We explore the relation between monetary policy and welfare in a heterogeneous agent New Keynesian (HANK) model by grouping households in wealth classes. Our goal is to analyze the principal channels through which monetary policy affects classes’ income, savings and how it is related to their welfare after a demand and technology shocks. Our analysis covers different signs and magnitudes for these shocks, along with different Taylor rules and parameters’ calibration. In the demand shock case, the wealthiest 10% and poorest 90% have irreconcilable policy preferences. We propose total income is central to explain classes’ policy preferences. Bigger streams of income augment the number of consumption and leisure streams households can choose, improving welfare. In the technology shock case, after a negative shock, rules more reactive to output moderate the rise in interest rates and the recession. We propose it is relatively easier to cushion the shock under these rules by increasing borrowings. Consequently, households prefer them instead of rules more reactive to inflation and non reactive to output. However, after a positive shock, households prefer the Taylor rule which maximize total income, following the same logic from the demand shock case.

In 2014, the Brazilian Securities and Exchange Commission included equity offerings in the restricted efforts regulatory instruction, allowing firms to issue equity through simpler, faster procedures, disclosing less information to the market. In turn, firms choosing that issuance method are allowed to sell their new shares to a group consisting of no more than 50 qualified investors. Since the new rules came into force, almost all seasoned equity offerings carried out by listed companies took place under restricted efforts. In this work, we study the impact of the new regulatory setting on two types of costs regarding seasoned equity offerings: the first, an indirect one, is the effect of offering announcements on the issuer’s stock price. An event study shows that abnormal returns in a three-day window around the announcement are, on average, 3.23 percentage points higher when the company issues equity under restricted efforts rather than traditional rules. The second type of cost, the direct one, consists of fees paid to the underwriters and other expenses. Under restricted efforts, those fees (as a percentage of total offering proceeds) are, on average, 1.01 percentage point lower than fees charged in the offerings that follow the traditional procedures. We argue that the reduction in the two types of costs is due (at least partially) to the mitigation of information asymmetry provided by the new issuance method.

Empirical studies of how actions respond to expectations are of increasing relevance, as they provide vital information on agents’ choices and contribute to theoretical models. We explore how this pass-through occurs in institutional investors in Brazil. We assemble a novel dataset by matching data on institutions’ forecasts of inflation, the exchange rate and the interest rate with their hedge funds portfolio holdings. This dataset allows us to investigate how institutional investors’ expectations are related to their portfolio choices. We document that increases in funds’ inflation and exchange rate expectations are correlated with decreases in their exposures to fixed rate bonds. We also observe a negative correlation between their expectation of the interest rate and their exposure to inflation bonds once we control for the other variables.

This dissertation studies the effects of the fiscal stance on the composition of public debt in the short run. We use data on Brazilian public debt issuance and assess the impact of fiscal deficits and sovereign risk on the share of shortterm debt through reduced-form and VAR methods. Our results suggest that a fiscal deterioration is associated with a higher share of short-term debt. At the same time, a sovereign risk shock increases the reliance on short-term and floating-rate debt. Then, in order to disentangle supply and demand factors in public debt issuance, we estimate the interest-rate elasticity in auctions for short- and medium-term public debt. Using a method of identification through heteroskedasticity, we find that both factors are present. However, market demand is considerably more interest-rate elastic than Treasury supply.

The existing literature on the effects of Covid on stock returns focuses on endogenous changes in risk tolerance and on the modeling of rare events. So far, these attempts have not been able to match the data. In this paper, I propose an alternative approach to explaining the Covid effects on stock returns worldwide: disentangling the long-run effects from the short-run effects. Intuitively, Covid’s long-run effects include disruptions of supply chains and educational patterns, which, conceivably, will take time to phase out. Exactly as it happens with the persistent shocks of long-run risks models! A model that allows for short-run fluctuations and long-run risk shows that persistent shocks play a role in explaining stock market returns and exchange rates in a time span that starts in January 2018 and ends in November 2021.

As economies develop and grow, their informal sector shrinks. The literature emphasizes a number of supply-side causes (higher costs of informality for larger and capital-intensive firms, improved state enforcement capacity, higher levels of education) to explain this phenomenon. This thesis contributes to the debate by proposing a new, demand-side explanation. We argue that the rise in formality can be explained, in part, by a rise in demand for formal goods and services from households whose income is growing. Using Brazilian household expenditure survey data, we document that in the cross-section, higher-earning households consume a larger fraction of formal goods (7 percentage points as income doubles). We also show that, over time, formal consumption increases together with income. We attempt to provide a causal estimate by analysing exogenous increases in the minimum wage. Last, we propose a theoretical discussion on the type of preferences consistent with this observed behavior.

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).

I investigate how motherhood impacts women in the Brazilian labor market. Social norms that regard women’s role as more ”family-oriented,” unequal division of non-market work, and the lack of accessible free childcare for all working mothers could impact their labor supply, wages, and career path. Using an administrative linked employer-employee dataset, I estimate children’s impact on several labor market outcomes through an event-study methodology comparing mothers and non-mothers. While a child’s birth is associated with a decline in the mother’s earnings, participation in the formal labor market, and the probability of holding a managerial position, it is also associated with an increase in participation in the public sector and part-time jobs. In addition, I found that employment penalties are reduced if women are wealthier, college-graduated, and public sector employees. Further, I use household survey data to investigate short-run gender differences in child penalties. I find a decrease in mothers´ wages, employment, and an increase in the probability of holding an informal job after the stability period in the formal labor market. Men do not present changes in labor market outcomes due to parenthood.

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.

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.

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.

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.

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.

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.

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).

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.

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.

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.

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.