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.

Foreign Exchange Interventions in Brazil: Spillover Effects on Asset Prices

Estudamos se as intervenções cambiais do Banco Central do Brasil impactam, além da taxa de câmbio, outros preços de ativos (taxas de juros e preços de ações). Fazemos isso classificando as intervenções em três tipos, de acordo com o nível de surpresa, e usando dados minuto a minuto. Nossos resultados mostram que, tanto para a venda de USD (ou emissão de swap) quanto para a compra de USD (ou emissão de swap reverso), o BRL/USD reage na direção esperada, os preços das ações aumentam e as taxas de juros também aumentam. Vale ressaltar que o anúncio impacta muito mais do que a própria intervenção. Além disso, os vértices longos dos juros tendem a responder mais as intervenções do que os vértices curtos. Finalmente, entre os tipos de intervenções, encontramos uma notável heterogeneidade em termos de movimentação dos preços dos ativos dentro de uma janela de meia hora, como em termos de sustentação do movimento por uma janela de nove horas (duração do pregão).

Alexandre Borelli Mello.

Orientador: Carlos Viana de Carvalho. Márcio Gomes Pinto Garcia.

Banca: Marcelo Medeiros. Samer Fath Shousha.

Informal housing, spatial spillovers, and labor market access in Brazil

In this work, I study the supply and demand for housing in the São Paulo Metropolitan Area, a major city in Brazil. Using detailed commuting data, I estimate a quantitative spatial model, in which agents make decisions on residence and workplace based on local rents, wages, commuting costs, and amenities. I propose an extension of the usual framework with a formal housing supply sector to include a competing informal one, an important institutional characteristic present in many developing countries. I quantify the spatial spillovers of this informal housing, and investigate its role in providing residents with improved access to the local labor market.

André Nascimento Alcântara Pereira.

Orientador: Thierry Verdier.

Banca: Juliano Assunção. Gabriel Lopes de Ulyssea.

Spillover effects of full-day schools: Evidence from São Paulo State

Lengthening school time is an attractive policy that middle-income countries have been adopting. However, regardless of an increasing number of works analyzing the impact of increasing instructional time on students’ achievement, little is known about the spillover that this kind of policy generates, despite its high cost for poor students from developing countries. Therefore, we evaluate the impact of full-day schools on regular public schools (part-time). To do so, we analyze the Programa de Ensino Integral (PEI) of São Paulo state for secondary education in a dataset with schools geolocations. We use a dynamic difference-in-differences strategy to show that full-day schools change students and teachers composition of nearby regular schools and negatively affect their achievement and drop-out. Furthermore, we estimate PEI’ impact on treated schools removing spillover bias and confirm that the spillovers are relatively small compared with the program’s gains.

Gabriel de Campos Gonçalves dos Santos.

Orientador: Juliano Assunção.

Banca: Leonardo Rosa. Ursula Mello.

Returns and Hazard Mitigation: Evidence from Tropical Cyclones

In this paper, we provide evidence that information about hazard mitigation infrastructure in the United States (U.S.) during an indirect exposure to tropical cyclones and the indirect exposure to tropical cyclones per se generate anomalies in returns after considering the 5 Fama-French factors and momentum. We formulate two possible hypotheses to explain these anomalies: local investor and general market hypotheses. Both hypotheses assume that hazard mitigation investments are lower than the ideal. Their difference is based on how investors interpret the hazard mitigation programs. We focus on local investors’ perceptions about them in the local investor hypothesis. More significant investments in these programs mean more local investors will acknowledge them and their flaws. On the other hand, we focus on general investors’ associations between hazard mitigation investment level and disaster risk in the general market hypothesis. In the end, we give some evidence of the local investors’ hypothesis, but we cannot guarantee that this is the only possible explanation. The whole point depends on how much investors know about hazard mitigation programs. Beyond that, we give evidence that an information channel is the probable path in which the anomalies are generated. Thus, in this dissertation, we shed some light on the uncertainty generated by natural disasters that prices assets, a topic that gets more attention in a warming world.

Marcelo Costa Marques.

Orientador: Marcelo Medeiros.

Banca: Ruy Monteiro Ribeiro. Walter Novaes.

