Dissertations / Theses on the topic 'Market fixed effects (FE)'

During the 1980's, many European countries introduced flexibility measures in their labour market to fight high and persistent levels of unemployment. In particular, in many countries reforms consisted of the introduction of more flexible labour contracts (fixed-term contracts) in comparison to the predominant ones (permanent contracts). The purpose of this thesis is to analyse the effects of such contracts on the overall performance of the labour market. First, an economy with firing costs is analysed theoretically. Firing costs are generally considered one of the most important elements in making a labour market rigid. This chapter stresses the fact that it is not just the level of severance payments what matters, but a wider view of employment protection. In particular, dismissal conflicts are modeled explicitly and their cost is derived. In the second chapter, the effects on employment of introducing fixed-term contracts in an economy with only permanent contracts are analysed theoretically. Our findings are that higher employment at the expense of segmentation of the labour market only arises if wages are very flexible. Otherwise, employment is not necessarily higher than in a system with only permanent contracts. Moreover, from the social point of view, market segmentation is too large. The last two chapters are empirical work applied to Spain. The Spanish experience appears to be particularly useful in this context to draw some lessons of these policies because the unemployment rate is the highest among OECD economies despite the several "policy experiments" implemented in the last two decades. In Chapter 3 the duration pattern of fixed-term contracts and the determinants of the transformation of these into permanent ones are analysed. Evidence is found that fixed-term contracts are used as a screening device instrument. Also, employers use fixed-term contracts until their legal limit. In Chapter 4, we study the effects of fixed-term contracts on the duration distribution of unemployment. It is found that the chances of leaving unemployment for a reference group have increased at short durations, while they have decreased at long durations of unemployment.

Fifteen or so years into what is said to be the game changer of our time there are many fields of science  focusing  their  attention  towards  the  online  market  in  attempts  to  describe  its implications for the traditional, offline markets. Where most of the literature on economics of ecommerce focus on pricing mechanisms and growth little attention has been directed towards more general market structure effects. This thesis adopts techniques, empirical and theoretical models  from  the  search  cost  and  market  structure  literature  in  order  to  examine  the relationships between ecommerce and offline market structures in the retail industry through regional employment and establishment data. The literature reviewed and used focus only on the US market whereas this thesis shifts the attention to the European regions. The results are convincing and in general corresponding to previous research results. As ecommerce usage increase and the consumer search costs thereby gets lower inefficient firms drop out of the market resulting in a decline in local establishment counts. The opposite effect is seen for pure online retailing establishments that thrive in the presence of local ecommerce usage. The effect of   ecommerce  on  traditional  offline  establishments  seems  to  be  aggregated  phenomena whereas  the  effect  on  pure  online  firms  seems  to  be  of  a  more  local  nature.  Focus  of policymakers and company management therefore might consider looking at the two effects in their respective aggregation level to best sort out how to react in the presence of increased competition from ecommerce usage.

This thesis seeks to investigate the vastly varying time to market of newly approved drugs across Europe. Firtsly, I use a country fixed effects model on data of newly approved drugs from 2014 to 2017 from 18 European countries. I investigate the correlations between medication specific characteristics and the launch time and find that drugs intended to treat HIV, rheumatism or hepatitis are correlated with a faster launch time. Orphan drugs, though they represent a third of the dataset are found to be insignificantly correlated with time to market. Using a drug fixed effects model, I research important country characteristics in relation to the launch time and find that countries with higher imports of medications are correlated with a quicker time to market. Countries with larger medication export sectors experience a longer waiting time, which could be linked to companies trying to hinder the parallel export of new drugs.

Ma thèse se compose de deux parties indépendantes. La première traite decrypto-économie et la seconde d’économétrie théorique. Dans le premier chapitre, je présente un modèle qui prédit la puissance de calcul totale déployée par les mineurs en utilisant le taux de change bitcoin / dollar. Le deuxième chapitre s’appuie sur une version simplifiée du précédent modèle pour faire le constat de l’inefficacité du protocole Bitcoin actuel et proposer un moyen simple de réduire la consommation d’électricité engendrée par cette cryptomonnaie. Le troisième chapitre explique comment identifier et estimer les bornes exactes de la région d’identification de l’effet marginal moyen dans un modèle logit avec effets fixes sur données de panel
My dissertation concatenates two independent parts. The first one dealswith crypto-economics whereas the second one is about theoretical econometrics. In the first chapter, I present a model which predicts bitcoin miners’ total computing power using the bitcoin / dollar exchange rate. The second chapter builds on a simplified version of the preceeding model to show to which extent the current Bitcoin protocol is inefficient and suggest a simple solution to lower the cryptocurrency’s electricity consumption. The third chapter explains how to identify and estimate the sharp bounds of the average marginal effect’s identification region in a fixed effects logit model with panel data

