In an endowment economy in which agents negotiate long-term contracts with a financial intermediary, we study the implication of the interaction between incentive compatibility and participation constraints for risk sharing. In particular, we assume that after a default episode, agents consume...

We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. We assume that both the number of covariates in the model and the number of candidate variables can increase with the sample size (polynomially orgeometrically). In other...

In this paper we show the validity of the adaptive LASSO procedure in estimating stationary ARDL(p,q) models with GARCH innovations. We show that, given a set of initial weights, the adaptive Lasso selects the relevant variables with probability converging to one. Afterwards, we show that the...

I investigate the optimal auditing scheme for a revenue-maximizing tax-collection agency that observes not only reported prots, but also the level of employment at each firm. Each firm is owned by a single entrepreneur whose managerial ability is random. The optimal auditing scheme is...

Since the conquest of hyperinflation, with the Real Plan, in 1994, the Brazilian financial system has grown from early infancy to late adolescence. We describe the process of maturing with emphasis on the defining features of the Brazilian financial system over the last 20 years: 1)...

We use two frameworks to analyze the recent Brazilian public debt management. The first one encompasses the Brazilian optimal public debt management analysis through the examination of the correlations among the main variables to which the public debt is indexed. The second seeks to address the...

Agents operating in illegal markets cannot resort to the justice system to guarantee property rights, to enforce contracts, or to seek protection from competitors’ improper behaviors. In these contexts, violence is used to enforce previous agreements and to fight for market share. This...

Entrepreneurship is usually indentified as an important determinant of aggregate productivity and long-term growth. The determinants of entrepreneurship, nevertheless, are not entirely understood. A recent literature has linked entrepreneurship to the development of the justice system. This...

Few developing countries have adopted an Unemployment Insurance (UI) program but the list of countries considering its implementation is growing. Focusing on the Brazilian UI program and using administrative data covering the universe of formal employment, we provide empirical evidence...