF" ("The Economic Effects of the CPMF"), Carta de Conjuntura - Economia em Perspectiva (Conjunctural Letter - Economic Perspectives), 149. Conselho Regional de Economia - 2a Região - SP: São Paulo.
Albuquerque, P. H. (2002): "Os Impactos Econômicos da CPMF: Teoria e Evidência" ("The Economic Impacts of the CPMF: Theory and Evidence"), in Finanças Públicas: VI Prêmio Tesouro Nacional – 2001. STN: Brasília (book containing the VI Brazilian National Treasury Competition winning articles).
Refereed Journal Articles |
|
 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Articles Revised and Resubmitted to Refereed Journals
Optimal Time Interval Selection in Long-Run Correlation Estimation
This paper presents an asymptotically optimal time interval selection criterion for the long-run correlation block estimator (Bartlett kernel estimator) based on the Newey-West approach. An alignment criterion that enhances finite-sample performance is also proposed. The procedure offers an optimal yet unobtrusive alternative to the common practice in finance and economics of arbitrarily choosing time intervals or lags in correlation studies. A Monte Carlo experiment using parameters derived from Dow Jones returns data confirms that the procedure is MSE-superior to typical alternatives such as aggregation over arbitrary time intervals, VAR estimation, and Newey-West automatic lag selection.
Articles Submitted to Refereed Journals
China’s Exports and the Oil Price
With João Ricardo Faria, André Varella Mollick and Miguel A. León-Ledesma.
The increase in oil prices in recent years has come together with a rapid expansion of Chinese exports in the world markets despite China being an oil importing country. In this paper we develop a theory model that explains the positive correlation between Chinese exports and the oil price. China’s growth has an impact on oil prices that affects more its export competitors given the large labor force surplus of China. We then examine this hypothesis by estimating a reduced form equation for Chinese exports using Rodrik (2006)’s measure of export competitiveness (expy), together with the oil price, productivity, real exchange rate, and foreign industrial production over the monthly 1992-2005 period. The results suggest a stable relationship and yields slightly positive (0.068) values for the price of oil and elastic coefficients (6.523) for expy, along with the expected negative relationship between the real exchange rate and exports (-0.251).
The Increasing Impact of Spain on the Equity Markets of Brazil, Chile and Mexico
With Andrés Rivas, Rahul Verma and Antonio Rodriguez.
The article examines the response of equity markets in Brazil, Chile and Mexico to stock prices in the US, Spain and four major European countries during three sub-periods: 1988 to 1994, 1995 to 1998, and 1999 to 2004. The analysis employs VAR models. Our results appear to depend on the openness of the country in terms of international trade. We find that there is an increasing impact of Spain on the equity markets. The increasing linkages between Spain and these three countries (such as more trade and foreign direct investment), in particular in the case of Brazil, may explain the results.
A Statistical Evaluation of Femicide Rates in Mexican Cities along the US-Mexico Border
With Prasad R. Vemala.
Mexican cities along the US-Mexico border, especially Cd. Juarez, became notorious for supposedly presenting abnormally high levels of femicide. Nonetheless, evaluation of data ranging from 1998 to 2003 shows that, after factoring in the effects of male homicide, femicide rates in the region, including Cd. Juarez, are consistent with rates in non-border Mexican cities in the same states. Femicide rates in Cd. Juarez are lower than in Houston and Ensenada and, as a share of overall homicide rates, they are typically lower than in other cities considered in the study. These results challenge the existing literature on US-Mexico border femicide.
Working Papers
Capital Asset Pricing and Rational Trader Beliefs
This article analyzes how rational trader beliefs can be used to extend the standard CAPM model. The rational trader beliefs hypothesis assumes that rational traders will actively transact by optimally using all available information to forecast changes in rates of return. The extended model shows that usual CAPM estimation leads to omitted variable bias, since researchers cannot observe the signals received by traders. The results seem to bridge the gap between the standard CAPM and factor models, and appear to solve some empirical puzzles. Four theoretical predictions of the model are essentially corroborated by the empirical analysis.
