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.

Demographics and Real Interest Rate in the US economy

I develop an overlapping generations model with life cycle wage profile (LCWP), age-dependent mortality rate, liquidity constraints, and nominal rigidities. The model is calibrated to capture US demographic transition, LCWP estimations, and other salient features of the US economy during 1950-2017. The model is then used to examine the relationship between demographics and real interest rates and the main transmission mechanisms in play. I find that the rapid increase in the working age population from 1950-1980s has significantly contributed to the rise of real interest rates. The reversion of this process together with the increase in life expectancy triggered a rapid decline in the interest rates ever since. The heterogeneity in the marginal propensity to consume among workers plays a major role in connecting these fertility and real interest rate movements.

In an additional exercise, due to the evidence on large life expectancy forecast errors, I introduce a learning process about longevity and find that it can significantly augment the relevance of demographic factors in explaining real interest rate movements. Finally, I find that the central banks’ failure to recognize the relationship between demographics and interest rates can generate, due to unaccounted changes in the natural interest rate, inflation rate variations.

Alex Avelino Carrasco Martinez.

Orientador: Carlos Viana de Carvalho.

Banca: Andrea Ferrero. Eduardo Zilberman.

Brazilian mutual funds life cycle analysis

Funds close and open over time. The existing evidence is that those that close are those with lower cumulative returns in the period prior to closing. This dissertation shows that this closing dynamic also appears in the Brazilian stock funds market. In a sample of 1192 equity funds, from 2002 to 2016, 448 funds closed. Of these, 39 funds lead to the opening of another under the same management. I show that open-ended closing is typically accompanied by increased return volatility, which I interpret as an attempt to change the investment strategy previously followed. However, this change does not change the manager’s abnormal return, as estimated by Carhart’s 4-factor model. Finally, I show that the likelihood of fund closure increases with the number of funds opened by the manager in the month prior to closing. This suggests that managers open new funds before closing others to minimize the chance of losing investors.

Yan Moreira do Rego Barros.

Orientador: Ruy Monteiro Ribeiro.

Co-orientador: Walter Novaes.

Banca: Marcelo Medeiros. Márcio Gomes Pinto Garcia. Walter Novaes.

Local content in Brazilian oil and gas auctions

In this paper, we study the case of Brazilian oil and gas auctions to assess the impact of local content requirements in bidding behavior, allowing us to estimate its impact on government revenue. The Brazilian case is particularly appealing, as there were significant changes in these requirements throughout the years. In the sales with increased local content requirements there was a dramatic change in the bidders behavior: the average signing bonus for offshore tracts dropped from an average of R$ 57 million in the first sales to only R$ 10.6 million and the average number of bids per tract plunged from 0.92 to 0.12. We aim to answer how much the increased local content requirements affected participation and revenue in the auctions. We develop and estimate a structural auction model within the mineral rights framework that includes an entry decision and bids in multiple dimensions, including a bonus and a local content percentage. Our results show that local content requirements increase costs in deep water areas in 14%. Government revenue in auctions in these areas could be much larger in a counterfactual with no local content requirements, amounting to an extra R$ 17 billion in signing bonus only for deep-water tracts. For onshore areas, we did not find any significant difference between local and foreign costs.

Davi Doneda Mittelstadt.

Orientador: Leonardo Rezende.

Banca: Nathalie Gimenes. Marcelo Sant'Anna.

Two essays on weak identification in Macroeconomic Models

The weak identification problem arises naturally in macroeconomic models. Consequently, instrumental variables methods produce puzzling results more often than what is empirically plausible. We propose novel methods to address puzzles usually featured in two of the main equations in macro models, namely the New-Keynesian Phillips Curve (NKPC) and the Euler Equation (EE). For the former, difficulties to estimate a positive slope without incurring a degree of stickiness incompatible with the micro evidence are widely known. We address the matter in the first chapter, proposing a richer framework of a multi-sector economy with price-setting heterogeneity. The procedure generates positive and roughly unchanging slope coefficients across econometric settings, as well as degrees of stickiness in line with the micro data, both regarding the entire economy and the cross section of sectors. Importantly, all of these estimates move consistently with implications by theory when modifying the model assumptions. The second chapter focuses on the estimation of the elasticity of intertemporal substitution (EIS), central parameter of the EE in models of dynamic choice. There, we argue that the use of officially reported consumption data – which is usually filtered, smoothed, interpolated, etc – distorts estimates of the EIS. A generalised model to “unfilter” available consumption data is proposed, suitable for several types of data – macro and micro – at different frequencies. Estimations based on unfiltered consumption produce considerably more stable estimates of the EIS, regardless of the econometric approach and the type of consumption data used. Results also seem less sensitive to the presence of weak instruments, compared to officially reported data.