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO
A introdução do modelo regulador deve ser capaz de calibrar o trade off entre os interesses do consumidor e dos investidores privados, em busca de uma performance adequada para o setor, aumentando eficiência, gerando volumes agregados de investimentos para sustentar o crescimento de longo prazo. A revisão do modelo de atuação do Estado no setor de telecomunicações brasileiro e a forma como foi implementada pôde ser considerado um caso de sucesso em nível internacional, evidenciado pelos mais de 100 bilhões de reais investidos, ampliação da oferta de produtos e serviços, melhoria da qualidade do serviço e pela projeção do país no cenário das telecomunicações mundial. No entanto, desde o início do governo atual, os constantes desentendimentos entre o Ministério das Comunicações e a ANATEL trouxeram um ambiente de instabilidade para o setor. A partir de fevereiro de 2003 iniciou-se por parte do Executivo uma forte discussão sobre os contratos, críticas à atuação da agência reguladora em geral e, em particular, aos aumentos das tarifas de telefonia. Nesta época o governo cogitou a substituição do IGP-DI como indexador das tarifas de telefonia fixa. O objetivo desta dissertação é, a partir da disputa travada entre Executivo, ANATEL e empresas fixas na definição dos índices de reajuste das tarifas fixas no ano de 2003, verificar se este episódio trouxe reflexos nos retornos das ações mais líquidas destas empresas na Bolsa de Valores de São Paulo. A metodologia de estudo de eventos foi escolhida para a condução deste trabalho, método amplamente utilizado em Finanças em função de sua forte aplicabilidade geral. Adicionalmente, foi aplicada a metodologia proposta por Izan (1978), objetivando fazer face à dificuldade adicional trazida pelo fato de tratar-se de um evento relacionado a regulação.
The introduction of any regulatory model must be able to balance the trade off that exists between consumer and investors interest, aiming an adequate performance for the sector, increasing efficiency and generating volumes of investments enough to sustain long term growth in the economy. The regulatory reform in Brazilian Telecommunication sector can be considered a case of success internationally, which can be seen due to more than 100 billion of reais invested since then, the availability of products and services, quality improvements, and due to the relevance Brazil assumed in the international telecommunication scenario. However, since the beginning of the current Government, constant disagreements between the Telecommunication Ministry and ANATEL brought an instable environment to the sector. Since February 2003 it started strong discussions regarding contracts, criticism to the way the regulatory agency used to act as a whole and, particularly, the fixed telecoms tariffs readjustments. At that time, the Government considered the substitution of IGP-DI as the index for fixed telecoms readjustments. The objective of this study is, in light of the dispute between Government, ANATEL and fixed telecom companies in 2003, to investigate if this episode brought any impacts to the return of the most liquid shares of fixed telecom companies at the São Paulo Stock Exchange. The Event Study Methodology was chosen to proceed with this study, which is widely used in Finance due to its strong general applicability. Additionally, it was used the methodology proposed by Izan (1978), aiming to address the additional difficulty brought by the fact that this is a regulatory event.