The Market for Internet News Distribution

This paper studies the role of aggregators as intermediaries in the online news industry. I propose a model where firms must appeal to consumers with differentiated tastes, trading off between a vertical dimension of quality and a horizontal dimension of relevance. In this context, depending on the relative strength of these forces, the presence of the news aggregator may either increase quality and welfare or decrease quality with an ambiguous effect on welfare. I argue that while the first scenario is more in line with the existing theoretical literature on news aggregators, the second seems to be more strongly supported by the empirical evidence. The impact of aggregators in this second scenario may substantiate concerns over the quality of news provision on the internet.

Victor Aliende da Matta.

Orientador: Timo Hiller.

Co-orientador: Leonardo Rezende.

Banca: Vinicius Nascimento Carrasco. Lucas Jover Maestri.

Consumer Search in Brazilian Gasoline Retail

This paper seeks to understand consumer search patterns and whether information frictions play a role in price dispersion in Brazilian gasoline retail. In our setting, consumers must engage in costly search to gain information about the prices charged by gas stations. Empirically, we divide our analysis into two parts. In the first part, we use a structural model that permits us to estimate points of the distribution of search costs.We estimate the model using price data at the station level for multiple markets in Brazil. In the second part, in two independent analyzes, we investigate the determinants of the proportion of consumers with a low amount of search by OLS and construct an estimate for the average search cost per market by fitting our point estimates into a parametric distribution by NLS. Our findings reveal significant variation in consumer search across markets. Furthermore, our results reveal that most consumers do not compare many prices before buying gasoline. Moreover, our estimates indicate that the number of gas stations in a market, the average distance between gas stations, income, and population are important drivers of the proportion of consumers that search in only one gas station before buying. Finally, the estimated average search cost represents 3% of gasoline prices, a non-negligible proportion. Therefore, the results indicate that information frictions are important to explain price dispersion in Brazilian gasoline retail.

Bárbara Fernandes Intropidi.

Orientador: Leonardo Rezende.

Banca: Nathalie Gimenes. João Paulo Cordeiro de Noronha Pessoa.

The Effects of Screen Quotas on the Movie Exhibition Market: Evidence from Brazil

Screen quotas in Brazil have been in effect, in their present form, since 2001. Legislation requires movie theaters to screen Brazilian movies for a number of days on a yearly basis. Even though two decades have passed since its inception, quantitative analyses of the policy’s effects have been scarce. Furthermore, the policy expired by the end of 2021. The reintroduction of quotas is certainly a matter of legislative relevance in the upcoming years. To investigate policy effects, we first run a set of reduced-form regressions, using exogenous variation in the movie theater quotas per viewing room. Next, we build and estimate a dynamic discrete choice model of exhibitor choice. Reduced-form regressions point to negative effects of screen quotas on overall and foreign films’ box-office and ticket sales, but impact on Brazilian movie revenue or public is either zero or very small. Nevertheless, quotas do seem to prompt movie theaters to screen more Brazilian movies.

Pedro Braga Aldighieri Soares.

Orientador: Leonardo Rezende.

Banca: Fábio Miessi Sanches. Raphael Bottura Corbi .

Macroeconomic and regulatory drivers of CIP deviations

Covered Interest Parity deviations (CIP) have been large and persistent among G10 currencies since the global financial crisis in 2008. One of the explanations for the CIP condition breakdown are the new banking regulations that arose in the post-crisis period. On the other hand, CIP deviations for the Brazilian economy have been associated with the EMBI+ index, which is a measure of country risk, as in Garcia and Didier (2003). Building on the recent literature on Covered Interest Parity deviations (i.e, the currency basis) among G10 currencies, I show the recent evolution of the cross-currency basis for the G10 economies, during the 2020 pandemic crisis, and then I study the macroeconomic and regulatory drivers of the Brazilian currency basis. Using the regression approach of Cerutti et al (2021), I find that the FX bid-ask spread has a prominent effect on the real/dollar basis. Using a difference-in-differences approach, I find that the Brazilian currency basis rises at quarter-ends, which is the period when forward contracts appear on banks’ balance sheets. This points to a causal effect of banking regulation on the currency basis, in line with Du, Tepper and Verdelhan (2018).

Raphael de Oliveira Vasconcelos.

Orientador: Márcio Gomes Pinto Garcia.

Banca: Eduardo Zilberman. Bernardo Vasconcellos Guimarães.