Inequality-Driven Growth: Unveiling Aggregation Effects in Growth Equations
It is well known from nonlinear aggregation theory that distributions play a central role in the determination of the values of aggregate variables. This paper establishes a bridge between the aggregation and the inequality and growth literature by applying a log-linear aggregation method to a simple Cass-Koopmans-Ramsey AK growth model with heterogeneity. The aggregation effect is explicitly captured in the aggregate growth rate equation by the changes of the mean logarithmic deviation (MLD or Theil’s second measure) of the income, implying that increases in income inequality may be unambiguously associated with temporary increases of a country’s growth rate, in agreement with the empirical findings of Forbes (AER, 2000). Consequently, empirical studies of the long-run effects of income inequality may suffer from aggregation bias if the temporary effects of the MLD changes are not considered. The accelerated growth episodes observed in Brazil from 1968 to 1973 and in China recently demonstrate that the increase in income inequality, as measured by the MLD changes, may have resulted, through the aggregation effect, in substantial temporary increases of the aggregate growth rates experienced by those countries.
Book Chapters
Os Impactos Econômicos da CPMF: Teoria e Evidência
(The Economic Impacts of the CPMF: Theory and Evidence)
Winner of the 2nd prize in the VI Brazilian National Treasury Competition, Topics in Public Finance, published in Finanças Públicas: VI Prêmio Tesouro Nacional – 2001. STN: Brasília.
Este trabalho tem como objetivo estudar os impactos econômicos da CPMF na economia brasileira, e para isto está dividido em três blocos. No primeiro a CPMF é analisada sob a ótica da teoria econômica. No segundo é discutida a experiência internacional com impostos similares à CPMF. No terceiro a experiência brasileira é examinada com o auxílio dos dois blocos anteriores. Segundo a teoria econômica, a CPMF causaria a elevação dos juros reais de modo desproporcional a outros impostos, o que seria o resultado da inclusão da rotatividade de ativos em sua base de incidência. Esta deficiência em sua concepção afetaria negativamente, e de forma desproporcional à sua arrecadação, os níveis de capital, produção e salários. Ela também causaria o aumento das despesas do governo com pagamento de juros, o que levaria parte de sua receita a ser fictícia. A CPMF causaria desintermediação e iliquidez nos mercados financeiros, desincentivando o ressurgimento do crédito. A arrecadação comportar-se-ia de acordo com uma curva de Laffer, com elevadas perdas de peso morto, particularmente quando comparadas à pequena receita resultante. Resultados empíricos confirmam que tais conclusões seriam aplicáveis ao caso brasileiro. A teoria econômica, a experiência internacional e a evidência brasileira revelam, portanto, que a CPMF apresenta significativas deficiências como instrumento de arrecadação.
(This paper aims to study the economic impacts of the CPMF in the Brazilian economy and is divided in three parts. In the first part, the CPMF is analyzed under the scope of economic theory. In the second part, the international experience with taxes similar to the CPMF (BAD taxes) is discussed. In the third part, the Brazilian experience is analyzed, considered the contributions of the two previous parts. According to the economic theory, the CPMF should increase real interest rates unproportionally to other taxes, because of the inclusion of asset turnovers in its incidence base. This conceptual deficiency would negatively affect, unproportionally to its tax collection, the level of capital, production and wages. It would also cause the increase of government spending through interest payments, implying that a part of the revenue is fictitious. The CPMF would cause disintermediation and illiquidity in the financial markets, hindering the resurgence of credit in Brazil. The tax collection would follow a Laffer curve, with high deadweight losses, particularly when compared to its small revenue. Empirical results confirm that those conclusions may be valid in the Brazilian case. The economic theory, the international experience and the Brazilian evidence reveal, therefore, that the CPMF presents significant deficiencies as a tax collection instrument.)
Econometric Codes |
|
|
 |
|
|
|
|
|
|
|
