Theses

Browse the categories to access the content of academic, scientific and opinion publications of the professors and students of the Department of Economics PUC-Rio.

Essays on Trade Policy and Labor Market Effects of the China Trade Shock

Esta tese é composta por três capítulos que enfocam o crescimento da China como um experimento quasi-natural de forma a avaliar os efeitos de choques de comércio exterior sobre a economia política da política comercial e sobre a dinâmica do mercado de trabalho e desigualdade de salários no Brasil. No primeiro capítulo, utilizamos evidência sobre diferenciais de exposição a esse choque da China entre mercados de trabalho locais para estimar seu efeito em indicadores do mercado de trabalho brasileiro, em particular em medidas de desigualdade de rendimentos. Primeiro, encontramos que o choque de demanda por exportações diminuiu a desigualdade de salários no setor de bens comercializáveis, sobretudo por meio do componente entre firmas da dispersão salarial, e apresentamos evidências de que essa redução parece causada por uma mudança no comportamento das firmas, e pode estar relacionado com uma redução no prêmio salarial de firmas exportadoras. Em seguida, estimamos um modelo baseado em Helpman et al. (2016), e exploramos diferenças setoriais no choque de demanda externa para realizar exercícios contrafactuais que corroboram a hipótese de que esse choque pode explicar parte da redução agregada no prêmio salarial de firmas exportadoras e na dispersão de salários. No segundo capítulo, desenvolvemos uma versão do modelo dinâmico de Caliendo et al. (2019) de modo a estimar os efeitos do duplo choque da China na dinâmica setorial do emprego no Brasil. Mostramos que ambos os choques levam à contração da maioria dos setores de manufaturas, e expansão da maioria dos setores de serviços, mas os efeitos de equilíbrio geral dos choques são modestos, especialmente quando comparados a um contrafactual alternativo no qual a produtividade brasileira nos setores primários aumenta. Estendemos o modelo para incluir dois tipos de trabalho, de alta e baixa qualificação; resultados apontam para efeitos distributivos pequenos, mas consistentes com resultados em forma reduzida obtidos no primeiro capítulo. No capítulo final, construímos uma base de dados inédita sobre características de associações setoriais brasileiras, com o intuito de investigar se os setores com maior capacidade de organização política são capazes de obter maior proteção contra competidores estrangeiros. Usamos variação na penetração de importações como uma medida da necessidade de proteção comercial, e para lidar com a endogeneidade nessa medida usamos um instrumento baseado no choque de importações da China. A evidência sugere que setores com maiores sindicatos patronais são capazes de obter maior proteção comercial, em particular por meio de licenciamento não-automático; as estimativas sugerem que esse efeito é mais alto quando a penetração de importações aumenta mais intensamente, o que é interpretado como um aumento na necessidade de medidas de proteção.

Flavio Lyrio Carneiro.


Orientador: Claudio Ferraz.

Co-orientador: Gabriel Lopes de Ulyssea.

Banca: Gustavo Gonzaga. Thierry Verdier. Emanuel Augusto Rodrigues Ornelas. João Paulo Cordeiro de Noronha Pessoa.

Essays in Econometrics: Online Learning in High-Dimensional Contexts and Treatment Effects with Complex and Unknown Assignment Rules

Sequential learning problems are common in several fields of research and practical applications. Examples include dynamic pricing and assortment, design of auctions and incentives and permeate a large number of sequential treatment experiments. In this essay, we extend one of the most popular learning solutions, the t-greedy heuristics, to high-dimensional contexts considering a conservative directive. We do this by allocating part of the time the original rule uses to adopt completely new actions to a more focused search in a restrictive set of promising actions. The resulting rule might be useful for practical applications that still values surprises, although at a decreasing rate, while also has restrictions on the adoption of unusual actions. With high probability, we find reasonable bounds for the cumulative regret of a conservative high-dimensional decaying t-greedy rule. Also, we provide a lower bound for the cardinality of the set of viable actions that implies in an improved regret bound for the conservative version when compared to its non-conservative counterpart. Additionally, we show that end-users have sufficient flexibility when establishing how much safety they want, since it can be tuned without impacting theoretical properties. We illustrate our proposal both in a simulation exercise and using a real dataset. The second essay studies deterministic treatment effects when the assignment rule is both more complex than traditional ones and unknown to the public perhaps, among many possible causes, due to ethical reasons, to avoid data manipulation or unnecessary competition. More specifically, sticking to the well-known sharp RDD methodology, we circumvent the lack of knowledge of true cutoffs by employing a forest of classification trees which also uses sequential learning, as in the last essay, to guarantee that, asymptotically, the true unknown assignment rule is correctly identified. The tree structure also turns out to be suitable if the program’s rule is more sophisticated than traditional univariate ones. Motivated by real world examples, we show in this essay that, with high probability and based on reasonable assumptions, it is possible to consistently estimate treatment effects under this setup. For practical implementation we propose an algorithm that not only sheds light on the previously unknown assignment rule but also is capable to robustly estimate treatment effects regarding different specifications imputed by end-users. Moreover, we exemplify the benefits of our methodology by employing it on part of the Chilean P900 school assistance program, which proves to be suitable for our framework.