Marcus Vinícius Fernandes Gomes de Castro.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Ruy Monteiro Ribeiro.

Banca: João Vitor Issler. Marco Bonomo.

The Effect of Incarceration on Employment: Evidence from Randomly Assigned Court Divisions in Brazil

In Americas imprisonment policy has increasingly been adopted to deal with law offenders, and a steep increase in countries incarceration rates has been observed since the 1980s. Nevertheless, we still lack evidence on how such penalty affects labour market outcomes of ex-inmates, specially in developing countries. This work exploits the variation in detention tendencies of randomly-assigned judges as an instrumental variable to estimate the impacts of incarceration on formal labour market outcomes. We construct a unique panel dataset merging data from São Paulo city court, containing judicial sentence information with formal employment records. Essentially, we compare individuals who were sentenced to prison with those who were not. We find that the immediate negative impact of sentence to prison on employment tends to fade over time and disappear after release.

Ruan Valente Staffuzza.

Orientador: Pedro Carvalho Loureiro de Souza.

Banca: Claudio Ferraz. Gustavo Gonzaga. Francisco Junqueira Moreira da Costa.

Ciclos e atividade no mercado de IPO: o papel da inovação e das oportunidades de investimento

A idade média das firmas que abrem capital em bolsas de valores varia significativamente entre países, mesmo entre aqueles com níveis similares de proteção a acionistas minoritários. Nesta dissertação, a variação entre países do tempo para abertura de capital é explicada pela frequência com que oportunidades de novos investimentos aparecem em cada país.

Intuitivamente, novas oportunidade de investimento implicam necessidades de financiamento que permitem à empresa de capital fechado se expor aos mercados bancário e de capitais, gerando um fluxo de informações que aumentam a probabilidade de a devedora atingir um nível de avaliação de crédito que dá acesso ao mercado acionário. O modelo prevê ondas de IPO concentradas em épocas de crescimento econômico e otimismo no país.

Pedro Kenzo de Alencar Ohi.

Orientador: Walter Novaes.

Banca: Humberto Moreira. Vinicius Nascimento Carrasco.

Value Premium and Growth Expectations

Value stocks tend to have higher returns on average. Their performance is particularly stronger when the value spread, defined by differences in B/M ratios, between value and growth stocks is wider. In this paper, we show that this predictability becomes even stronger when we account for the spread in growth, measured by short-term expectations, long-term expectations, and past growth. We use analyst expectations on individual firm´s earnings to construct a range of proxies for earnings growth expectations. We find that adding the growth spread greatly increases the predictive power also in out-of-sample tests.

Kaian Arantes Oliveira.

Orientador: Ruy Monteiro Ribeiro.

Banca: Walter Novaes. Axel André Simonsen.

Wealth inequality in heterogeneous agent models: the role of portfolio choice

We introduce households’ portfolio decisions in a heterogeneous agents model to evaluate how this affects wealth inequality. To do so, we alter the Krusell and Smith (1998) model, incorporating a decreasing returns to scale technology, so that the representative firm issues risk-free bonds to raise capital for production and distributes profits (or losses) to equity holders. We also make use of Epstein-Zin preferences to augment the model’s equity premium, by increasing households risk aversion. The model is able to replicate stylized facts: (i) poorest households seldom participate in the equity markets; (ii) households allocate higher proportions of their savings to equity investments as they get wealthier; (iii) households’ expected return on savings increases with wealth. Inequality of wealth does increase in the model with portfolio decisions. Nevertheless, the effect on wealth inequality is small due to the low level of equity premium generated by the model. The result in unchanged even when we set very high values for risk aversion, and it is related to the lack of consumption growth volatility delivered by this class of model. Finally, we document that taking into account endogenous portfolio decisions enhances the effects of other sources of inequality.

