# Wilfredo Leiva MaldonadoUniversity of São Paulo | USP · Departamento de Economia (FEA) (Sao Paulo)

Wilfredo Leiva Maldonado

PhD

## About

58

Publications

4,315

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187

Citations

Introduction

My current interests are: In microeconomics: Aggregative games, dynamics and applications. In macroeconomics: Global games and monetary economics. In mathematical economics: triangular arbitrage; dynamic programming.

Additional affiliations

Education

January 1991 - March 1995

## Publications

Publications (58)

Triangular arbitrage in the foreign exchange market of a group of countries exists whenever it is possible to make profit by buying and selling their currencies using the spot exchange rates. The absence of triangular arbitrage is characterized in the framework of the Aitchison geometry and illustrated with an application to the currencies of Brazi...

This study of square matrices with positive entries is motivated by a previous contribution on exchange rates matrices. The sample space of these matrices is endowed with a group operation, the componentwise product or Hadamard product. Also an inner product, identified with the ordinary inner product of the componentwise logarithm of the matrices,...

Triangular arbitrage in the foreign exchange market of a group of countries exists whenever it is possible to make profit by buying and selling their currencies using the spot exchange rates. Working in the framework of the Aitchison geometry, and using characterizations of the absence of triangular arbitrage, we present two applications to the cur...

In this article we propose a methodology for the calculation of an international reserves variation threshold that defines the lending decisions of international creditors to developing countries. If the change in net international reserves of the borrowing variation is above that of the threshold, the creditors are willing to lend more. Otherwise,...

In aggregative games individuals’ payoffs depend on players’ own contributions (or strategies) and on the aggregate contribution of other players. The replacement function, which defines the optimal contribution of a player in an aggregate contribution, is a convenient tool to analyze aggregative games. In this paper, the replacement function is us...

This paper proposes a dynamic model for the process of industry consolidation by sequences of mergers and acquisitions that create synergy gains to merging firms and may impose positive or negative externalities on the remaining firms in the industry. We allow firms to make acquisition offers that are conditional and unconditional on acceptances of...

We propose a refinement process of dynamic equilibria based on small random perturbations (SRPs) of the backward perfect foresight (bpf) equilibrium map in a class of one‐step, forward‐looking dynamic models. An equilibrium is selected if its stationary measure is the limit of the stationary measures associated with the processes generated by the S...

We provide some characterizations of the absence of triangular arbitrage in the spot exchange rates of a group of countries. When the matrix of exchange rates of the group does not fulfill the conditions given in those characterizations, we provide a measure of distance to the space of matrices of exchange rates that are triangular arbitrage‐free....

We test for the presence of four types of rational bubbles in the BRICS exchange rates
against the US dollar. For the fundamental value of the exchange rate we use two structural specifications: the pure PPP rule, and a modified PPP rule where PPP is adjusted for the interest rate differential between the country and the US. For the bubble dynamics...

Mergers and acquisitions (M&A) is currently one of the most interesting topics of analysis among academics and regulatory agencies since their effects have deep impacts on the economic growth and welfare of contemporary society. In particular, the relationship between the productivity of the target firm and that of the acquirer, as well as its inte...

Existence of triangular arbitrage (TA) in the spot exchange rates market means the possibility of achieving strictly positive benefit by buying and selling currencies of different countries. In this work we provide some characterizations of the absence of TA in the spot exchange rates of a group of countries. When the matrix of exchange rates (MER)...

This paper studies two aspects of the automobile insurance market in Brazil: first, it determines the degree of competition among insurance companies, and second, it estimates and analyzes the demand for automobile insurance. Most of the studies on the automobile insurance market in Brazil analyze the performance of the firms in this sector or pres...

Characterisation of no triangular arbitrage exchange rate matrices. Obtention of no triangular arbitrage by projection from general matrices of exchange rates.

Purpose
The purpose of this paper is to propose a new methodology to assess the economic and social impacts of policies to promote mass access to the internet in fixed broadband. The authors apply the methodology to the Brazilian broadband market.
Design/methodology/approach
For this purpose, municipal information concerning the provision of EIL...

Under the hypotheses of strong concavity of the aggregator function and concavity of the stochastic operator which define the objective function of the stochastic dynamic programming problem (SDPP), we prove that the policy function approximation of the problem is a Hölder continuous function with respect to the value function approximation. From t...