Claudio Cardoso Flores.


Orientador: Marcelo Medeiros.

Banca: Bruno Ferman. Eduardo Fonseca Mendes. Marcelo Fernandes. Ricardo Pereira Masini. Pedro Carvalho Loureiro de Souza.

Essays on Empirical Finance

This thesis is composed by two chapters. The first chapter shows that the presence of lead-lag effects in the US equity market is a broader phenomenon than previously found in the literature and is associated with the existence of a strong one-day factor momentum. Lead-lag effects are present whenever stocks are exposed to the same common risk factor, holding for almost 100 factors on a daily frequency. This phenomenon is not explained by the previously reported industry, large-cap to small-cap and other lead-lag effects. One-day factor momentum is directly related to the existence of factor-based stock cross-autocovariance and is present both in the cross-section and the time series. One-day factor momentum is profitable after trading costs and does not present crashes. One-month factor momentum is subsumed by one-day factor momentum with negative alpha in spanning tests. The relevance of the one-day effect is confirmed with machine learning techniques. Short-term reversals in stocks also become stronger after we control for this factor-based cross-autocovariance pattern. The second chapter shows how factor momentum impacts the performance of standard short-term single-equity reversal strategies in the US equity market. Significant benefits in performance can be achieved if the effects of factor momentum is considered in the construction of reversal strategies. Standard short-term reversal strategies have a negative exposure to factor momentum since they sell winner stocks that on average are more exposed to the winner factors and buy loser stocks that on average are more exposed to loser factors. The best way to neutralize this effect that drags down short-term reversal performance is to hedge stocks exposures simultaneously to a very large set of factors. For instance, hedging only with the 3 Fama-French factors does not eliminate the exposure to factor momentum. Sorting stocks using residual returns is not as efficient as sorting on total returns as it does not completely neutralize the negative exposure to factor momentum. We propose a fully-hedged reversal strategy that, differently from conventional short-term reversal strategies, is profitable after trading costs, that do not present crashes, that has Sharpe ratio 2.5 times higher than the conventional reversal strategies and that is profitable even if we restrict our sample to only large-cap stocks.

Conrado de Godoy Garcia.


Orientador: Marcelo Medeiros.

Co-orientador: Ruy Monteiro Ribeiro.

Banca: Eduardo Zilberman. Márcio Garcia. Marcelo Fernandes. Pedro Alberto Chauffaille Saffi. Bernard Herskovic.

Essays on Education: Subsidies to Higher Education, Major Choice, and the Impact of Water Scarcity

This doctoral thesis, is comprised of three chapters. In the first chapter, we explore a discontinuity in eligibility for financial aid for private higher education in Brazil to investigate: (i) if students in the lower end of the ability distribution change their behavior in response to a policy designed to subsidize access to private higher education, and (ii) how students react when they are given the chance to choose between public tuition-free institutions and subsidized access to private higher education. We show that eligibility for financial aid increases students’ likelihood of enrolling and persisting in higher education. We also find that eligible students are less likely to enroll in public tuition-free institutions, with no clear impact on the choice of quality at the program level. In the second chapter, we develop a structural discrete choice model of demand to investigate the determinants of major choice. We use this model and the expansion of a government-funded student credit program in Brazil to evaluate how the availability of credit impacts major choice when — as in Brazil — tuition varies at the major level. We find that tuition and expected labor market returns are the main factors determining students’ choice between different majors.We also find that, when student credit is available, students — especially lower income — are less sensitive to price variations at the major level. In the final chapter, we investigate whether water shortages caused by an extreme climate event impact educational performance. We answer this question exploring the consequences of a water rationing policy that affected some neighborhoods in Brazil’s Distrito Federal. Comparing the academic performance of students enrolled in schools located in neighborhoods affected by the rationing against the performance of students enrolled in non-affected neighborhoods, we find that water rationing has a negative and significant impact on students’ performance. In particular, we show that the impact is significantly stronger for students enrolled in schools with poor infrastructure.

Isabela Ferreira Duarte.


