The labor market in Brazil had significant changes between 2003 and 2012. Wage inequality, informality and unemployment decreased while the real minimum wage rose. Recent empirical evidence suggests that firms had an important role in these processes. This paper has two major features. First, I propose a search and matching model with heterogeneous firms and workers that takes into account several attributes of the Brazilian labor market such as informality, unemployment, minimum wage and wage variance between and within firms. Then, with an estimated model that fits important moments of the labor market in 2003, I make counterfactual exercises to quantify the determinants beneath the reduction of wage inequality.

M400

In a repeated unobserved endowment economy in which agents negotiate long-term contracts with a financial intermediary, we study the risk-sharing implications of the interaction between incentive compatibility constraints (due to private information) and participation constraints (due to one-sided commitment). In particular, we assume that after a default episode, agents consume their endowment and remain in autarky forever. We find that once they are away from autarky today, if the probability of drawing the highest possible endowment shock is sufficiently small, the optimal contract prevents agents from reaching autarky tomorrow and, thus, from being "impoverished". Moreover, an invariant cross-sectional distribution of life-time utilities (or values) exists. A numerical example shows that the mass of agents living in autarky can be zero in the limit.

Revisto em março de 2018

This paper provides evidence on three mechanisms that can reconcile frequent individual price changes with sluggish aggregate price dynamics. To that end, we estimate a semi-structural model that allows us to extract information about real rigidities and cross-sectional heterogeneity in price stickiness from aggregate data. Hence the model can also speak to the debate about the aggregate implications of sales and other temporary price changes. Our estimates point to the presence of large real rigidities and a significant degree of heterogeneity in price stickiness. Moreover, the cross-sectional distribution of price stickiness implied by aggregate data is in line with an empirical distribution obtained from micro price data that factors out sales and product substitutions. Our results suggest that all three feaures -- i) real rigidities, ii) heterogeneity in price stickiness and iii) exclusion of temporary price changes -- help bridge the gap between micro and macro evidence on nominal price rigidity.

Revisto em Abril de 2018 

This paper considers the problem of a Principal who faces a privately informed Agent and only knows one moment of the type’s distribution. Preferences are nonlinear in the allocation, and the Principal maximizes her worst-case expected profits. The robustness property of the optimal mechanism imposes restrictions on the Principal’s ex-post payoff function: subject to the allocation being nonzero, ex-post payoffs are linear in the Agent’s type. The robust mechanism entails exclusion of low types, distortions at the intensive margin and efficiency at the top. We show that, under some conditions, distortions in the optimal mechanism are decreasing in types. This monotonicity has relevant consequences for several applications discussed. Our characterization uses an auxiliary zero-sum game played by the Principal and an adversarial Nature who seeks to minimize her expected payoffs which also gives us a characterization of the worst-case distribution from the Principal’s perspective. Applications of our framework to insurance provision, optimal taxation, nonlinear pricing and regulation are discussed

This paper investigates financial conglomerates' participation in the Brazilian equity mutual fund industry. Using data from 2002 to 2016, we show that bank-affiliated funds underperform funds managed by stand-alone entities by 1.96\%-2.30\% per year. Moreover, we find that bank-affiliated fund managers have less incentives to take risk than independent funds'. Consistent with incentives, we show that bank-affiliated funds trade less often, try less to time the market and have portfolios more similar to the market's than independent funds. Finally, we show that differences in risk taking can be associated to 7.68-29.6\% of the performance difference between bank-affiliated and independent funds.

M399

In a repeated unobserved endowment economy in which agents negotiate longterm contracts with a financial intermediary, we study the risk-sharing implications of the interaction between incentive compatibility constraints (due to private information) and participation constraints (due to one-sided commitment). In particular, we assume that after a default episode, agents consume their endowment and remain in autarky forever. We find that once they are away from autarky today, if the probability of drawing the highest possible endowment shock is sufficiently small, the optimal contract prevents agents from reaching autarky tomorrow and, thus, from being “impoverished”. Moreover, an invariant cross-sectional distribution of life-time utilities (or values) exists. A numerical example shows that the mass of agents living in autarky can be zero in the limit.