La thèse est composée de trois grandes parties qui présentent et examinent des facteurs empiriques importants qui expliquent la performance du marché boursier de la Chine continentale. Le premier chapitre s’intéresse aux performances des marchés boursiers dans le cadre de la Grande Chine comme éléments explicatifs de la performance du marché boursier de la Chine continentale. Ce chapitre fournit des preuves empiriques de l'absence de relation de cointégration stable entre les marchés boursiers de la Chine continentale et ceux de Hong Kong et de Taïwan. Les résultats empiriques des retombées à court terme sur les premier et deuxième moment montrent que les marchés boursiers de la Chine continentale servent de générateur d'informations, le marché boursier de Taiwan est, lui, récepteur d'informations et le marché boursier de Hong Kong, joue un double rôle, à la fois générateur et récepteur d’informations. Le deuxième chapitre étudie empiriquement les liens entre les politiques monétaires de la Chine continentale et la performance du marché boursier en utilisant la méthode d’étude de l’événement et la méthode SVAR (Vecteur Autorégressif Structurel). Les résultats empiriques montrent que, premièrement, les annonces de politique monétaire concernant les ajustements des taux d'intérêt de référence et des taux de réserves obligatoires ont des effets sur la volatilité des marchés boursiers; deuxièmement, un choc positif (une augmentation du taux interbancaire) de la politique monétaire en Chine continentale pourrait faire baisser le cours des actions à court terme, mais sur un plus long terme, cet effet s’estompe; un choc positif des cours des actions (une augmentation des cours) pourrait avoir un effet positif sur les taux interbancaires et cet effet qui augmenteront dans un premier temps pour diminuer ensuite. Le troisième chapitre fournit des preuves empiriques sur la question de savoir si une augmentation de la part des investisseurs institutionnels pourrait augmenter la volatilité des rendements boursiers. Le chapitre montre d'abord qu'une augmentation de la part des investisseurs institutionnels d'une entreprise cotée accroît la volatilité de son rendement boursier; deuxièmement, l'effet marginal de cette part des investisseurs institutionnels sur la volatilité du rendement des actions de l'entreprise diminue avec son augmentation, l’effet marginal devient négatif lorsque la part des investisseurs institutionnels dépasse un certain seuil d’environ 28%. De plus, nous constatons qu'une augmentation de celle-ci pourrait réduire la synchronicité des rendements boursiers
The thesis consists of three essays that examine empirical factors important for explaining the performance of the mainland China stock market. The first chapter discusses whether other stock market performances could explain the mainland China stock market performance within the framework of greater China. This chapter provides empirical evidence of the non-existence of stable cointegrating relationships among the mainland China, Hong Kong and Taiwan stock markets. The empirical results of short-run spillover effects on both first and second moments indicate that mainland China stock markets serve as an information generator, the Taiwan stock market serves as an information receptor and the Hong Kong stock market functions as both an information generator and receptor. The second chapter empirically studies the linkages between mainland China monetary policies and stock market performance by employing event study and SVAR methods. The empirical results indicate that first, monetary policy announcements concerning benchmark interest rates and required reserve ratio adjustments have effects on stock market volatility; second, a positive monetary policy shock in mainland China could decrease stock prices in the short run, and the effect of the policy trends slightly towards 0; third, a positive stock price shock could have a positive effect on interbank rates; and fourth, this effect has an increasing trend followed by a decreasing trend. The third chapter provides empirical evidence that an increase in institutional ownership can increase stock return volatility. The chapter first confirms that an increase in institutional ownership of one listed firm increases that firm’s stock return volatility. Second, the chapter provides evidence that the marginal effect of institutional ownership on the volatility of one firm-level stock return decreases with an increase in institutional ownership and that this effect becomes negative when institutional ownership exceeds a certain threshold of approximately 28%. Additionally, we observe that an increase in institutional ownership can decrease stock return synchronicity

This paper investigates the determinants of excess returns using dividend yields as a proxy in a cross-sectional setting. First, we find that types of industry and the current business cycle are determining factors of returns. Second, our results suggest that dividend yield serves a signaling mechanism indicating “healthiness” of a firm among prospective investors. Third we see that there is a positive relationship between dividend yield and risk, especially in the utility and financial sectors. And finally, using actual excess returns, instead of dividend yield in our model shows that all predictors of dividend yield were also significant predictors of excess returns. This connection between dividend yield and excess returns support our use of dividend yield as a proxy for excess returns.