Orientador: Juliano Assunção.

Banca: Claudio Ferraz. Gustavo Gonzaga. Cecilia Machado. Michela Carlana.

The Historical Origins of Development: Railways, Agrarian Elites, and Economic Growth in Brazil

This dissertation explores the impact of transportation infrastructure on economic development and the effects of agrarian elites’ political power on investments in education. The first chapter documents the impact of the Brazilian railway network on structural transformation between the late nineteenth and middle twentieth century. We exploit variation induced by geographic location, where municipalities near the least-cost routes were more likely to be connected to railway system, to identify the causal effects of railroads on structural transformation. We show that the expansion of the transportation infrastructure shifts the workers from agriculture to manufacturing. We provide evidence that market integration and the adoption of new technologies by manufacturing firms were two important mechanisms that explain the change in the occupational structure of the economy. The second chapter explores the persistence of the impact of Brazil’s railway network on long-run economic development between 1950 and 2010. We exploit variation induced by geographic location, where municipalities near the least-cost routes were more likely to be connected to railway system, to identify the causal effects of railroads on economic activity. We show that, despite the decline of the railway network post-1950s, the effect on economic development persisted. Our findings suggest that agglomeration and urbanization were key drivers of economic activity persistence. In the third chapter, we study the relationship between the political power of agrarian elites and the spread of mass schooling in the early 20th century in Brazil. We use a novel dataset on the occupational structure of the voting elites in 1905 and historical censuses to test whether places, where more voters belonged to the agriculture elite, invested less in schooling. We find that municipalities with a higher share of agriculture voters have a lower literacy rate in 1920 and these effects persist until the 1970s. In the long-run, municipalities that had a higher share of agriculture voters have fewer years of schooling and lower income per capita. We provide evidence that the supply of educational inputs is the main mechanism that explains the long-term persistence.

Pedro Américo de Almeida Ferreira.


Orientador: Claudio Ferraz.

Banca: Juliano Assunção. Renato Perim Colistete. William Roderick Summerhill. Leonardo Monteiro Monasterio.

Essays on Empirical Finance

The thesis is composed of two papers on empirical finance. The first paper focuses on FX markets. It constructs measures of term structure slope changes for the US and other G10 countries using short-term interest futures at different horizons. These changes in term structure slopes have immediate impact on currency returns but also a strong delayed effect over the following weeks, implying that currencies are predictable. The paper presents strong evidence of out-of-sample short-term predictability for both individual currencies and currency portfolios. These findings represent empirical evidence of delayed currency market reaction to information in interest rates markets. The second paper focuses on equity returns in the US.  It proposes a novel forecasting measure for aggregate market returns that solely uses cross-sectional information on CAPM betas simple dispersion measures. The latent factor structure of portfolio or individual stock betas has strong predictive power both in and out-of-sample, and are robust to different estimation windows. Unlike most measures in the literature, it is not a price or valuation-based ratio. This novel measures also vary with the business cycle and correlate with other commonly used forecasting variable such as dividend-to-price or consumption-to-wealth ratios, but provide explanatory power above and beyond these standard predictors.

Pedro Henrique Rosado de Castro.


Orientador: Ruy Monteiro Ribeiro.

Banca: Carlos Viana de Carvalho. Marcelo Medeiros. Felipe Iachan. Marco Antonio Cesar Bonomo.

Three essays in macroeconomics

This thesis is comprised of three essays. The first two investigate the relationship between households per capita income and sectoral expenditure shares both in times series and in cross-section in the postwar US. The first uses a partial approach to estimate the rise of consumption (income) dispersion and income effects in the US from 1980 to 2010. We show that income effects are heterogeneous across households grouped by income quintiles and then consumption dispersion correlates the two main driving forces of structural change (price and income effects) in accounting for the magnitude of structural change in the shares of consumption expenditure in the US over this period. The second extends a canonical Bewley-Aiyagari model in continuous time embedded with a two-sector environment to depict quantitatively three empirical regularities in the postwar US (relative price of goods falls and expenditure shares of goods falls systematically with per capita income, both in times series and in cross-section) without departing from benchmark Stone- Geary preferences. We assess the importance of changes in income and relative prices for structural change in the shares of consumption expenditure in the postwar US and conclude they are nearly equivalent forces. We reinforce that reconciling these three main empirical regularities in the postwar US calls for a growth theory that accommodates long-run demand and supply drivers of structural change. Finally, the third essay uses a unique panel dataset with individual-level administrative records of credit transactions, program benefits, individual demographics and features of labor contracts to study how consumers respond to a liquidity shock arising from withdrawals releases from inactive accounts of the Guarantee Fund for Time of Service (FGTS) in Brazil in 2017. Using a difference-in-differences identification design, we find consumption rose and total debt declined after the announcement: during up to twelve subsequent months, for each $1 of program benefit, consumers on average increased consumption spending by $ 0.53 - 25 percent of which occurs during the announcement window - and total debt declined by $0.07, specially in payroll debt. Consumption response occurred mostly via credit card spending, but evidence of debt-financed durables was also found. Indebted consumers used short-term liquidity in debt modalities (overdraft debt and credit card debt) in addition to credit card spending to smooth consumption. Constrained consumers, measured as young or old, showed stronger consumption responses.