Este trabalho investiga os efeitos da incerteza sobre a atividade econômica no Brasil. Para isso, são construídas diversas proxies que buscam capturar o nível de incerteza vigente na economia brasileira (incerteza doméstica) e em vários de seus principais parceiros comerciais (incerteza externa). Em seguida, são estimados diversos modelos de vetores autorregressivos (VAR) estruturais, tal como proposto por ^{Baker, Bloom & Davis (2016)}. As funções de resposta ao impulso sugerem efeitos contracionistas significativos da incerteza sobre a atividade, em particular sobre o investimento. Além disso, as estimativas indicam que os efeitos da incerteza doméstica são mais acentuados do que os da incerteza externa. Pode-se afirmar, portanto, que os níveis de incerteza vigentes no Brasil desde as eleições presidenciais de 2014 representam importante fator por trás da recessão subsequente. Estima-se que caso não houvesse a expansão de incerteza doméstica observada a partir do segundo semestre de 2014, a produção industrial em 2015 teria sido, em média, entre 0,9% e 3,9% maior, dependendo da variável proxy de incerteza utilizada. No caso do IBC-Br, este teria sido entre 0,4% e 1,3% maior. Os resultados encontrados são robustos para diversas alterações no modelo.

Este trabalho mostra que o VIX e sua versão de mais curto prazo tem poder preditivo sobre a variância realizada do S&P 500 em dias de FOMC (reuniões do Banco Central do Estados Unidos – FED). Apesar disto, o resultado não persiste quando utilizamos o Índice de Volatilidade do S&P 500 de Longo Prazo (3 meses).

Este estudo tem como objetivo identificar os fatores macroeconômicos que constituem o risco sistemático para preços de ativos dos EUA e retornos de fun-dos mútuos usando a Teoria do Preço de Arbitragem, inspirado metodologicamen-te pelo Chen, Roll e Ross (1986). Concluímos que o modelo não explica bem o cross-section dos retornos nas ações na amostra mais recente e que as estimativas dos prêmios de risco não são estáveis.

Este trabalho analisa o impacto dos requerimentos de liquidez da Basiléia III na gestão de liquidez dos bancos. A partir de uma base de dados que engloba ban-cos de todos os países signatários do Comitê de Basiléia III, foram definidos indi-cadores de liquidez bancária com base nas práticas utilizadas na literatura econô-mica e que busquem servir de proxies aos indicadores propostos pelo Comitê. Foram então verificados os cronogramas de implementação dos novos requeri-mentos de liquidez estabelecido por cada país. Acompanhou-se, então, a evolução dos indicadores de liquidez antes e depois do novo requerimento de liquidez insti-tuído pelo Comitê. Foi observado alta estatiscamente relevante nas proxies de liquidez de curto prazo. Por outro lado, o resultado das regressoões que buscam acompanhar a evolução de liquidez de longo prazo demontraram quedas estatisti-camente significaticas.

We develop a model where, in the first stage, minority individuals have to decide whether or not they want to assimilate to the majority culture while, in the second stage, all individuals (both from the majority and the minority group) embedded in a network have to decide how much effort they exert in some activity (say education). We show that the more central minority agents are located in the social network, the more they assimilate to the majority culture. We also show that denser networks tend to favor assimilation so that, for example, it is easier to assimilate in a complete network than in a star-shaped network. We show that the subgame-perfect equilibrium is not optimal because there is not enough activity and assimilation. We then endogeneize the network and show under which condition the ethnic minorities either assimilate to or separated themselves from the majority group.

A Constituição de 1891 permitia que estados e municípios tivessem acesso direto aos mercados financeiros internacionais. É possível, portanto, em princípio, diferenciar risco Brasil dos riscos específicos dos estados e municípios no período 1891-1930. Mas os estados e municípios estão localizados no Brasil e o pagamento do serviço de suas dívidas depende das condições do balanço de pagamentos da economia como um todo. Faz sentido avaliar a importância do endividamento externo estadual e municipal e analisar em que medida risco Brasil e riscos subnacionais estaduais estavam relacionados. Neste artigo a atenção está concentrada nos empréstimos estaduais. A base de dados disponível é de qualidade bem superior à dos empréstimos municipais. Em particular, a evidência disponível sobre a base fiscal dos municípios, essencialmente a arrecadação de impostos prediais e afins, é precária. 

This paper suggests an identification and estimation approach based on quantile regression to recover the underlying distribution of bidders' private values in ascending auctions under the IPV paradigm. The quantile regression approach provides a flexible and convenient parametrization of the private values distribution, with an estimation methodology easy to implement and with several specification tests. The quantile framework provides a new focus on the quantile level of the private values distribution, in particular the seller's optimal screening level, which can be very useful for bidders and seller. An empirical application using data from the USFS timber auctions illustrates the methodology.