From Micro to Macro: Essays in Textual Analysis

This study exploits non-conventional data sources such as newspaper textual data and internet searches from Google Trends in two empirical problems: (i) analysing the impacts of mobility on cases and deaths due to Covid-19; (ii) nowcasting GDP in high-frequency. The first paper resorts to unstructured data to control for non-observable behavioural effects and finds that an increase in residential mobility significantly reduces Covid-19 cases and deaths over a 4-week horizon. The second paper uses unstructured data sources to nowcast GDP on a weekly basis, showing that textual data and Google Trends can significantly enhance the quality of nowcasts (measured by MSE, MAE and other metrics) compared to Focus’s market expectations as a benchmark. In both cases, unstructured data was revealed to be a valuable source of information not encoded in structured indicators.

Leonardo Caio de Ladalardo Martins.

Orientador: Marcelo Medeiros.

Banca: Eduardo Zilberman. Marcelo Fernandes.

How is Yours Politicians’ Business Doing?

Between 2004 and 2020, 18.9% of the Brazilian municipalities had at least one mayor that was also a business owner. In Brazil, this office is relevant for government spending allocation and public policy decisions. With this constitutional competence, the elected official could swing resources to their firm directly or indirectly. Even if this is done within the borders of legality, information on the performance of politician-owned enterprises may be relevant for voters. Therefore, this work uses three administrative data sources on candidates, firm ownership, and formal employment contracts to answer if mayor-owned firms grew disproportional during their owner’s term. To provide causal interpretation, the estimations are undertaken applying a close election discontinuity design. This work, therefore, compares firms from barely elected mayors with companies owned by almost victorious candidates. It concludes that mayor-owned companies grew approximately 25% more than they would if their owner had lost the election during the four years of the term.

João Farina Leal Mourão.

Orientador: Juliano Assunção.

Co-orientador: Claudio Ferraz.

Banca: Ricardo Dahis. Raphael Bottura Corbi .

Use of Credit in Times of Covid-19: Evidence from Peru

This paper analyzes the use of credit during the Covid-19 pandemic in the context of a cash transfer program. Under a Difference-in-Differences approach, I show causal evidence of how the implementation of a cash transfer program impacted the population’s credit use patterns, using a combined set of microdata: SISFOH (a household targeting system), the national  household survey, and the credit register for Peru. Exploring a discontinuity in the rule for granting emergency income to the poorest population, I show that individuals who received a monetary subsidy increased their total lending in the financial system, in contrast to those individuals who did not. This is worrisome as it is also presented an increase in the interest rates and days of arrears. Furthermore, I also explore some dimensions of population heterogeneity (education, age, gender, informality, among others), finding a differentiated impact according to certain characteristics of individuals. I put a special effort into the informality analysis since, even in the absence of an exogenous identification, this variable presents significant results and passes certain tests of identification.

Robert Pablo Urbina Rodrigues.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Juliano Assunção. Daniel Ferreira Pereira Gonçalves da Mata.

International Reserves and the Equity Premium

Insurance is a possible explanation for the large holdings of international reserves observed in many countries. Quantitative models of the insurance motive, however, struggle to rationalize reserve positions, unless agents exhibit relatively high levels of risk aversion. This result suggests a connection between the "international reserves puzzle" and the "equity premium puzzle", which I explore in this paper. I introduce Epstein-Zin preferences into a standard sovereign default model with long-term debt and a risk-free asset, and calibrated it to the Mexican economy. I then price an equity claim within the model, and use simulations to establish a positive relationship between optimal reserve holdings and the equity premium, as I vary the degree of risk aversion of domestic agents. Using an estimate of the equity premium for Mexico, I calibrate the level of risk aversion and find it produces an optimal level of international reserves that is close to the data. Finally, I provide empirical evidence consistent with the relationship established with the model. Specifically, I introduce estimates of the equity premium into standard regressions used to explain countries' holdings of international reserves. Using both cross-sectional and panel specifications, I document a robust positive association between these two variables.

Rafaela Bianca Pini Rizzo.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Márcio Gomes Pinto Garcia. Bernardo Vasconcellos Guimarães.

On the Missing Disinflation Puzzle: A Data-Driven Approach

This paper examines the potential explanations for the Missing Disinflation Puzzle (MDP). We construct a data set containing only variables associated with the puzzle, and use of Machine Learning (ML) methods to compute estimates for U.S. Consumer Price Index inflation over the period of interest. These methods can handle large data sets, and perform variable selection. A model selection exercise using Model Confidence Set over pseudo-out-of-sample forecasts is proposed to assess forecasting performance and to analyze the variable selection pattern of these models. We analyze the variable selection performed by the best models and find evidence for explanations associated with different metrics for inflation expectations - in particular those linked to consumers’ surveys.   