Andre de Queiroz Brunelli.


Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Cezar Augusto Ramos Santos. Felipe Iachan. Marco Antonio Cesar Bonomo.

Essays on Negative Interest Rates and GDP Forecasting

The thesis is composed of three essays. The first designs a DSGE model based on Gertler and Karadi (2011) to study the effects of the adoption of negative interest rate policies along with liquidity intervention, in a scenario where the ZLB is transferred to private banks instead of central banks. We show that, during a recession, if banks do not pass along negative rates to depositors in an environment of heavy liquidity injection by the CB, the recovery is slower. The second essay uses the same model in a simpler setting to study how the adoption of central bank digital currencies (CBDCs) might reestablish the traditional monetary policy transmission under negative interest rates, and study the responses of the economy under such a regime to monetary policy shocks. The third essay tries different models for the forecast of medium-term output growth. We use new methods such as adaLASSO and Random Forest, along with a very large data set of regressors, in order to improve accuracy over traditional model long term forecasting such as autoregressions and DSGE models, which have a very good track record. We show that Random Forest is able to better predict output growth over que two year horizon, but has mixed results in forecasting trend GDP growth and the output gap.

Fernanda Magalhães Rumenos Guardado.


Orientador: Tiago Couto Berriel.

Co-orientador: Marcelo Medeiros.

Banca: Carlos Viana de Carvalho. Eduardo Henrique de Mello Motta Loyo. Eduardo Zilberman. Felipe Iachan.

Essays on Labor Markets

This thesis consists of three essays on labor markets. The first chapter estimates the effect of the change in the Advance Notice Law in 2011 in Brazil. The new law made unjustified (without cause) dismissals more expensive for firms, and the cost gradually increased with tenure. Advance notice is part of the framework of employment protection legislation and is intended to preserve job contracts that, although undesirable in the short term, would be viable in the long term. However, results point to an increase in layoffs in the most affected firms and a higher turnover environment. These results are especially unfavorable considering the already high turnover rate in Brazil. I argue with a theoretical model that the design of the new law is consistent with the results because it increased not only the cost of dismissal but also the expected cost of continuity of employment. The second chapter evaluates the effects of the expansion of the ethanol mills in Mato Grosso do Sul (MS), from labor reallocation perspective. Tracking workers over the years, the analysis indicated mechanisms that enabled labor adjustment to the new labor demands generated by this large investment. I explore the reallocation across sectors, occupations, and regions. The third chapter estimates the impact of the modernization of agriculture (from the innovations of the 1970s) in Central Brazil, considering the effects on the labor force and investment decisions in education. The analysis shows that this event affected labor demand in the region, generating gains for the adult population. In this way, incentives have also changed for young people to make choices between working, with immediate job gains, and investing in human capital, and thus expect potentially higher gains in the future.

Lívia Gouvêa Gomes.


Orientador: Gustavo Gonzaga.

Co-orientador: Juliano Assunção.

Banca: Arthur Amorim Bragança. Carlos Henrique Corseuil. Claudio Ferraz. Francisco Junqueira Moreira da Costa.

Essays on State Effectiveness: Information, Tax Collection and Hierarchies

This thesis consists of three chapters. In the first one we investigate whether the provision of information about research findings regarding effectiveness of policies cause political leaders to enact policy change. To do so, we use two types of experiments to measure elected heads of government: (1) demand for research and (2) policy responses to supply of research. We find that policymakers are willing to pay relatively high amounts to learn the results of impact evaluations, update their posterior over the expected impact of a policy in the “correct” direction if informed of research findings, and pay more for types of studies that subsequently affect their beliefs more. Correspondingly, providing information about research findings indicating positive, cost-effective impact of a policy increases the probability that mayors implement the policy in their own municipality by 10 percentage points. In the second chapter, we study the role that revenue shocks play on government investment in fiscal capacity. Using a differencein-difference event-study design, we analyze local budget adjustments to an exogenous revenue shock in formula transfers to Brazilian municipalities. We find that positive revenue shocks translate into additional spending, while the adjustment after a negative shock depends on local characteristics. On average, municipalities increase tax collection, but this effect disappears in jurisdictions with low-educated mayors, which rather tend to cut expenditures. We show that hiring tax related workers is the main mechanism behind the increase in tax revenues. In the third chapter, we follow the theory of knowledge-based hierarchies to study the internal organization of municipal governments in Brazil. Using detailed matched employer-employee data, we construct bureaucrats’ hierarchies within municipalities and show that the empirical patterns match the theoretical predictions. We then present suggestive evidence linking the organization structure in which bureaucrats operate and public sector productivity

