Benjamin M. Tabak

Fundação Getulio Vargas, Brasília, DF · School of Public Policy and Government - EPPG

This paper promotes an exchange of scientific information considering two cornerstones for modern economic-financial theory: the Efficient Market Hypothesis in weak form (EMH), Asymmetric Information and Multifrac-tal Theory. We employ the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to check the effects caused by COVID-19 in one of...

In recent decades, health literacy has garnered increasing attention alongside a variety of public health topics. This study aims to explore trends in this area through a bibliometric analysis. A Random Forest Model was utilized to identify keywords and other metadata that predict average citations in the field. To supplement this machine learning...

World Scientific Skip main navigation Close Drawer Menu FractalsOnline ReadyNo Access THE SYNERGIC INTERPLAY BETWEEN ENTROPY, PREDICTABILITY, AND INFORMATIONAL EFFICIENCY OF THE SHANGHAI SECTORAL INDEX LEONARDO H. S. FERNANDES, FERNANDO H. A. DE ARAUJO, JOSÉ W. L. SILVA, MARCO C. M. FILHO, and BENJAMIN M. TABAK See fewer authors https://doi.org/1...

We explore the price dynamics of 16 representative records of USA Education Group stocks, encompassing two non-overlapping periods (before, during and after COVID-19). Based on information theory and cluster analysis techniques, our study provides insights into the disorder, predictability, efficiency, similarity and resilience/weakness considering...

O presente trabalho apresenta algumas concepções sobre recentes mudanças no perfil da literatura e do próprio direito tributário acerca das relações entre tecnologia, inovação e políticas públicas tributárias, especialmente aquelas ligadas à renúncia de receita, em outras palavras, os benefícios fiscais. Adotar-se-á como proposta metodológica a pre...

In this study, we investigate the COVID-19 epidemics in Brazilian cities, using early-time approximations of the SIR model in networks and combining the VAR (vector autoregressive) model with machine learning techniques. Different from other works, the underlying network was constructed by inputting real-world data on local COVID-19 cases reported...

Introduction: In recent decades, health literacy, in connection with a broad range of public 1 health terms, has become a burgeoning field. This study aims to explore trends and biases in this 2 area through a bibliometric analysis. Methods: A Random Forest Model was utilized to identify 3 keywords and other metadata that predict annual citations i...

This paper disrupts mistaken applications of multifractal approaches in financial time series. Specifically, we have examined the non-linear cross-correlation between the São Paulo time series of the weekly price of ethanol and the other 14 Brazilian capitals’ time series of the weekly price of the same biofuel using the Multifractal Detrended Cros...

We explore the synergic interplay between entropy (disorder), predictability, and informa-tional efficiency of the daily closing price time series of 13 sectoral economics components of the Shanghai index letter considering three non-overlapping periods (before and during COVID-19 and Russia-Ukraine war). Our findings reveal that the telecom servic...

O escopo do presente estudo é examinar a figura do devedor contumaz, ainda sem regramento no âmbito da legislação federal brasileira, bem como o Projeto de Lei no 1.646/2019, que visa a suprir tal lacuna. Define-se devedor contumaz como o contribuinte que deliberada e regularmente deixa de recolher o tributo devido, com o intuito de obter vantagem...

We have examined the nonlinear cross-correlation between the São Paulo time series of the weekly price of Bioethanol and the other 14 Brazilian capitals' time series of the weekly price of the same biofuel using the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA). We provide evidence of multifractal correlation properties across these p...

Este artigo investiga a revisão da literatura relativa ao uso de incentivos ficais para promover o desenvolvimento de setores econômicos com foco na inovação. Por meio de pesquisas estruturadas em bases de dados, aplicando-se análise bibliométrica com abordagem qualitativa e quantitativa, foi possível coletar artigos que tratam do tema identificand...

This paper disrupts mistaken applications of multifractal approaches in financial time series. Specifically, we have examined the non-linear cross-correlation between the São Paulo time series of the weekly price of ethanol and the other 14 Brazilian capitals' time series of the weekly price of the same biofuel using the Multifractal Detrended Cros...

This paper has investigated the predictability of the top 10 cryptocurrencies’ price dynamics, ranked by their daily market capitalization and trade volume, via the information theory quantifiers. Our analysis considers the Complexity-entropy causality plane to study the temporal evolution of the price of these cryptocurrencies and their respective...

Green bonds are financial assets similar to classic debt securities used to finance sustainable investments. Given this, they are a long-term investment alternative that effectively contributes to the planet’s future by preserving the environment and encouraging sustainable development. This research encompasses a rich dataset of equity and bond se...

O presente artigo tem por objetivo analisar um projeto de lei que visa expor aos consumidores substâncias com potencial cancerígeno que se encontram em alimentos e cosméticos, sob a ótica da economia comportamental, com vistas a apresentar insights comportamentais que proporcionem uma melhor equalização do pretendido no projeto com os impactos na s...