Abstract  Course: NAA305 Bachelor Thesis in Economics 15 ECTS  University: Mälardalen University, School of Business, Society and Engineering, Västerås  Title: The effects of immigration on the income of native-born workers:  Evidence from Sweden Author: Arnold Schanzer-Larsen  Supervisor: Johan Lindén  Problem: Sweden has experienced a lot of immigration, and the phenomenon has received a great deal of attention in the public and political debate. There is, among other things, fear that immigration could be harmful for the labor market outcome of the receiving country. Researchers from a variety of countries have tried to address this issue by estimating the effect of immigration on the native wage of the receiving country. The results have varied strongly and no universal conclusion can be drawn. For what can be said about Sweden, there is no paper (of our knowledge) that has done any similar estimates. For that reason, it is of great importance that there is some research which could bring empirical evidence and shed light on the debate.  Purpose of the Research: The aim of the thesis is to quantitatively measure immigrations effect on the wage of native workers in Sweden. Methodology:  Conducting a panel study, observation of the average native income from 290 municipalities over 2011-2019 was collected. The effect was estimated using OLS regression technique and a fixed effect model.  Conclusion: From a 10% increase in the share of foreign-born within a municipality, led on average to a 2.89% increase in the native average income in that municipality.  Keywords: Immigration, Income, Wage, Unemployment rate, Panel study, Fixed effect model, Native, Labor market, The equilibrium model, Human capital, Skill-composition

This thesis investigates the sensitivity of derived monetary valuations of the well-being effects of non-market goods, by considering, in turn, the four components that contribute to these calculations. Comparisons are made to the current subjective well-being (SWB) literature by altering one component at a time in a willingness to pay (WTP) function, in addition to varying the estimator used when calculating WTP. The first component varied is the measure of income used; a more robust, up-to-date measure is proposed that takes into account household size, economies of scale and composition, plus other improvements over current income scaling approaches including equivalence scales. Secondly, anticipation and adaptation effects are examined, in order to allow for the dynamics of SWB in WTP valuations. Thirdly, due to the ordered nature of the dependent variable, the effects of both cardinal and ordinal models on WTP derivations are investigated. Such models include the ordered logit fixed effects (FE) model (see for example Das and Van Soest (1999), Ferrer-i-Carbonell and Frijters (2004) and Baetschmann et al. (2011)). The final input to be varied is whether income endogeneity is accounted for. A control function approach is used in this case. A key finding is that all four inputs in the WTP calculation contribute significantly to the estimated WTP values. However, the degree to which each input influences the variation in WTP values differs substantially. The three main contributing factors to WTP variations are the income variable chosen, anticipation and adaptation effects, and controlling for endogeneity. Additionally, this thesis proposes a new way to define WTP that is also valid for ordered estimators. Whilst the standard WTP approach relies simply on coefficient ratios at a point in time, the method proposed here uses the finding that statistically significant anticipation and adaptation effects, along with adaptation to all non-market events (except for unemployment) suggest that there are concerns with taking WTP values as yearly valuations that assume constant effects on SWB. By instead defining WTP as the summation of the value of all WTP effects over all lag and lead effect periods, the total value of an event can be calculated. This definition presents further weaknesses of the original method by showing that because of significant lag and lead effects for events such as divorce and widowhood, these events have substantially larger WTP values than first thought. This leads to the major finding in this study that rank orders are not preserved when controlling for income endogeneity, even when comparing two model specifications that are identical in all other respects. Therefore, despite absolute WTP valuations appearing more similar for linear and ordered estimators when a more appropriate model specification is in place, the rank orders are affected. This finding argues against papers such as Powdthavee and van den Berg (2011) that find that rank orders are preserved for WTP valuations when modelling SWB. In conclusion, given rank orders are generally not preserved when a small change is made in the model specification, the validity of the WTP method is significantly reduced. Finally, the above methodology is applied to education, with the main contribution to the education literature being that the positive effects on SWB from education only exist in terms of lead effects.

Closed-end funds’ (CEF) discount and discount fluctuations have been puzzling researchers for decades. Up to date, there are no multidimensional or cross-sectional variables that have been proved to influence CEFs simultaneously. Fact is that, earlier research and theories on the subject are contradictious and several suggestions on the origin of the CEF’s discount and its fluctuations have been proposed. To mention a few, investor sentiments, taxation issues, dividend policies, agency costs and agency problems are considered to influence these discounts. The purpose of this report is to examine the relationship between micro- and macroeconomic variables fluctuations, and how these can explain the discount fluctuation of the Swedish CEFs. This report focuses upon the CEFs traded at NASDAQ OMX Stockholm, which have been selected through a comprehensive multistage selection process. 10 CEFs were selected. Monthly data for calculating micro- and macroeconomic variables was collected for the period March 2003 – February 2013, which resulted in approximately 1 200 observations. OLS regression analysis, Fixed- and Random Effect Models and Hausman tests were conducted. The findings conclude that some of this report’s chosen micro- and macro variables influence on the Swedish CEFs’ discount fluctuation, although these findings are conditioned. The CEFs’ individual characteristics or traits result in a significant impact on the fluctuation of CEFs’ discount. Hence, only by controlling these characteristics, multidimensional or cross-sectional micro- and macroeconomic variables can be proved to affect the CEFs’ discount fluctuation.