 

Juan Francisco Santini.


Orientador: Claudio Ferraz.

Banca: Bruno Ferman. Gustavo Gonzaga. Juliano Assunção. Rudi Rocha.

Urban Mobility, Inequality and Welfare in Developing Countries: Evidence from 2016 Olympics in Rio de Janeiro

This dissertation assesses the aggregate and distributional effects of the recent transport infrastructure expansion in Rio de Janeiro (Brazil) triggered by 2014 Football World Cup and 2016 Olympic Games. In preparation for the sports events, the city invested more than 4.5 billion dollars in its public transport system, which included the extension of a subway line, the construction of a light-rail system and two BRT corridors that stretch  approximately 108 kilometers. Chapter 1 provides a  escription of new transport infrastructure and estimates its potential effects on commuting times. I compute travel times in the absence of the investments using random forest regression methodology and data from 2011 and 2018 travel times. Estimates suggest that the new infrastructure significantly reduced travel times. The remaining chapters explore two different methodologies to account for the impacts of the transport investments. Chapter 2 explores the timing of announcement and inauguration of new BRT and subway stations in Rio  de Janeiro City to investigate the effects of the expansion of transport  infrastructure on growth and reorganization of economic activity. Firm’s addresses were geocoded to construct a panel data set  hat contains information on number of firms and jobs per 100 meter’s grid cell from 2006 to 2016. Applying a difference-in-differences methodology on this novel data set, I estimate the heterogeneous effects of the transport expansion according to workers’ characteristics and industry. All effects are obtained for eight different distance rings ranging from 250m to 2km. Chapter 3 aims to measure the effects of transportation infrastructure on the city’s wages, productivity and welfare, investigating heterogeneous impacts for high and low skilled workers. To answer these questions, I construct an extensive database for the Rio de Janeiro Metropolitan Area that combines information on residence and employment for each skill group inside each city block. In order to measure general equilibrium effects, I develop a model ofinternal city structure that features heterogeneous workers and production externalities across worker’s skill levels. I estimate structural parameters using generalized method of moments. Finally, I perform contrafactual exercises to assess the impacts of the recent transport infrastructure expansion in Rio de Janeiro using 2018 travel times collected from Google Maps API and travel times computed in the first chapter. Results show that  connecting new areas to the central business district results in lower residential concentration and higher employment  concentration. The improvement of transportation services allows citizens to work in high productivity locations and live in high amenity locations, which leads to higher overall welfare. Nevertheless, benefits are not evenly split. High-skilled workers benefit twice since they have higher benefits from agglomeration and, consequently, they are able to pay for higher residential prices from lower commuting costs. Moreover, areas in the vicinity of the new transport stations saw an increase in economic activity. The bulk of the impact is characterized by small firms, from the commerce and service sectors. Additionally, most of the workforce employed by these firms are low-skilled. 

Maína Celidônio de Campos.


Orientador: Gabriel Ulyssea.

Co-orientador: Juliano Assunção.

Banca: João Paulo Cordeiro de Noronha Pessoa. Daniel Ferreira Pereira Gonçalves da Mata. Ciro Biderman.

History shapes development: Culture, institutions and regional disparities in India

This thesis consists of three papers examining the impact of history on long-run development processes through the channels of institution and culture. The first paper studies land revenue institutions in colonial India and identifies a multi-channel mechanism through which variations in that institution have long-run consequences for agricultural investment and productivity. The second paper examines the relationship between  various dimensions of cultural diversity and growth in Indian districts using an instrumental variables strategy. These results find the strongest impacts for religious diversity. The significant impact of religious diversity in increasing productivity and reducing poverty may be due to increased emphasis on secular institutions in the face of religious competition. The last paper studies the formation of cultural values as a channel through which development outcomes may be impacted by initial conditions. We find that inherent geographical traits render certain regions more likely to be agricultural, male-dominated societies with a lower propensity to worship female deities, which in turn leads to worse female literacy outcomes.