The existence of concentration in specific months for dividends distribution produces sensible irregularities in its times series. This may happen because some revenues distributed among shareholders are not included (like capital gains and profits). We propose a methodology to construct dividend indices including all the remunerations that shareho...

In a model of competitive equilibrium with restricted participation, we prove the existence of a circular competitive equilibrium (CCE). There is a unique CCE if all coefficients of relative risk aversion are bounded above by 1. The direction of trade is determined by the product of the marginal rates of substitution calculated at initial endowment...

We test the occurrence of periodically recurring rational bubbles in the exchange rate of each of the ‘BRICS’ countries currency relative to the US dollar. The forward exchange rate is used as a proxy for the expected exchange rate, different PPP based rules for the fundamental exchange rate are considered, and its initial value is endogenously det...

We analyze a static game of public good contributions where finitely many anonymous players have heterogeneous preferences about the public good and heterogeneous beliefs about the distribution of preferences. In the unique symmetric equilibrium, the only individuals who make positive contributions are those who most value the public good and who a...

Purpose
– The purpose of this paper is to model a credit card market where the retailers may charge differential prices depending on the instrument of payment used by the consumer. According to the research agenda proposed by Rochet and Wright (2010), the authors find conditions for the existence of differential prices equilibrium and analyze the e...

O presente trabalho tem o objetivo de analisar a estrutura concorrencial do mercado de redes de transporte de telecomunicações, considerando a oferta de Exploração Industrial de Linhas Dedicadas (EILD). Para tal, são utilizadas informações municipais referentes à oferta de EILD e à demanda por serviços de banda larga em cada município. Após a avali...

Using a discrete-time version of the Ramsey Vintage Capital Model we provide a characterization of the set of initial capital stocks compatible with a predefined scrapping time, given the rate of technical progress and the level of capital productivity. Each profile of initial capital stock in that set generates a complete infinite horizon feasible...

This paper presents a study of the impacts of changes in the mobile termination rate in Brazil using 2008 as the base year. For this we use an extension of the monopolistic competition model used by Wright, Thompson, and Renard (2007) allowing for the charge of interconnection fee also from calls originating on mobile networks and differentiated pr...

This paper tests the occurrence of rational bubbles in the exchange rate of Brazil, Russia, India, China and South Africa (the ‘BRICS’ countries group) against the US dollar. We consider bubbles of the periodically recurring variety, and assume that the fundamental value follows a modified PPP relation which takes into account interest rate differe...

Observações empíricas revelam a dependência inversa entre o risco país e a taxa de acúmulo de reservas internacionais no Brasil. A partir disto, este trabalho propõe um modelo teórico para explicar a relação entre o acúmulo de reservas internacionais e o fluxo de capital estrangeiro no país. Simulações numéricas com esse modelo mostram esse fato es...

We propose a model of periodically collapsing bubbles which extends the Van Norden (1996) model, and nests it, by considering a non-linear specification for the bubble size in the survival regime, and the endogenous determination of the level of the fundamental value of the stochastic process. They allow us to test for rationality in the formation...

Using the education level/wage distribution curve of the Brazilian States we define a dynamic programming problem to determine the optimal choice of education level of the parents in their descendants favor. As a proxy for the opportunity cost of education we use the public expenditure in education. The results show that low level educated workers...

In asymmetric information problems, agents with less information (principals or contractors) usually take as given the preferences of agents with more information (agents or contractees). Moreover, the distribution of characteristics of contractees is supposed to be invariant. In this article we consider a mixed framework of asymmetric information...

In this paper we provide a micro model of loans which the lender is a monopolistic bank and the borrower is a competitive consumer with consumption habits who may default on part of his debt. In this setting, we prove that the loan demand curve is kinked and therefore it is possible to find interest rate rigidity in equilibrium as well as asymmetri...

In this survey we describe the dynamics generated by expectation revisions in intertemporal economic models. Local uniqueness of equilibrium (like stationary states, cycles or sunspot equilibrium) is shown to be a necessary and sufficient condition to obtain stability for the dynamics of expectation revisions. For that reason, such equilibria are c...