Cesar Augusto Mendonça Zambrano.

Orientador: Eduardo Zilberman.

Co-orientador: Márcio Gomes Pinto Garcia.

Banca: Yvan Bécard. Felipe Iachan.

Capital Controls in Latin American Economies: Stylized Facts, Optimality and Welfare Analysis

The present work investigates the relationship between capital controls and external accounts in Latin American economies and addresses the idea of capital control’s optimality in a small open economy. The work presents capital controls as countercyclical, where they are intended to mitigate adverse shocks in the current account. Also, using data for the Brazilian economy, the results suggest that capital controls may mitigate the volatility of the economy and allow welfare gains in the steady state. At the same time, the work shows that, at excessive taxation, an ad-hoc capital control loses its capacity to generate welfare gains, which in turn alludes certain parsimony in their introduction.

Vitor Araujo de Holanda Jó.

Orientador: Márcio Gomes Pinto Garcia.

Co-orientador: Diogo Abry Guillén.

Banca: Cristina Terra. Eduardo Zilberman. Marcel Scharth.

Anchored Expectations and the Term Structure of Bond Yelds

The relation between asset prices, monetary policy expectations, and macroeconomic data releases has long been assessed by the literature. This dissertation addresses the implications of the anchoring or unanchoring of long-run inflation expectations, as a stance of monetary policy, to the term structure of bond yields. In particular, it aims to understand how this mechanism is connected to the time-varying pattern of both the volatility of nominal yields and their sensitivity to macroeconomic surprises. To that matter, we present a New-Keynesian model with two main characteristics. First, agents have subjective beliefs instead of rational expectations. They learn about the inflation target set by the central bank and their expectations may become anchored or unanchored over time, given the state of the economy. Second, agents face time-varying risk aversion. The model has one main prediction: the sensitivity of the term structure to inflation surprises is not only time-varying, but state-dependent.

Marcela Carvalho Ferreira de Mello.

Orientador: Carlos Viana de Carvalho.

Banca: Marco Bonomo. Stefano Eusepi.

School Time and Crime: Incapacitation Effects in Brazil

Juvenile crime imposes non-trivial costs to societies, which have made its determinants and deterrents increasingly subject of study by economists. School-based interventions are often proposed in order to mitigate the rise in criminal careers and the perpetuation of violence. However, the directions and channels through which schooling may affect crime vary. This paper studies one of them - namely the incapacitation effects - exploiting a federal program that extended school hours in Brazilian public schools. Using quasiexperimental variation in the probability of receiving the program and georeferenced crime data from the state of São Paulo, it is possible to estimate the causal effect of the program on criminal activity in the surroundings of the schools. Results suggest incapacitation does prevent juveniles from engaging in less offensive crimes, with stronger evidence for drug-related crimes and for schools with poorer students.

Eduardo Fagundes de Carvalho.

Orientador: Claudio Ferraz.

Banca: Daniel Ricardo de Castro Cerqueira. Gustavo Gonzaga.

The tax benefits of interest on Equity: Why so many firms forgo them?

Desde 1996, a legislação fiscal brasileira permite que as empresas distribuam lucros para os seus acionistas em duas maneiras distintas: Dividendos e Juros sobre o Capital Próprio. Os Juros sobre o Capital Próprio pagos aos acionistas são dedutíveis do imposto de renda da firma pagadora, mas são tributados no nível do acionista beneficiário. Os dividendos pagos, por outro lado, não podem ser deduzidos do imposto de renda da firma pagadora, mas em contrapartida, não são tributados ao nível do acionista. Tudo o mais, há uma vantagem fiscal em distribuir lucros em Juros sobre o Capital Próprio ao invés de dividendos. Entretanto, muitas empresas brasileiras de capital aberto dispensam essa vantagem fiscal ao distribuir lucros exclusivamente via dividendos. Eu proponho que problemas de agência seriam responsáveis por esse puzzle. Caso uma firma opte por pagar dividendos, os custos fiscais de não distribuir lucros em Juros sobre Capital Próprio são igualmente divididos entre todos os acionistas. Os acionistas controladores, por outro lado, arcam com grande parte do ônus fiscal dos Juros sobre o Capital Próprio recebidos caso a firma possua uma estrutura acionária piramidal. Apresento evidência de que tal assimetria na distribuição dessa carga fiscal pode ser a razão pela qual tantas firmas abdicam de distribuir lucros via Juros sobre Capital Próprio.