Aparajita Das.


Orientador: Juliano Assunção.

Banca: Arthur Amorim Bragança. Claudio Ferraz. Rudi Rocha. Lakshmi Iyer.

Expectations and the coordination of monetary and fiscal policies

This thesis discusses the role of agents’ expectations regarding the conduction of monetary and fiscal policies in determining policy outcomes, economic dynamics and the volatilities of macroeconomic variables. The first Chapter shows that accounting for agents’ expectations of a possible regime change has critical effects in the responses of macroeconomic variables to shocks, even if this switch does not materialize itself along the path observed after the shock. Recognizing the possibility of regime switches also have important consequences for the volatilities of endogenous variables, which are higher than those obtained in the linear model and very dependent on the policy parameters chosen by monetary and fiscal authorities in each regime. In the second Chapter, I discuss the role of expectations in determining the depth of a crisis when the economy hits the zero lower bound on nominal interest rates. I show that when analysing the impact of a fiscal stimulus during a zero interest rate episode, there is more than just short-run multipliers. To have larger positive effects on output and inflation, monetary and fiscal policies should last longer than the duration of the shock and be coordinated in their actions. The third Chapter presents a thoughtful evaluation of a fiscal stimulus in terms of the implied welfare losses making clear that it should account not only for the effects of policies on short-run output and inflation, but also for the present discounted value of output and inflation in future periods as well. It also analyses how to obtain the optimal level for the nominal interest rate once the economy gets out of the crisis state, if the monetary authority wants to use the expectations channel to undermine the depth of the crisis.

Cyntia Freitas Azevedo.


Orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Eduardo Henrique de Mello Motta Loyo. Eduardo Zilberman. Andre Minella.

Essays on Monetary and Fiscal Policy

Esta tese é composta por 3 capítulos. No primeiro capítulo mostro que quando um banco central não é totalmente apoiado financeiramente pelo  tesouro e enfrenta uma restrição de solvência, um aumento no tamanho ou uma mudança na composição de seu balanço pode servir como um mecanismo de compromisso em um cenário de armadilha de liquidez. Em particular, quando a taxa de juros de curto prazo está em zero, operações de mercado aberto do banco central que envolvam compras de títulos de longo prazo podem ajudar a mitigar a deflação e recessão sob um equilíbrio de política discricionária. Usando um modelo simples com produto exógeno, mostramos que uma mudança no balanço do banco central, que aumenta seu tamanho e duração, incentiva o banco central a manter as  taxas de juros baixas no futuro, a fim de evitar perdas e satisfazer a restrição de solvência, aproximando-se de sua política ótima de commitment. No segundo capítulo da tese, eu testo a validade do novo mecanismo desenvolvido no capítulo 1, incorporando um banco central financeiramente independente em um modelo DSGE de média escala baseado em Smets  e Wouters (2007), e calibrando-o para replicar principais características da expansão do tamanho e composição do balanço do Federal Reserve no período pós-2008. Eu observo que os programas QE 2 e 3 geraram efeitos positivos na dinâmica da inflação, mas impacto modesto no hiato do produto. O terceiro capítulo da tese avalia as consequências em termos de bem-estar de regras fiscais simples em um modelo de um pequeno país exportador de commodities com uma parcela da população sem acesso ao mercado financeiro, onde a política fiscal assume a forma de transferências. Uma constatação principal é que as regras orçamentárias equilibradas para as receitas de commodities geralmente superam as regras fiscais mais sofisticadas, em que as receitas de commodities são salvas em um Fundo de Riqueza Soberana. Como os choques nos preços das commodities são  tipicamente altamente persistentes, a renda atual das famílias está próxima de sua renda permanente, tornando as regras orçamentárias equilibradas próximas do ideal. 

Arthur Galego Mendes.


Orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Eduardo Henrique de Mello Motta Loyo. Márcio Garcia. Bernardo Vasconcellos Guimarães. Augusto Cesar Pinheiro da Silva.