This thesis consists of an introductory part and two self-contained chapters related to the supply of volunteers to the Swedish Armed Forces. Chapter [I] represents the first effort to explore the relationship between civilian labour market conditions and the supply of labour to the military in the all-volunteer environment that Sweden entered after the abolishment of the peacetime draft in 2010. The effect of civilian unemployment on the rate of applications from individuals aged 18 to 25 to initiate basic military training is investigated using panel data on Swedish counties for the years 2011 through 2015. A linear fixed-effects model is estimated to investigate the relationship, while controlling for a range of socio-demographic covariates and unobserved heterogeneity on the regional level, as well as aggregate trends on the national level. The results indicate a positive and statistically significant relationship between the unemployment rate and the application rate. The results are robust to non-linear form specifications, as well as allowing the civilian unemployment rate to be endogenous. As such, the results suggest that the civilian labour market environment in Sweden can give rise to non-trivial fluctuations in the supply of applications to initiate basic military training within the Swedish Armed Forces. Chapter [II] studies how local labour market conditions influence the quality composition of those who volunteer for military service in Sweden. A fixed-effects regression model is estimated on a panel data set containing IQ scores for those who applied for military basic training across Swedish municipalities during the period 2010 to 2016. The main finding is that low civilian employment rates at the local level tend to increase the mean IQ score of those who volunteer for military service, whereas the opposite is true if employment rates in the civilian labour market move in a more favourable direction. As such, the results suggest that the negative impact of a strong civilian economy on recruitment volumes is reinforced by a deterioration in recruit quality.

Market frictions or market imperfections are diverse, broadly present in most markets, and affect most transactions in the economy. These market failures may prevent buyers and sellers from trading, even if they agree on a price. This means that the central assumption of perfectly competitive markets that markets clear fails to hold, and some buyers and sellers remain unmatched. Since the 1970s, a growing literature has emerged addressing the importance of market frictions in most markets of the economy, namely in the labor, product, and credit markets. Information asymmetries, transaction costs, heterogeneous preferences, and coordination failure are examples of sources of market imperfections. In labor markets, these frictions imply that firms possess some market power over their employees and that a one cent wage cut does not lead all workers to leave the firm. In product markets, a key ingredient for the sluggish price adjustment is coordination failure among firms. Firms respond incompletely to an aggregate shock because other firms have not yet responded. In turn, asymmetric information and costly contract enforcement provide the foundations of credit market frictions, and are used to explain credit rationing as a market equilibrium. In Chapter 1 we use matched employer-employee data and firm balance sheet data to investigate the importance of firm productivity and firm labor market power in explaining firm heterogeneity in wage formation. We use a linear regression model with one interacted high dimensional fixed effect to estimate 5-digit sector-specifc elasticity of output with respect to input factors directly from the production function. This allows us to derive firm specific price-cost mark-up and elasticity of labor supply. The results show that firms possess a considerable degree of product and labor market power. Furthermore, we find evidence that a firm's monopsony power negatively affects the earnings of its workers, and firm's total factor productivity is closely associated with higher earnings, ceteris paribus. We also find that firms use monopsony power for wage differentiation between male and female workers. Chapter 2 describes price setting behavior using a very rich dataset of producer prices collected for Portuguese frms. The Industrial Producer Prices Index dataset is comprised of monthly transaction prices collected for products defuned at a detailed level. We proceed with the analysis in two steps. First, we estimate a hazard function model for the probability of a price change with high dimensional fixed effects to extensively account for product and firm-specific time-invariant heterogeneity, splitting price changes between price decreases and price increases. Second, we estimate a peer-effects model to document how market competition affects firms' price setting rules. The results suggest that the likelihood of price adjustment depends on both idiosyncratic and sectoral conditions. Furthermore, when we fully account for heterogeneity, duration dependence is estimated to be positive in the case of both a price increase and price decrease. The results of the peer-effects model suggest that firms timidly respond to their competitors' price setting behavior. Chapter 3 examines the importance of credit demand and credit supply-related factors in explaining the evolution of credit granted to Portuguese small and medium-sized enterprises (SMEs). The results suggest that the interest rate is a strong driver of SMEs' demand for bank loans, as well as their internal financing capacity. On the other hand, credit supply mostly depends on firms' ability to generate cash-flows and reimburse their debt, and on the amount of collateral. The model was estimated for the period between 2010 and 2012. The results suggest that a considerable fraction of Portuguese SMEs were affected by credit rationing in this period.

