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Dissertations

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.

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.

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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.

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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.

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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.

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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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Non-conventional Monetary Policy in Turkey: A Synthetic Control Approach

Do alternative monetary policy frameworks actually work? After the financial crisis and especially in late 2010, Turkey faced a conjecture of high volatility in international capital flows and deteriorating current account. The Central Bank of Turkey decided, then, to innovate the way it executes monetary policy, by introducing a new set of instruments and focusing on credit and exchange rate channels. This paper is a comparative case study that evaluates the effectiveness and impact of Turkey’s change in policy framework on its main monetary variables. We apply two different synthetic control methods. Our estimates suggest inflation and exchange rate were not considerably affected. Although there was an initial deviation towards desirable directions, the effects dissipated after one year. On the other hand, domestic credit seem to have presented a stabilization path.

Tiago Lamberti Negreira.


Orientador: Márcio Gomes Pinto Garcia.

Banca: Marcelo Medeiros. Luciano Vereda Oliveira.

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Bolsa Família and formal employment: evidence from Brazilian municipalities

In this paper we study the impact of Bolsa Família’s CCTs on the number of formal jobs at the municipality level. We find a highly heterogeneous effect across municipalities. Previous works on this topic considered only the effect on the average municipality. We show evidence that the program’s effect can be five times higher on the poorest municipalities, corresponding to 1% increase in formal jobs for a 10% increase in the number of beneficiaries. To accomplish so, we combine administrative data on the program enrollment with data on the universe of formal jobs. This allows us to overcome the problem of measurement error in the treatment variable. Robustness checks indicate that the effect remains significant after controlling for health, educational, climatic shocks, financial and political factors.

Pietro Scodiero Consonni.


Orientador: Pedro Carvalho Loureiro de Souza.

Co-orientador: Eduardo Zilberman.

Banca: Gustavo Gonzaga. Miguel Nathan Foguel.

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Disentangling aggregate and sectoral shocks using price microdata

We estimate the volatility of aggregate and sectoral shocks, as well as their contributions to business cycles fluctuations, using price setting data. The key idea is that sector-specific innovations are associated with the dynamics of price setting statistics, such as average size of price adjustments, within a single economic sector, while the volatility of aggregate disturbances can be inferred from the correlation of these statistics across different sectors. Therefore, price setting data provides useful information about the nature of economic fluctuations. We employ a rich price setting model in which firms face not only menu costs, but also informational frictions and estimate it using Simulated Method of Moments and data from the UK. We find that sectoral shocks are considerably more volatile than their aggregate counterparts.

 

Rodolfo Dinis Rigato.


Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Marco Bonomo.

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Pre-FOMC Announcement Relief

We show that the pre-FOMC announcement drift in equity returns happens mostly in periods of high market uncertainty/volatility. More precisely, this abnormal return is explained by a significant reduction in risk premium prior to the announcement in periods of high market volatility. We also show that the relevant measures of uncertainty/volatility are persistent and are not related to policy uncertainty or policy expectations. Markets do not become stressed in the days prior the announcement and the uncertainty resolution is not reversed in the days after the meeting either. The relation between market uncertainty and pre-FOMC drift in equity returns is robust to different samples and to alternative measure of uncertainty or risk premium.

M403

Vitor Gabriel Rivas Martello.


Orientador: Ruy Monteiro Ribeiro.

Banca: Diogo Abry Guillén. Marco Bonomo.

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Forecasting Large Realized Covariance Matrice: The Benefits of Factor Models and Shrinkage

We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S&P 500 on a daily basis. To deal with the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g. size, value, profitability) and use sectoral restrictions in the residual covariance matrix. This restricted model is then estimated using Vector Heterogeneous Autoregressive (VHAR) models estimated with the Least Absolute Shrinkage and Selection Operator (LASSO). Our methodology improves forecasting precision relative to standard benchmarks and leads to better estimates of the minimum variance portfolios.

M404

Diego Siebra de Brito.


Orientador: Marcelo Medeiros.

Co-orientador: Ruy Monteiro Ribeiro.