This paper has investigated the predictability of the top ten cryptocurrencies’ price dynamics, ranked by their daily market capitalization and trade volume, via the information theory quantifiers. Our analysis considers the Complexity-entropy causality plane to study the temporal evolution of the price of these cryptocurrencies and their respectiv...

This paper performs the asymmetric multifractal cross-correlation analysis to examine the COVID-19 effects on three relevant high-frequency fiat currencies, namely euro (EUR), yen (YEN) and the Great Britain pound (GBP), and two cryptocurrencies with the highest market capitalization and traded volume (Bitcoin and Ethereum) considering two periods...

As discussões sobre programas de transferência de renda condicionada vêm ganhando espaço desde a década de 1990. A partir de a criação do primeiro programa, o Progresa (México), os estudos buscam analisar de várias formas os efeitos dessas políticas sobre os beneficiários. Esta pesquisa contribui para literatura na medida em que apresenta o estado...

Green bonds are financial assets similar to classic debt securities used to finance sustainable investments. Given this, they are a long-term investment alternative that effectively contributes to the planet’s future by preserving the environment and encouraging sustainable development. This research encompasses a rich dataset of equity and bond se...

Independent of science branch, scientists have a consensus that peoples lives are highly susceptible to risk, and effectively quantifying risk is a big challenge. This paper assesses the Multi-fractal Cross-Correlation Measure (MRCC) among West Texas Intermediate (WTI), seven fiat ‡ ‡ Corresponding author. 2250191-1 Fractals Downloaded from www.wor...

We analyze multifractality for green bonds, stock sector indices, and US economic sector bonds. Green bonds and US bonds show non-linear cross-correlations. We perform Mul-tifractal Detrended Cross-Correlations Analysis (MF-DCCA) to analyze multifractal cross-correlations and the weak version of the Efficient Market Hypothesis (EMH). Our findings a...

This paper provides an overview of the commodities market, considering three relevant attributes: predictability , similarity, and efficiency. We examine the monthly spot and futures prices time series for 22 commodities from January 1984 until January 2022 with 457 observations. We estimate the permutation entropy () and Fisher information measure...

This paper examines how government alerts about a potential dam rupture affect Brazilian municipalities’ local economic and financial conditions. The dam collapses in Mariana (2015) and Brumadinho (2019) revealed the extent of losses that environmental disasters can cause in terms of human lives, flora, and fauna. This paper investigates the effect...

This research employs the Multifractal Detrended Fluctuations Analysis (MF-DFA) and the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to study the components of the observed multifractality considering eight metals commodities time series (Gold, Silver, Platinum, Palladium, Copper, Lead, Nickle and tin) and economic policy uncertainty...

Considerados importantes instrumentos de justiça social, as técnicas e incentivos do imposto de renda desempenham um papel relevante na redistribuição de renda às famílias, ao lado das políticas sociais de transferência de renda. O objetivo deste artigo é apresentar uma revisão da literatura sobre o tema no nível internacional visando a identificar...

This study examines the relation between the COVID‐19 pandemic and hedge efficiency in commodities futures markets. In particular, we first evaluate the informational content of commodity futures by investigating whether futures prices are accurate and unbiased predictors of future–spot prices, and then we identify key financial and real economy tr...

We investigate the impact of non-critical business and telework propensity on stock prices during the COVID-19 pandemic using panel data comprising 15,238 firms across 46 countries. After eight months of the COVID-19 outbreak, we find that firms operating in non-critical industrial groups have stock prices 6.52% lower than firms in the same subsect...

This paper investigates how the structure of the air transportation network affects air ticket prices in Brazil. Airlines serve specific airports in the vast Brazilian territory and, consequently, have unique air transportation network structures. Using more than 40 million airline-specific commercial flights, we extract topological patterns from t...

This research employs the Multifractal Detrended Fluctuations Analysis (MF-DFA) and the Multifractal Detrended Cross-Correlation Analysis (MF-DCCA) to study the components of the observed multifractality considering eight metals commodities time series (gold, silver , platinum, palladium, copper, lead, nickle and tin) and US-EPU time series. For bo...

We explore a discontinuity in the incentives created by the Brazilian Tourism Regionalization Program. We employ a research discontinuity design, focussing on municipalities in the transitions between two classes. We observe significant effects of the Program in tourist cities, including an increase in the value-added of services and per capita GDP...

Cryptocurrencies play a pivotal role in the financial market. Given this, we perform the asymmetric multifractal cross-correlation analysis to examine the weak form of the Efficient Market Hypotheses (EMH) considering two temporal scales. In the daily scale, we find that the pair Bitcoin–Litecoin displays the largest multifractal spectrum. While, i...

This paper examines churn prediction of customers in the banking sector using a unique customer-level dataset from a large Brazilian bank. Our main contribution is in exploring this rich dataset, which contains prior client behavior traits that enable us to document new insights into the main determinants predicting future client churn. We conduct...