Matheus Almeida Dalalana D´Amico.

Orientador: Walter Novaes.

Banca: Ruy Monteiro Ribeiro. Patrick Behr.

Pretrial detention and rearrest: evidence from Brazil

In most legal systems, detaining individuals pretrial is a common practice. Pretrial detention prevents that defendants commit crimes while they wait for their trials, but prison experiences can also encourage future criminal activity. In this paper, we use novel data on detention hearings and in flagrante delicto arrests in the state of Rio de Janeiro to assess the effect of pretrial detention on future crime. Since detention assignment is endogenous to defendants’ characteristics, we adopt an instrumental variable approach that exploits randomly assigned judges who differ in terms of their idiosyncratic tendencies of ordering pretrial detention. Our findings suggest that pretrial incarceration reduces rearrest in the medium term, and that this effect is entirely driven by incapacitation effects. We also provide evidence that pretrial detention increases the probability and the severity of post-release crime.

Beatriz Machado Ribeiro.

Orientador: Claudio Ferraz.

Banca: Joana da Costa Martins Monteiro. Rodrigo Reis Soares.

Campaign Contributions and Credit: Evidence from Brazil

In this paper, I study the relationship between allocation of credit and political campaign contribution. In order to achieve this goal, I use loan data on indirect operations from Brazilian development bank (BNDES) at the firm level between 2003 and 2014. Exploring variation for the same firm contributing and not contributing to political campaign and for type of bank, I test if firms that contribute to political campaign at the federal level have preferential access to credit through firm-bank, firm-time and bank-time fixed effect. I find that politically connected firms increase their likelihood of receiving a loan from state-owned banks. On the other hand, they have a lower probability of receiving a loan from private banks. Results for intensive margin show that companies connected with politicians at the federal level receive, on average, greater credit from federal banks. In addition, these companies borrow lower amounts from private banks. This effect is concentrated on the credit line used to fund machine and equipment. Heterogeneous effects of connections with winning and losing candidates vary according to the econometric model I use.

Roberta Beck Tabajara.

Orientador: Claudio Ferraz.

Banca: Arthur Amorim Bragança. Juliano Assunção.

Connecting the Dots: Assigning FOMC Members to Fed Dots Through Speech Quantification

As (1) points out, monetary policy predictability can enhance a Central Bank stabilization policy efficacy. In this paper we aim to reduce uncertainty about one Federal Reserve forward guidance instrument by estimating full association probabilities distributions between members and the interest rate dot plot for each FOMC meeting. Our contribution to the literature is twofold: first, we propose a general Bayesian algorithm which estimates these association hypotheses between agents and actions whenever they are not observed. Second, we elaborate a novel and less subjective technique for quantifying text into data, using Latent Dirichlet Allocation (LDA) and shrinkage econometric tools. This method shows some desirable features such as positive correlation between the FOMC chair and the rest of the committee, and a policy stance ordering which partially reflects analysts and market participants views on this hawk-dove spectrum. Our tracking algorithm performs successfully in a simulated environment, in a sense that it on average considers the correct member-to-dot association as the most likely one. Using real data on speeches and Fed dots, it is also able to attribute the highest probability to the correct assignment hypothesis in the only meeting it is known for sure

Lucas Zaniboni.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Marcelo Medeiros.

Banca: Diogo Abry Guillén. Leonardo Rezende.

Rent-sharing, gender wage inequality and female-led firms

Gender wage inequality has been widely studied and many explanations have been advanced in the literature. There is growing evidence that firms play an important role in explaining this inequality. In this paper, I make use of a unique setting with exogenous demand shocks to firms to identify if there is evidence of rent-sharing by firms and whether it differs between male and female workers. Controlling for worker quality, I find that increases in the value of the demand shock per worker do not lead to increases in wages. Demand shocks do not have effects on neither male nor female wages. Furthermore, I use a new dataset containing information on gender of firm’s owner and I examine if female and male-led firms behave differently towards their employees. I find no evidence of differential rent-sharing through the structure of the firms’ ownership.