Banca: Diogo Abry Guillén. Marcelo Fernandes.

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Credit Crunches and Inequality Dynamics

I develop an entrepreneurship model with occupational choices in an environment where agents face binding credit restrictions. I show that in economies where financial markets are tighter, the distribution of wealth is characterized by higher levels of inequality. The model is consistent with documented results in the literature concerning losses in TFP and other aggregate outcomes. I also analyze the transition dynamics of the wealth distribution in the aftermath of a once-and-for-all credit crunch shock and show that wealth accumulation might mitigate the misallocation implied by such adverse shocks.

M405

Guilherme Neves Silveira.


Orientador: Eduardo Zilberman.

Banca: Carlos Viana de Carvalho. Pedro Cavalcanti Ferreira.

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Does structural change lead to inequality change? A macroeconomic approach.

While structural change literature has been mainly focused on explaining the Kuznets Facts - a set of regularities concerning sectoral dynamics throughout economic growth - important issues were left apart. Inequality was one of them: Kuznets himself, when making some of the first documentation of structural change patterns, repetitively expressed his concern that inequality and sector reallocation were linked. In this regard, we seek to extend the benchmark model of structural change to introduce wealth and income distribution. We allow idiosyncratic risky and incomplete markets in a two-sector environment of growth. In a quantitative exercise, a secular transition from a poor and good's producer economy to a richer and service-based one is conducted. We establish how a time-varying relative price of consumption and investment - yielded by the model's multi-sector structure - plays an important role in the inequality behavior. Watching a rising trend for this relative price, agents allocate more consumption to the beginning of the transition. With the subsequent rise in interest rates and the lower accumulation of capital, inequality soars within this period. We also show that, when workers may be restricted to switch sectors, income inequality jumps during the first years, while wealth inequality actually becomes smaller than in the frictionless case. Finally, we calibrate the model based on the US economy 1950-2000, obtaining a good fit for sectoral shares, and a reasonable fit for income Gini percent variations. Our consumption-investment relative price effect on inequality does not explain the rise in the Gini index after the 1980s.

Bernardo Silva de Carvalho Ribeiro.


Orientador: Eduardo Zilberman.

Co-orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Pedro Cavalcanti Ferreira.

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Legal Capacity, Historical Development, and Firm size: Evidence from Colonial Peru

The literature on economic development emphasized that historical events have long-term persistence over current social welfare. Specifically, places with historical state capacity are more developed than places without it. In this paper, we focus on how rule of law presence, one crucial dimension of state capacity, affects the dynamics and structure of firms. Therefore, we focus on one mechanism through which state capacity affects development. This relationship is analyzed for the Peruvian case. We use rich data from the national tax collector, the national economic census and a historical census of the state administration carried in 1793 to analyze the persistent effect of rule of law presence over firms’ development indicators. Our baseline results present evidence of a persistent and significant positive effect of the historical presence of rule of law over formalization, firm’s size and labor productivity; also, we find that firms prefer to relate each other through markets rather than adopt vertical structures in places with historical presence of rule of law. Our evidence is robust to the addition of important historical socioeconomic variables and the exclusion of Lima. Furthermore, the presence of courts appears to be the most important dimension of rule of law presence. Second, we analyze the effect of the historical presence of rule of law over the current presence of rule of law as a potential channel of persistence. We argue that having rule of law institutions in the colonial period affected the relative cost of subsequent investments in state capacity held during the republic period. Our findings are robust to alternative specifications (IV model and network framework). Finally, we present preliminary evidence on mechanisms. Municipalities with historical presence of rule of law have loosened financial frictions, demand less informal credit and have better conditions to obtain a functioning license. These results suggest that informal and formal rules may evolve differently and that the cost of access to rule of law-related services is important.

M402

Alvaro Esteban Cox Lescano.


Orientador: Claudio Ferraz.

Banca: Juliano Assunção. Leonardo Monteiro Monasterio.

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Macroprudential Policies at Work: How do Government-Owned Banks affect Credit Markets?