This paper studies how the underlying factors that determine an individual's wage changes over their life-cycle, how these factors change at di erent education levels, and when a worker makes job-to-job moves. Using a longitudinal matched employer-employee data set from the Portuguese Ministry of Labor; I nd that human capital accumulation and job mobility play an important role in wage growth during the beginning of an individual's career. More speci cally, I nd that after 20 years of work wages increase, on average 41%. A large fraction of the returns to labor market experience is rooted in the returns to general training (25%) but sorting into better paying rms and job/titles is responsible for a signi cant 19% and 10% of the returns to labor market experience, respectively. Job-to-job mobility also enhances life-cycle earning (14%), as does the ability of the worker (32%).

The present Dissertation investigates the impact of market structure on bank stability for the U.S. commercial banks, from the last quarter of 2001 to the last quarter of 2017. The empirical analysis employs a fixed effects panel data model to address this Dissertation’s research question. The dependent variable is bank stability assessed by the natural logarithm of the Z-Score, while the explanatory variable to assess market structure is loan concentration at the state level, determined by either the Herfindahl-Hirschman Index or the three-bank concentration ratio. A matrix of control variables, including both bank-specific and macroeconomic variables, is included in the empirical framework. The empirical results support the concentration fragility view, which states that banks operating in more concentrated market structures are less stable. The results hold under a series of robustness tests. The stability of the results under diverse stress conditions suggests that regulators and policymakers must pay close attention to the market structure in which commercial banks operate when regulating banks and creating policy guidelines, namely for mergers and acquisitions
A presente Dissertação investiga o impacto da estrutura de mercado na estabilidade bancária dos bancos comerciais Norte Americanos, entre o último trimestre de 2001 e o último trimestre de 2017. A análise empírica aplica um modelo de dados de painel de efeitos fixos para responder à questão científica desta Dissertação. A variável dependente é a estabilidade bancária representada pelo logaritmo natural do Z-Score e a variável explicativa é a concentração de empréstimos, definida ao nível de cada estado norte-americano, que é representada pelo índice Herfindahl-Hirschman ou pelo rácio de concentração dos três maiores bancos em cada estado. Uma matriz de variáveis de controlo, que inclui variáveis específicas de cada banco e variáveis macroeconómicas, é incluída na estrutura empírica. Os resultados empíricos suportam a hipótese de que a concentração aumenta a fragilidade bancaria, que afirma que bancos em estruturas de mercado mais concentradas são menos estáveis. Os resultados mantêm-se estáveis quando submetidos a uma série de testes de robustez. A estabilidade dos resultados sobre os diversos cenários de stress sugere que entidades regulatórias e governamentais devem analisar cuidadosamente a estrutura de mercado em que os bancos comerciais operam quando regulam os bancos e criam diretrizes, nomeadamente referentes a aquisições e fusões.

