Aqui você encontra as teses e dissertações defendidas, textos para discussão e produção acadêmica e de opinião de professores e alunos do Departamento de Economia.
A pesquisa pode ser feita por tipo de publicação, autor, título e período ou pela combinação deles. Os textos para discussão também podem ser pesquisados por número.
As monografias de Conclusão de Curso podem ser obtidas em http://www.maxwell.lambda.ele.puc-rio.br/.
22/05/2020
A primeira parte deste trabalho propõe e testa um modelo baseado no filtro de Kalman para estimação, em frequência diária, da composição de carteiras de fundos de investimentos. São propostas modificações na implantação do filtro de forma a incorporar observações esporádicas, resultantes de exigências da regula-mentação da indústria de fundos brasileira. Na segunda parte, aplica-se um modelo para atribuição de retornos sobre as estimativas obtidas para 11 fundos de investi-mentos selecionados. Investiga-se qual habilidade do gestor explica o excesso de retorno das carteiras em estudo. Conclui-se que a capacidade em selecionar melho-res ativos dentro de setores econômicos (stock-picking) explica majoritariamente o excesso de retorno e que a capacidade prever movimentos de mercado (market-timing) não tem relevância na performance dos fundos contra o Ibovespa.
Pablo Correa Fonseca.
Orientador: Marcelo Medeiros.
Co-orientador: Diogo Abry Guillén.
Banca: Fernando Castro de Campos Roriz. Marco Antonio Cavalcanti.
22/05/2020
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.
Valor Econômico, 19/05/2020
Paulo Rodrigo Capeleti, Márcio Garcia, Fábio Miessi Sanches.
Valor Econômico, 13/05/2020
Tiago Couto Berriel, Eduardo Zilberman.
TD n. 671, 11/05/2020
The Covid-19 crisis has lead to a reduction in the demand and supply of sectors that produce goods that need social interaction to be produced or consumed. We interpret the Covid-19 shock as a shock that reduces utility stemming from “social” goods in a two-sector economy with incomplete markets. We compare the advantages of lump-sum transfers versus a credit policy. For the same path of government debt, transfers are preferable when debt limits are tight, whereas credit policy is preferable when they are slack. A credit policy has the advantage of targeting fiscal resources toward agents that matter most for stabilizing demand. We illustrate this result with a calibrated model. We discuss various shortcomings and possible extensions to the model.
Publicado como NBER Working paper no. 27118
Saki Bigio, Mengbo Zhang, Eduardo Zilberman.
Folha Online, 09/05/2020
Eduardo Zilberman, Dejanir Silva.
08/05/2020
We show that a political factor that exploits cross-sectional variation in individual stock returns can forecast national election results, including net house seat gains and the president. Using US presidential elections since 1928, we also find that this long-short portfolio constructed around the election period delivers information on presidential approval for a long period after the election
Rui Terra Neto.
Orientador: Carlos Viana de Carvalho.
Co-orientador: Ruy Monteiro Ribeiro.
Banca: Eduardo Zilberman. Marcelo Medeiros. Felipe Farah Schwartzman.
06/05/2020
This article studies out-migration responses from Brazilian semiarid population following drought shocks. Migration acts as a coping strategy in poor and rural places as weather shocks exacerbate limited credit and liquidity availability. To find evidence of those mechanisms we compute migration rates at the municipality level starting in 1975 until 2010 using official Census data. Results show that migration rates from the semiarid rise following a drought, especially in the 70s and 80s. Furthermore, we investigate if mobility responses are less pronounced in municipalities where: (i) a larger share of its citizens is eligible to receive rural social security benefits, (ii) have an extended network of bank branches or (iii) built more drought mitigation infrastructure projects
Roberta Souza Costa Olivieri.
Orientador: Juliano Assunção.
Co-orientador: Gustavo Gonzaga.
Banca: Arthur Amorim Bragança. Francisco Junqueira Moreira da Costa.
O Globo e O Estado de São Paulo, 01/05/2020
Rogério Werneck.
Valor Econômico, 17/04/2020
Márcio Garcia.
17/04/2020
The yield curve literature typically assumes long-term interest rates are given by expected future short-term rates and/or risk premia. We show that the relative importance of the expectational component vis-à-vis the risk premium component can be time-varying and state-dependent. Further, the likelihood of an "Expectations Hypothesis (EH) State" has a clear relation to the business cycle. Moreover, our results indicate that incorporating the probability of these EH states boosts the predictive power of the benchmark yield curve measure, the term spread, both for future excess bond returns and economic activity
Fernando Luiz Macedo Cardoso.
Orientador: Carlos Viana de Carvalho.
Co-orientador: Ruy Monteiro Ribeiro.
Banca: Marcelo Medeiros. Emanuel Monch.
O Globo e O Estado de S. Paulo, 17/04/2020
Rogério Werneck.
15/04/2020
Most national governments use the short-term interest rate as the main tool to stabilize the economy, raising the rate to contain upward pressures on inflation or output and lowering it when the opposite is needed. This framework has worked well in many places and periods but not everywhere nor all the time. Governments that were led to maintain high interest rates for long periods paid a high budgetary cost for it, and since 2008 many countries found themselves constrained by the effective lower bound. This work aims to study an alternative inflation targeting regime where the interest rate is kept constant and the consumption tax rate is used as the stabilizing tool that reacts to inflation and to the output gap, which we call a fiscal Taylor rule (FTR). Using a standard medium-scale DSGE model, we obtain Bayesian estimates of parameters and shocks to closely replicate the main macroeconomic variables of the US economy during the Great Moderation period (1985-2007) assuming a standard Taylor rule was in place, and we apply these estimated shocks to the model where the standard Taylor rule is replaced by the FTR. We find that compared to the standard Taylor rule, the FTR is capable of providing similar performance in terms of economic stabilization and thus constitutes a theoretically viable option for policy framework
Eduardo Henrique Leitner.
Orientador: Yvan Becard.
Banca: Eduardo Zilberman. Bernardo Vasconcellos Guimarães.
08/04/2020
This paper investigates the impact of immigrants' (foreigners) links with their home-country on Brazilian imports and exports of goods. According to the literature, immigrants affect positively both imports and exports because they possess superior knowledge of home country markets aspects, language skills and business contacts that mitigate informal barriers to trade. However, most of the published studies focused on evaluating these matters in developed economies contexts. Differently, to test the empirical significance and magnitude of these effects we use Brazilian detailed data (unexplored by literature) from 2000 to 2016 at the municipality and worker level to estimate augmented gravity equations. According to the results, municipalities with relatively more immigrants from a particular country (especially the ones holding management positions in international trading firms) trade more with this country. The results also indicate larger effects for differentiated products and for countries with different religious beliefs and institutions from Brazil.
Carlos Henrique Gomes de Brito.
Orientador: Juliano Assunção.
Co-orientador: Thierry Verdier.
Banca: Emanuel Augusto Rodrigues Ornelas. Gustavo Gonzaga.
Valor Econômico, 07/04/2020
Eduardo Zilberman.