How countercyclical macroprudential credit policies affect the interest rate spread? To answer this question, we propose a banking completion model. We use data from Brazil, where government-owned banks whose outstanding loans accounted for almost half of the credit market, but also have played a strong countercyclical role in the economy. In our model, we build upon Cournot banking competition models in order to consider the differences in behavior between public and private loans, as well as to distinguishing features observed between firms and consumers credit market. Our results show that the presence of counter-cyclical public credit reduces the spread when the risk in the economy is high but, on the other hand, reduces the supply of credit provided by private banks not just through the conventional quantity channel of Cournot competition, but also by lowering the risk premium faced by the banks in credit market, which intensifies the retraction in private credit supply in economic downturns.

M401

Paulo Rodrigo Capeleti.


Orientador: Márcio Gomes Pinto Garcia.

Co-orientador: Fábio Miessi Sanches.

Banca: Klênio de Souza Barbosa. Leonardo Rezende.

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Do Neighbors Vote Alike? Evidence from the Brazilian Congress

This work analyses the presence of peer effects in the Brazilian Congress among federal deputy. I test if a deputy is influenced by its nextdoor neighbor when casting a vote for a proposition. Since politicians can select colleagues with similar political position to be their neighbors, I use an office lottery that randomly allocates offices for newcomers and test if office proximity increases the likelihood of agreement. I use data for all 1026 Brazilian federal deputies from 54th and 55th legislature elected in 2010 and 2014 and observe their votes in all propositions held between February 2011 and May 2017. I find that being next-door office neighbors does not increase the probability of agreement. Similar findings are obtained when restricting the sample for different types of proposition, for deputies from the same party, as well as for congressmen from the same state.

Fernando Martins Secco Luce.


Orientador: Claudio Ferraz.

Banca: Fábio Miessi Sanches. Carlos Eduardo Ferreira Pereira Filho.

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Wage Inequality, Firms and Informality: Theory and Evidence from Brazil

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

Roberto Hsu Rocha.


Orientador: Gabriel Ulyssea.

Banca: Claudio Ferraz. Miguel Nathan Foguel.

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Why do Brazilian bank-affiliated mutual funds underperform?

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

Pompeu Hoffmann Junior.


Orientador: Ruy Monteiro Ribeiro.

Co-orientador: Walter Novaes.

Banca: Alexandre Lowerkron. Marco Bonomo.

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Aviation Technology and Air Traffic Networks

This paper studies to what extent the development of new aircraft shapes airlines' network structure. I argue that modern aircraft are more efficient and well suited to operate flights between smaller and less central cities, hence favoring the service of more markets in the periphery of the network. Using U.S. air traffic data, I employ a discrete choice framework to model airlines' entry decisions and the subsequent aircraft choice to each market. Counterfactual experiments show that had aircraft technology ceased to improve in 1999, the air traffic network as a whole would be more centralized, airlines would be operating more hub-centered networks, reaching fewer cities, and serving fewer markets

M398

Bruno Henrique Castelo Branco.


Orientador: Pedro Carvalho Loureiro de Souza.

Co-orientador: Leonardo Rezende.

Banca: Fábio Miessi Sanches. João Paulo Cordeiro De Noronha Pessoa.

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The Mechanisms Behind the Effect of Social Media on Protesting Behavior: Evidence from Brazil

I show that social media activity, through Twitter, positively affected protesting behavior during the Brazilian demonstrations of June 2013. I use variation in internet quality and access across municipalities as a source of exogenous variation in Twitter activity, in order to overcome a problem of reverse causality. I find, for the preferred specifications, that a 10\% increase in Twitter activity led to an increase of 16\% in the number of protestors in the streets and an increase of 10.2\% on the probability of an event happening. Furthermore, results indicate that the mechanism behind the effect of social media in protesting behavior was an intra-day pre-protest coordination, rather than live coordination, or days ahead coordination, and that negative propaganda against the government did not play a role through social media.

M 397

Felipe de Almeida Alvarenga Pereira.


Orientador: Pedro Carvalho Loureiro de Souza.

Banca: Gabriel Ulyssea. Rudi Rocha. Francisco Junqueira Moreira da Costa.

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