Raphael de Aquino Ludwig Pereira.

Orientador: Eduardo Zilberman.

Co-orientador: Marcelo Medeiros.

Banca: Márcio Gomes Pinto Garcia. Gabriel Filipe Rodrigues Vasconcelos.

Banking Spread Decomposition through a Structural Macroeconomic Model

This paper aims to decompose the banking spread using a structural macroeconomic model. We embedded a general equilibrium framework with loans to individuals and firms that may be in default, a banking sector in monopolistic competition and subject to administrative costs, and we also added a tax structure related to bank intermediation. These characteristics for the composition of the spread are in line with the empirical literature on banking spread determinants in Brazil and with the accounting decomposition of the spread made by the Banco Central do Brasil. Furthermore, we evaluate the model dynamics responding to shocks.

Otavio Hiroaki Morisita Fujisima.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Yvan Bécard. Andre Minella.

Monetary policy and liquidity management in a model of endogenous network formation for the interbank market

Esta dissertação desenvolve um modelo tratável de formação endógena de redes do mercado interbancário. Devido a choques de liquidez, bancos enfrentam um trade-off entre investir seus recursos num ativo líquido e num ativo ilíquido de alto retorno. O mercado interbancário é modelado como uma rede. Um link estendido por um banco a outro é interpretado como uma linha de crédito da qual o primeiro banco pode tomar emprestado ativos líquidos do segundo para cobrir fluxos de saída de recursos. O Banco Central, através de linhas financeiras, empresta recursos aos bancos com saldos negativos e toma emprestado de instituições com saldos positivos a taxas por ele estabelecidas. Essas taxas definem um corredor no qual a taxa cobrada em empréstimos interbancários deve estar contida. Nesse contexto, caracterizamos o equilíbrio (único) nas decisões de investimento dos bancos para qualquer rede. Em seguida, endogenizamos a rede, através da decisão dos bancos de linhas de crédito, e mostramos que toda rede em equilíbrio é uma rede de núcleo-periferia completa. Esse resultado é consistente com redes empiricamente observadas. Ademais, introduzimos um trade-off para Bancos Centrais ao decidir o corredor de juros: um corredor mais estreito dá mais controle ao Banco Central sobre a taxa interbancária, o que é importante para a condução de política monetária. No entanto, se considerarmos as decisões de links dos bancos, isso pode levar a um equilíbrio com uma rede mais esparsa, onde o investimento total no ativo líquido é maior, o que representa um custo implícito, já que esses recursos poderiam ser investidos no ativo mais produtivo. No geral, nossa análise ressalta o importante papel que redes endógenas têm na transmissão de política monetária. 

Luiz Guilherme Carpizo Costa.

Orientador: Timo Hiller.

Banca: Márcio Gomes Pinto Garcia. Paolo Pin.

Mobile broadband expansion and tasks: Evidence from Brazilian formal labor markets

The rise of computerization and fixed and mobile broadband has been an important factor for changes in the labor market of rich countries. However, as the world of tech rapidly evolves and even faster mobile internet emerges, there is still little evidence about the impact of current mobile technologies in developing countries. Brazil, in particular, during the last decade, has seen a remarkable increase in mobile internet access. In this dissertation, I explore this rapid expansion of 4G coverage to estimate the causal effects of fast mobile internet in formal local labor markets in Brazil. Since 4G technologies are not rolled out randomly, provision commitments in contracts between 4G national operators and Brazilian regulatory agency of telecommunications (ANATEL) work as an instrumental variable to internet presence. The average increase of mobile operators observed in sample is responsible for a reduction of 8% in formal employment contracts (about 40 % of the variation in period). This reduction is explained by (i) reduced turnover and by (ii) displacement effects. Consistent with the routinization hypothesis, 4G expansion shifts labor demand away from manual and routine tasks. This, in turn, has benefited more high-skilled workers, increasing the share of college-graduates in the labor force and the average skill level index of local labor markets. Effects are driven by the extremes of the distribution of technological intensity but there are no changes in the industry-composition of labor markets. I also show suggestive evidence that mobile broadband is associated with job polarization.

