Pedro Mota

This paper inspects how risk is affected by news sign and size within - depreciation, appreciation, stability - distinct exchange rate trends, and by volatility model choice, taking on various asymmetric Generalized Autoregressive Conditional Heteroskedasticity models to daily Mozambique New Metical against South Africa Rand, MZN/ZAR, exchange rate over January 2010 - December 2014. Our results show that risk measurement
and asymmetry of shocks to volatility depend on exchange rate trend, being that estimating the full sample conceals the actual behavior, and model choice, specifically the degree of nonlinearity and persistence. In particular, we find that when positive/negative news type matches the sign of the exchange rate trend, risk increases by more. Interestingly, this means that in times of appreciation the good news turns out to be bad,
likely because they raise the fear of overvaluation, under monitoring in natural resource producers and exporting countries. The findings contribute to the growing concern on nonlinear economic policy design, exchange rate targeting and surely international trade and investment decisions, where an incorrect assessment exchange rate risk and asymmetry may lead to mispricing of assets, namely options, and eventual underestimation of
measures, as Value at Risk, relevant for Basel agreement.

We propose and study a simple model for microcredit using two sums, with a random number of terms, of identically distributed random variables, the number of terms being Poisson distributed; the first sum accounts for the payments { the payables{ made to the collective vault by the participants and the second sum, subtracted to the first, accounts for the loans received by the participants, the receivables.
Under a global independence hypothesis we define, by mean of moment generating functions, an easily
implementable condition for the sustainability of the collective vault. That is, if, for all the participants and at any time, on average, the sum of the loans is strictly less than the sum of the payments to the collective vault then the probability of the collective vault failing can be made arbitrarily small, provided the loans only start to be accepted after a sufficiently large delay. We present numerical illustrations of collective vaults for exponential and chi-squared distributed random terms. For the practical management of such a collective vault it may be advisable to have loan granting rules that destroy independence of the random terms. We present a first simulation study that shows the effect of such a breaking dependence loan granting rule on maintaining the stability of the collective vault.

The normality of the log-return of stock prices is often assumed by the market players in order to use some useful results, as for instance, the Black-Scholes formula for pricing European options. However, several studies regarding different indexes have shown that the normality assumption of the returns usually fails.
In this paper we analyse the normality assumption for intra-day and inter-day log-returns, comparing opening prices and/or closing prices for a large number of companies quoted in the Nasdaq Composite index. We use the Pearson's Chi-Square, Kolmogorov-Smirnov, Anderson-Darling, Shapiro-Wilks and Jarque-Bera goodness-of-fit tests to study the normality assumption.
We find that the failure rate in the normality assumption for the log-return of stock prices is not the same for intra-day and inter-day prices, is somewhat test dependent and strongly dependent on some extreme price observations.
To the best of our knowledge, this is the first study on the normality assumption for the log-return of stock prices dealing simultaneously with a large number of companies and normality tests, and at the same time considering various scenarios of intra-day, inter-day prices and data trimming.

We study the exchange rate behavior, mainly as to the presence of asymmetry in the shocks to conditional variance. Particularly, we investigate if the presence of that asymmetric response is specific to a marked behavior of the currency, appreciation/Dutch disease/depreciation, and if it appears masked when taking long non-homogeneous periods. Taking Mozambique Metical bilateral exchange rate against South Africa Rand, a major trading partner, we identify specific movements in defined sub-periods, where the most recent has the Dutch disease under scrutiny. Our results point out that asymmetry emerges especially when the currency is depreciating, while it is masked when considering larger periods that combine differences in currency behavior.