JEL Classification: J31, J41, J68, C21, C24, C33
This thesis aims to study the effects of the promotion of flexibility at the margin in the Portuguese labour market through the facilitation of the use of fixed-term contracts. We present three empirical essays that assess the effects of the 2004 change in legislation that extended the maximum legal duration of fixed-term contracts from three to six years. Given the high labour market segmentation and representativeness of fixed-term contracts in the Portuguese labour market, we consider that these studies may contribute to the design of future public policies. The empirical analysis is conducted using the linked employer-employee database Quadros de Pessoal for the period between 2002 and 2011. The results of the three essays suggest that fixed-term contracts may play different roles in the labour market, namely as screening devices and quantitative adjustment tools, and that this fact should be taken into account when the effects of asymmetric employment protection reforms are analysed. After controlling for several micro and macro variables, we find evidence that the extension of the fixed-term contract for a longer period had negative effects on the probability of conversion of the contract and contributed to increase the wage inequality between workers on permanent or converted fixed-term contracts and those that did not obtain a more stable employment relationship. Besides, we find evidence that this change in legislation did not contribute to increase employment growth and decrease the rate of creation of fixedterm jobs, especially due to the effects of the proportion of non-converted fixed-term contracts. This research suggests that labour market segmentation should be tackled and policy makers should promote measures aiming to stimulate the conversion of fixedterm into open-ended contracts.
Esta tese pretende estudar os efeitos da promoção da flexibilidade à margem, através da facilitação do uso dos contratos a termo, no mercado de trabalho português. Para tal, apresentam-se três ensaios onde se analisam empiricamente os efeitos de uma alteração de legislação que ocorreu em 2004 e que aumentou a duração legal máxima dos contratos a termo certo de três para seis anos. Dada a elevada segmentação do mercado de trabalho e a representatividade dos contratos a termo, considera-se que estes estudos podem contribuir para a definição de políticas públicas no futuro. A análise empírica é realizada utilizando a base de dados Quadros de Pessoal para o período compreendido entre 2002 e 2011. Os resultados dos três ensaios sugerem que os contratos a termo podem desemprenhar papéis diferentes no mercado de trabalho, como processos de seleção e de ajustamentos quantitativos, e que isso deve ser tido em consideração quando se analisam os efeitos de reformas assimétricas da protecção ao emprego. Após controlar por diversas variáveis micro e macro, encontra-se evidência de que a possibilidade de utilizar o contrato a termo por um maior período de tempo teve efeitos negativos na probabilidade de conversão do contrato e contribuiu para aumentar a desigualdade salarial entre trabalhadores com contratos sem termo ou contratos convertidos em sem termo e trabalhadores que não obtiveram uma relação de emprego mais estável. Para além disso, mostra-se que esta alteração de legislação não se traduziu num aumento do crescimento do emprego e que teve inclusivamente um efeito negativo na criação de emprego com contratos a termo, devido principalmente ao efeito da não conversão dos contratos. Esta tese sugere que se deve combater a segmentação do mercado de trabalho português e promover medidas para estimular a conversão dos contratos a termo em contratos sem termo.

The present Dissertation evaluates the impact of Asset-Backed Securities (A.B.S.) on the largest U.S. commercial banks during the subsequent stage of the U.S. business cycle in the aftermath of the U.S. ‘Subprime’ crisis. This analysis covers the 14 largest U.S. commercial banks during the period of September 2009 through December 2018. The followed approach regresses the total risk from each bank, measured as total excess equity returns’ volatility, on both systematic and unsystematic risk, while controlling for size, leverage, and macroeconomic effects. This research presents new empirical evidence on the effects of securitization on systematic risk, given there is no consensus amongst the scientific literature concerning these effects. This Dissertation’s findings suggest that asset-backed securitization and banks’ systematic risk are negatively correlated for the period and bank sample considered. Moreover, this research produces robust results replicable to distinct timespans and adjusted samples. Finally, no evidence is found of asset-backed securitization (excluding mortgage-backed securitization) positively affecting banks’ unsystematic risk.
A presente Dissertação avalia o impacto dos instrumentos de dívida titularizados, excluindo as hipotecas, nos maiores bancos comerciais dos E.U.A. durante o período subsequente à ‘Subprime Crisis’ dos E.U.A. Esta análise abrange os 14 maiores bancos comerciais dos E.U.A. durante o período de setembro de 2009 a dezembro de 2018. A abordagem utilizada estabelece regressões envolvendo o risco total de cada banco, medido como a volatilidade dos retornos, tanto no risco sistemático quanto no não sistemático, enquanto são controlados o tamanho, alavancagem, e efeitos macroeconómicos. Esta pesquisa apresenta novas provas empíricas sobre os efeitos da titularização no risco sistemático, dada a ausência de um consenso na literatura científica sobre esses efeitos. As conclusões desta Dissertação sugerem que a titularização de dívida, que não as hipotecas, e o risco sistemático dos bancos estão negativamente correlacionados tendo em conta o período e amostra de bancos considerados. Adicionalmente, esta investigação produz resultados robustos replicáveis para intervalos de tempo e amostras similares. Para finalizar, nenhuma evidência é encontrada sustentando que a titularização de dívida (que não as hipotecas) afete positivamente o risco não sistemático dos bancos.