Henrique Rodrigues da Mota.

Orientador: Gustavo Gonzaga.

Co-orientador: Francisco de Lima Cavalcanti.

Banca: Rita K. Almeida. Gabriel Lopes de Ulyssea.

Public Banks and Access to Conditional Cash Transfer Programs

Neste trabalho, estudo o papel dos bancos públicos na implementação de Programas de Transferência Condicionada de Renda (CCTs). Usando um modelo de entrada com firmas heterogêneas inspirado em Bresnahan & Reiss (1991), consigo determinar como o programa Bolsa Família no Brasil impacta as decisões da Caixa Econômica Federal e de outros bancos de forma diferente. Também avalio se os beneficiários do programa têm acesso efetivo ao Bolsa Família quando não há instituição financeira em seu município. Explorando variação na cobertura bancária após uma resolução do Banco Central, também encontro que menos benefícios são retirados em municípios sem banco, causando cancelamentos involuntários do programa. Os resultados sugerem que cobertura bancária é um aspecto relevante na implementação de políticas de transferência de renda e que bancos públicos podem ser eficazes na melhoria simultânea do acesso às políticas públicas e a serviços financeiros.

Mateus Proença Morais.

Orientador: Juliano Assunção.

Banca: Leonardo Rezende. Gabriel Lopes de Ulyssea.

Oligopsony power in labor markets: Evidence from a payroll tax reform

Analisar comportamentos não-competitivos no mercado de trabalho tem se tornado um aspecto crucial para melhorar a compreensão das dinâmicas do mercado de trabalho, e estimar elasticidades-salário da oferta de trabalho pode auxiliar a determinar a existência de estruturas de oligopsônio. Ao construir sobre Manning (2003), uso dados de contratos identificados por empregadorempregado, e aproveito choques específicos de desonerações na folha de pagamento, para estimar elasticidades-salário da oferta de trabalho para o mercado de trabalho brasileiro. Estimamos elasticidades-salário de separações e contratações utilizando de uma abordagem por IV que permite a identificação de variações exógenas nos salários, através da desoneração implementada no Brasil, que representa choques à demanda por trabalho. Enquanto estimativas padrão por MQO são baixas (e irrealistas) como na literatura recente, estimativas usando a abordagem de variáveis instrumentais são muito mais razoáveis. Os resultados indicam a existência de considerável poder de mercado pelo lado de firmas no mercado de trabalho no Brasil, com a elasticidade no nível do mercado de 1.4 e no nível da firma de 4.4. Finalmente, avaliamos se o poder de oligopsônio das firmas difere entre níveis de qualificação, e entre municípios mais ou menos urbanos e informais. Encontramos que as firmas exertem maiores markdowns para trabalhadores menos qualificados, e que maior poder de mercado das firmas está correlacionado com menor urbanização e maior informalidade.

Lisa Orsi Beihy Pacheco.

Orientador: Gustavo Gonzaga.

Co-orientador: Leonardo Rezende.

Banca: Carlos Henrique Corseuil. Renata Del Tedesco Narita.

Firm hierarchies, managers and trade: reacting to liberalization

Embora comércio internacional e práticas organizacionais sejam conhecidos determinantes da produtividade de firmas, a evidência empírica sobre a relação entre ambos é escassa. Este artigo explora variação exógena crível em redução tarifárias em setores da indústria para mostrar que firmas no Brasil, após o choque, são menos organizadas em termos de hierarquias. Consistente com a literatura de hierarquias baseadas em conhecimento, aumento de concorrência estrangeira reduz significativamente a parcela de gerentes e o número de camadas organizacionais em uma firma. Além disso, nós encontramos movimentos composicionais importantes dentro dos setores: apesar de possuírem tamanhos similares, firmas entrantes possuem menos gerentes e camadas do que as que deixam o mercado. Usando dados abrangentes com identificação mais crível que trabalhos anteriores na literatura, nosso artigo documenta fatos estilizados da organização de firmas em um país subdesenvolvido, assim como contribui para o estudo de um determinante potencialmente importante da produtividade no agregado.

Arthur Carvalho Brito P. de Souza.

Orientador: Juliano Assunção.

Co-orientador: Gustavo Gonzaga.

Banca: Pedro Cavalcanti Ferreira. Rafael Dix Carneiro.

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