Caterina Soto Vieira.

Orientador: Claudio Ferraz.

Co-orientador: Gabriel Ulyssea.

Banca: Cecilia Machado. Gustavo Gonzaga.

Two Essays on Housing Programs and the Labor Market

This dissertation is comprised of two chapters. In the first chapter, we assess how a large public housing program in Brazil affected short and medium-run employment probability and other labor market outcomes. We use data from lotteries in Rio de Janeiro to identify these impacts. We concluded that the program increased formal employment by about two percentage points and had no effect on informal employment. Moreover, we also find evidence that receiving a house increased wages and the quality of jobs held for the treated individuals and reduced participation in other social programs. Additionally, we used reduced-form models to test the mechanisms that might explain the observed increase in employment probability. We found evidence that the mobility costs from the individual job to the provided houses is an important determinant of the impacts of the program. On the other hand, neighborhood effects, relocation from the individuals’ house, migration and the distance from individuals’ previous homes do not seem to be important mechanisms in explaining the effect of the program on employment. In the second chapter, we complement the previous analysis by building and estimating a static labor supply structural model. We incorporate in the model the simultaneous decision to participate in the labor market and a housing program. We use data for lotteries to help identify the parameters of the model. The lotteries data is also used to out-of-sample validation. Our estimated model is able to reproduce well both the behavior of individuals in the data used for estimation and in the experimental hold-up sample. Then, we use this model to perform policy experiments and evaluate counterfactuals.

Carlos Alberto Belchior.

Orientador: Gabriel Ulyssea.

Co-orientador: Gustavo Gonzaga.

Banca: Cecilia Machado. Claudio Ferraz.

A economia da política do toma-lá-da-cá

Suspeitas de compra de votos e barganha de favores políticos marcaram os processos de impedimentos presidenciais no Brasil. É o toma-lá-dácá no Congresso. Essas atividades são menos relevantes nos processos de impedimento norte americanos e nos votos de desconfiança em regimes parlamentaristas. Nesta dissertação, desenvolvo um modelo no qual o tomalá-dá-cá no Congresso implementa o mecanismo ótimo de incentivos a chefes de governo sujeitos a risco moral na execução de suas plataformas políticas. Há um tradeoff entre a execução da plataforma vitoriosa nas eleições e tomalá-dá-cá no Congresso. Se a base aliada é capaz de induzir o presidente a governar conforme suas promessas de campanha, o desenho ótimo inclui a possibilidade de impedimento, mas votos no Congresso sobre o impedimento refletem o desempenho de governo.

Yuri Lemos de Oliveira Pinto.

Orientador: Walter Novaes.

Banca: Humberto Moreira. Timo Hiller.

Unemployment Insurance and Labor Turnover: Evidence from Brazil

Estudos recentes estimam que a elegibilidade ao programa de seguro desemprego aumenta a probabilidade de demissão em 12% no Brasil. Esse artigo desenvolve um modelo de equilíbrio parcial onde trabalhadores buscam por emprego e podem se demitir para coletar benefícios do seguro desemprego. Calibramo-lo usando dados do Brasil e o utilizamos para medir as consequências desse comportamento sobre o acúmulo de capital humano específico à firma e sobre a produtividade do trabalho na economia. Por meio de exercícios contrafactuais, descobrimos que tornar a elegibilidade ao seguro desemprego mais estrita aumentaria o salário médio, a estabilidade no emprego, mas também a taxa de rotatividade. Discutimos esse último resultado e concluímos que isso depende de como a política modifica a fração de trabalhadores empregados que voluntariamente se separam de seus empregos. Em outro exercício, encontramos uma relação negativa entre a mudança na taxa de reposição do programa de seguro desemprego e a duração média do emprego.

Alison Rocha de Farias.

Orientador: Gabriel Ulyssea.

Co-orientador: Gustavo Gonzaga.

Banca: Juliano Assunção. Renata del Tedesco Narita. Augusto Cesar Pinheiro da Silva.

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