We show that given a value function approximation V of a strongly concave stochastic dynamic programming problem (SDDP), the associated policy function approximation is Hölder continuous in V.Using this result, we obtain explicit error bounds for the approximations of the optimal policy function. The error bounds only depend on the primitive data o...

In this paper, we model foreign capital flow to Brazil as stemming from an investment decision whose risk depends on the expected rate of loss of foreign reserves. This motivates the estimation of an empirical relationship between these two variables that is valid for “normal” periods (when there is no foreign exchange crisis) which is used to calc...

In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements that borrowers have to fulfill. Firstly, we prove that any equilibrium in an economy with collateral requirements is also equilib...

This paper shows the existence of equilibrium and its non-triviality (i.e. there exist, in all periods, both trade and default in the security markets) in an overlapping generation model with incomplete markets. This result is obtained by assuming that agents in the economy exhibit two-sided altruism in the following way: each agent may leave a fin...

In this paper we describe the classical methods used to solve the Euler equations. Special attention is devoted to the iterative method based on a contraction mapping derived from these equations in Maldonado and Moreira (2003). We test the numerical robustness of this method when it is used in models with sensitiveness to initial conditions. Final...

Our work is based on a heterogenous agent shopping-time economy in which economic agents present distinct productivities in the production of the consumption good, and differentiated access to transacting assets. The purpose of the analysis is to investigate whether this setting can lead to a positive correlation between inflation and income inequa...

In this paper we model foreign capital flow to Brazil as stemming from an investment decision that whose risk depends on the expected rate of loss of foreign reserves. This motivates the estimation of an empirical relationship between these two variables that is valid for "normal" periods (when there is no foreign exchange crisis) which is used to...

A contractive method for computing stationary solutions of intertemporal equilibrium models is provided. The method is implemented using a contraction mapping derived from the first-order conditions. The deterministic dynamic programming problem is used to illustrate the method. Some numerical examples are performed.

The Brazilian exchange rate has suffered strong fluctuations in the last year. They resulted from the Argentina crises and the energetic crises which influenced expectations about the future value of this variable, however the fundamentals of the economy did not vary significantly. In this paper we use a regime switching regression model to test th...

In this paper we show that the approximation error of the optimal policy function in the stochastic dynamic programing problem using the policies defined by the Bellman contraction method is lower than a constant (which depends on the modulus of strong concavity of the one-period return function) times the square root of the value function approxim...

In this paper I provide necessary and sufficient conditions for the existence of Markovian sunspot equilibrium around a cycle or multiple steady states in models with lagged variables. These conditions are numerically tested in three endogenous growth models and it is shown the non-existence of these stochastic equilibria in a neighborhood of the c...

In this work I study the stability of the dynamics generated by adaptive learning processes in intertemporal economies with lagged variables. I prove that determinacy of the steady state is a necessary condition for the convergence of the learning dynamics and I show that the reciprocal is not true characterizing the economies where convergence hol...

In this paper we construct sunspot equilibria that arise from chaotic deterministic dynamics. These equilibria are stationary and have absolutely continuous stationary measures. We prove that they can be learned by a simple rule based on the histograms of past state variables. This work gives a theoretical justification for complex deterministic mo...

In this work I study the stability of the dynamics generated by adaptive learning processes in intertemporal economies with lagged variables. I prove that determinacy of the steady state is a necessary condition for the convergence of the learning dynamics and I show that the reciprocal is not true characterizing the economies where convergence hol...

In this paper I give a method for finding long-run-average policies in the undiscounted economic growth problem using approximations by finite horizons. Required hypothesis is the strong interiority of T-horizon solutions.

This paper presents a study of the impacts of changes in the mobile termination rate in Brazil using 2008 as the base year. For this we use an extension of the monopolistic competition model used by Wright et al (2007) allowing for the charge of interconnection fee also from calls originating on mobile networks and differentiated prices for on-net...

Our work is based on a simpli…ed heterogenous-agent shopping- time economy in which economic agents present distinct productivities in the production of the consumption good, and dierentiated access to transacting assets. The purpose of the model is to investigate whether, by focusing the analysis solely on endogenously determined shopping times, o...

The aim of this study is to investigate the impacts of technological innovation on employment growth. These impacts are separated according to the type of innovation - process or product innovation - due to possible different correlations between these types of innovation and employment growth. Also, it is verified if the presence of technological...