The bursting of the US housing bubble in the second half of 2008 triggered an almost unprecedented systemic crisis in the world economy. The financial collapse quickly overflowed into the real economy and caused, among other effects, a sharp fall in the flow of world trade. Using export data from Brazilian municipalities, we show that the subprime...

We contribute to the literature on financial networks by presenting empirical evidence that the global shock of the COVID-19 pandemic caused changes in the forms and intensity of banking sector connections between different countries. These changes include providing the highest level of connectivity observed in the timeline initiated in 2005. We us...

The macroprudential policy mechanism of Time Deposits with Special Guarantee (TDSG) was introduced in Brazil after the 2008 global financial crisis to prevent a liquidity shock in the banking sector. The TDSG is a form of deposit insurance established to avoid bank runs and protect depositors in the event of bankruptcy of financial institutions. In...

We study a novel economic network (supply chain) comprised of wire transfers (electronic payment transactions) among the universe of firms in Brazil (6.2 million firms). We construct a directed and weighted network in which vertices represent cities and edges connote pairwise economic dependence between cities. Cities (vertices) represent the colle...

This paper studies the efficiency of Brazilian activity sectors. For that, we apply the Macroeconophysics Indicator of Economic Efficiency (MIEE) for each sector’s index of the daily closing price in the stock market. The MIEE quantifies efficiency considering permutation entropy and Fisher Information. We divide the indices time series into two pe...

The present study analyzes water supply and sewage services in the 95 largest Brazilian cities, using two techniques for analyzing the efficiency boundaries, DEA and SFA. We estimate the efficiency score between the years 2013–2018. The results show that private providers are more efficient than public providers in the water supply service. For the...

Smallholder farming is currently the most common farming structure worldwide, and it is essential for social, environmental, and economic development, especially in developing nations. This research sheds light on millions of family farmers in Brazil and provides an in-depth perspective on their technical efficiency. We employ the Stochastic Fronti...

In this paper, we analyze 26 Chinese sectoral indices and evaluate the effects of the crisis caused by COVID-19 on its efficiency. We calculated the degree of multifractality in the pre- and post-COVID-19 period and found that it increases, albeit unevenly, for the economic sectors. The results suggest that global crises can affect the efficiency o...

We study how financing non-traditional local activities, conceived here as a proxy for activity diversification, is associated with economic growth. We use municipality-level data from Brazil, a country with large geographical, social, and economic disparities observed across its more than 5500 municipalities. We find that finance to non-traditiona...

This article evaluates the effects of the crisis caused by the new Coronavirus (COVID-19) on the Chinese sectoral indices. Using the complexity-entropy plane methodology, we find that the COVID-19 crisis caused increased inefficiency in most of China’s equity sectors. We also find heterogeneous effects depending on the economic sector. Our results...

After the 2008-2009 financial crisis, there was an increase in prudential measures to limit banking and systemic risk in several countries. The empirical studies related to this topic have focused, in general, on assessing the effectiveness of such instruments. This article addresses the associated costs (adverse effects) of these prudential measur...

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal...

We run an experiment to test how consumers of banking services value stress tests performed by their banks. We query respondents about the extent to which they would be willing to trade profitability if banks conduct stress tests, maybe for greater bank financial stability. Our paper connects and innovates in the banking literature by providing emp...

The interbank financial networks literature has been gaining ground since the 2007–2008 global financial crisis. This paper contributes to the literature of interbank financial networks by summarizing its trends and patterns of published scientific papers using a bibliometric complex network approach. We also provide a citation likelihood analysis...

We contribute to the finance-growth nexus literature by showing that credit origin, bank ownership, type of credit, and bank type matter in economic growth. We use a unique dataset covering 5,555 cities in Brazil, with granular information on credit characteristics. We find that non-earmarked credit to the corporate sector is associated with munici...

We open the black box of the monetary policy transmission mechanism with a granular model that considers the balance-sheet composition and network relationships of each economic agent. Though there are several well-documented channels through which monetary policy operates, we focus on the overlooked trading book channel, which arises because of ad...

Call for papers The availability of large databases and significant improvements in computational power have been key determinants in the explosive increase of interest in machine learning. In this sense, machine-learning methods, such as neural networks and genetic algorithms, have been used as methodological tools to understand how complex adapt...

We use a controlled experiment to analyze the impact of watching different types of educational traffic campaign videos on overconfidence of undergraduate university students in Brazil. The videos have the same underlying traffic educational content but differ in the form of exhibition. We find that videos with shocking content (Australian school)...

We examine the high-frequency return and volatility of major cryptocurrencies and reveal that spillovers among them exist. Our analysis shows that return and volatility clustering structures are distinct among different cryptocurrencies, suggesting that return and volatility might have different spillover patterns. Further investigation via minimal...