Essays on female labor supply

This thesis is comprised of three chapters. In the first two I analyze how fertility decisions and the presence of young children in the household affect the labor supply of women on the intensive margin and their labor market allocation across different types of work such as formal, informal and self-employment. To do so, I use Brazilian data, motivated by the relative rigidity of the labor legislation in Brazil, the high prevalence of informal work and the scarcity of part-time jobs in the formal sector. In the first chapter I specify a reduced-form, dynamic discrete choice model of sequential labor supply decisions in two margins, labor force participation and work in the formal sector. I use longitudinal household survey data representative of the Brazilian population for the years 2012- 2017 to estimate the model. The results show that, among low-education women, observed fertility is endogenous with respect to the decision to work in the formal sector, and that the presence of children in the household has a significant negative effect on the probability of having a formal job conditional on labor force participation. No such evidence is found for college-educated women. In light of these results, in the following chapter I develop an estimable structural model of life-cycle labor supply and fertility decisions and estimate it using data for the years 2002-2015. I then perform counterfactuals on the estimated model in order to isolate the effect of fertility on female labor market informality and to show the partial equilibrium effects of increasing the availability of part-time work in the formal sector and of increasing the duration of maternity leave. In the third chapter, I present a new approach  to handle the “initial conditions problem” in dynamic binary choice models with individual unobserved heterogeneity. I assess the performance of my method relative to existing approaches using a set of simulation experiments and show that it displays relatively better precision and only slightly worse accuracy.

Fernando Gomes Mattar.


Orientador: Gabriel Ulyssea.

Banca: Cecilia Machado. Gustavo Gonzaga. Leonardo Rezende. Renata del Tedesco Narita.

Firm dynamics in Brazil: trade shocks, resource misallocation and life cycle growth

This thesis consists of three essays on firm dynamics. The first essay evaluates the effects of supply and demand shocks on firm dynamics and selection in Brazil. We explore the fact that China’s recent growth has led not only to an increase in import competition, but also to higher export demand for commodities, which is especially relevant in developing countries. We find that firms facing greater competition from Chinese imports suffer from an increase in exit probability, while firms in industries benefiting from increased export demand have lower probability of exit. In both cases, these effects are concentrated among smaller firms. In the second article, we describe the relationship between energy misallocation and resource misallocation across manufacturing industries in Brazil, and quantify the extent to which distortions affecting energy use result in output losses at the aggregate level. We find that these two measures of misallocation are positively related across industries, which suggests that energy is an important component of resource allocation efficiency. We show that reallocating resources between firms would result in substantial aggregate output gains. However, capital distortions account for most of the potential gains in manufacturing from reallocating resources between firms. The third essay compares firm life cycle dynamics in manufacturing band services, and finds that life-cycle growth is slower for service firms, even when controlling for initial size. We show that this result arises because of the selection pattern and weaker relationship between productivity and size in service industries. Finally, we assess the role of two potential explanations  for these results: age-related distortions and monitoring costs.

Sara Brolhato de Oliveira.


Orientador: Juliano Assunção.

Banca: Claudio Ferraz. Fábio Miessi Sanches. Gabriel Ulyssea. Naercio Menezes. Francisco Junqueira Moreira da Costa.

Forest Wars: A Trilogy on Combating Deforestation in the Brazilian Amazon

This dissertation assesses policy effects of conservation efforts adopted within the scope of the federal action plan to combat Amazon deforestation in Brazil. Chapter 1 provides a description of key policy changes and surveys the associated effectiveness literature. It finds evidence that supports the action plan’s efficacy in reducing aggregate deforestation levels, but notes that indirect impacts of conservation policies have received little attention.

The remaining chapters explore direct and indirect impacts of action plan policies using a georeferenced ten-year panel dataset to account for spatial dynamics. Chapter 2 tests whether legal territorial protection grants actual protection against advancing deforestation. Using a measure of neighboring clearing activity to capture local deforestation risk, the analysis compares forest clearing outcomes in unprotected and protected territory under equivalent deforestation pressures. The empirical strategy draws on the dataset’s raster structure to mitigate concerns of potentially confounding unobservables via the use of raster cell fixed effects. Results document protection’s efficacy in a high-risk context, with significantly less forest being cleared in protected cells than in unprotected ones. Yet, although protected territory effectively shields vegetation under its domain from advancing deforestation, it appears to deflect clearings to unprotected areas. Protection therefore affects regional forest clearing dynamics, but not the overall level of deforestation. Chapter 3 investigates whether changes in tropical regeneration constituted a spillover effect from law enforcement targeting forest loss. Secondary vegetation was vulnerable during the first decade of the action plan, which neither promoted tropical regeneration nor sought to conserve existing secondary vegetation. Moreover, regeneration remained undetected in satellite-based forest monitoring systems. Still, during this period, the extent of Amazon secondary vegetation increased by nearly 7 million hectares. The final part of this dissertation examines whether law enforcement contributed to this growth, albeit unintentionally. The empirical strategy uses a ten-year cross-sectional difference in observed regeneration outcomes to address the intrinsically time-consuming nature of this phenomenon. Results are shown to be robust to the inclusion of a host of raster cell-level controls, mitigating concerns about omitted variable bias. 

Findings indicate that the intensity of enforcement in a location’s close surroundings is associated with both increased probability of secondary vegetation expansion and increased area of secondary vegetation in that location. This lends support to the hypothesis that environmental offenders, once faced with a higher perceived cost of engaging in illegal deforestation, abandoned the area they were operating in and thereby allowed a natural process of forest regrowth to occur. The spillover effect of enforcement on regeneration appears largest in places that have undergone neither too much nor too little deforestation: in the former, forest clearings and non-forest land use are probably more consolidated, and regrowth is therefore less likely; in the latter, there is still relatively little area for the forest to grow back in.

Counterfactual exercises shed light on the magnitude of this effect. An enhanced satellite-based monitoring system for targeting enforcement would have resulted in nearly 300 thousand additional hectares of secondary vegetation.

 

Clarissa Costalonga e Gandour.


Orientador: Juliano Assunção.

Banca: Alexander Pfaff. Carlos Augusto Klink. Eduardo Augusto de Souza-Rodrigues. Francisco Junqueira Moreira da Costa.

Essays on Monetary Economics and Banking

This thesis is composed of three papers. The first one studies the relation between monetary policy power and the availability of earmarked loans. To that end, we estimate the responses of sectoral macroeconomic variables to monetary policy shocks identified through sign and equality restrictions in a factor-augmented VAR (FAVAR). We find that monetary policy loses power in sectors with a larger share of earmarked loans among its bank debt. The second paper proposes the introduction of new restrictions to identify monetary policy shocks in SVARs. In particular, besides standard sign restrictions on interest rates and inflation, we propose to add as an identification restriction the inability of monetary policy to have real effects ten years after the shock. This paper presents evidence of the model consistency of this neutrality restriction both for the canonical 3- equation new keynesian model and the Smets and Wouters (2007) model. In a simple empirical application, this paper shows that this restriction may be important to recover real effects of monetary policy. The third paper shows that foreign banks can mitigate informational barriers vis-a-vis private domestic banks by observing their peers’ behavior. Conditional on a loan application being filed by a SME firm, we find that the existence of past loans of this firm with private domestic banks constitute a more important predictor that a loan will be granted by foreign banks in comparison to private domestic banks. Our results are compatible with the view that the higher ability of private domestic banks to access informationally opaque business credit risks makes past loans with these banks a more valuable signal for foreign lenders

Bruno Vinicius Sanches Perdigão.


Orientador: Carlos Viana de Carvalho.

Banca: Diogo Abry Guillén. João Manoel Pinho de Mello. Marcelo Medeiros. Marco Bonomo.

Essays on macroeconomics and monetary policy

This thesis is comprised of three articles. The first two investigate the relationship between monetary policy power and the prevalence of governmental credit (featuring interest rates that are insensitive to the monetary cycle) in the economy. The first shows that the available microeconometric evidence is not necessarily informative about the macroeconomic phenomenon of interest, as this depends not only on the average micro effect but also on external effects that capture general equilibrium forces. As an illustration it shows a simple New-Keynesian model with working capital credit, where (i) the macroeconomic effect is usually significantly weaker than the associated micro effect; and (ii) inflation becomes more responsive to monetary policy when governmental credit is present, as this mitigates the cost-channel. Giving sequence, the second article extends the analysis with a medium-sized DSGE model where governmental credit is used to finance the acquisition of physical capital by firms. Not relying on a cost-channel, it shows that under some calibrations the presence of governmental credit increases monetary policy power over inflation. The model is then estimated to Brazil using Bayesian techniques. The results suggest that monetary policy power is indeed reduced for both output and inflation, but more for the former than for the later, implying a lower sacrifice ratio. The estimated effects are small, nonetheless. The model is also used to show that the subsidized governmental credit is little effective in boosting steady-state aggregate investment as the government is unable to distinguish between investment projects that would or would not be done without subsidies.  Finally, the third article studies to what extent the effects of capital flows on a small open economy's business cycle depend on the type of the inflow (e.g., whether a bond or a stock inflow, a liability or an asset flow). For such it build an open economy New-Keynesian model with financial frictions. In a first general analysis it identifies direct mechanisms through which inflows may have differentiated effects depending or their type. It is shown how these differences have implications for the conduct of sterilized FX interventions. The relevancy of these mechanisms is then examined using a calibrated version of the model, and it is concluded that they are probably of little significance. 

Pedro Henrique da Silva Castro.


Orientador: Márcio Garcia.

Co-orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Marco Bonomo. Bernardo Vasconcellos Guimarães.

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