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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.

The Fiscal Theory of the Price Level with Nominal Revenues and Expenditures

The usual assumption that fiscal policy is set in real terms is neither realistic nor innocuous. In this article, I propose a model that accounts for the existence of nominal revenues and expenditures. This creates an unexplored channel through which monetary and fiscal policies interact. I show that, in this environment, the price level can be fiscally determinate, even when all government debt is real. Also, the effects of monetary and fiscal policies are sensible to the degree of indexation in the government budget. For instance, a monetary policy tighten can cause a temporarily reduction of inflation, in the short-run. In order to gauge how relevant are these nominal components, using Bayesian techniques, I estimate the model for the US economy.

M392

Marcos Kiehl Sonnervig.


Orientador: Tiago Couto Berriel.

Co-orientador: Carlos Viana de Carvalho.

Banca: Eduardo Henrique de Mello Motta Loyo. Eduardo Zilberman.

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Uma proxy para aversão ao risco avaliada no mercado de ações

Diferentes medidas de aversão ao risco têm sido propostas pela literatura, entretanto nenhuma delas é fortemente aceita pelos pesquisadores. A partir do valor das aposta nos cassinos, eu calculo a propensão a apostar de cada período e uso essa medida como uma proxy da aversão ao risco agregada. Dessa forma, eu consigo uma medida de aversão ao risco que pode variar com o tempo. Para avaliar essa medida, eu estudo a ligação que essa proxy tem com o ciclo econômico e a sua capacidade de prever o retorno da carteira de mercado no longo prazo.

M 393

Daniel Lívio Alencar Cordeiro.


Orientador: Ruy Monteiro Ribeiro.

Co-orientador: Eduardo Zilberman.

Banca: João Vitor Issler. Marcelo Medeiros.

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Financial institutions, growth, and inequality: A quantitative exploration of financial development in Brazil

Starting on the early 2000s, financial depth and access to financial services surged in Brazil. The ratio of external finance to GDP increased from just over 50% to 110% from 2003 to 2012. During this period, the Brazilian economy also experienced strong growth with decreasing income inequality. The objective of this work is to gain perspective on the aggregate growth effects and the distributional consequences of the financial development as observed in Brazil from 2003 to 2012 through the lens of a dynamic model with financial frictions, where agents who differ in their ability as workers and entrepreneurs make occupational and productive choices under credit constraints. The model yields predictions of income inequality and wealth mobility, as well as productivity and the size distribution of firms. We calibrate the model to match the Brazilian economy before the financial reforms and use it to quantify the consequences of reducing financial frictions on TFP, GDP, and inequality.

M394

Pedro Martins Pessoa.


Orientador: Juliano Assunção.

Banca: Eduardo Zilberman. Felipe Iachan.

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Does information on school quality affect voting? Evidence from Brazil

This paper examines if voters act upon information about public service delivery. We explore a natural experiment in Brazil, which provided an objective measure of quality for some public schools, but not for others. To use this variation, we look at polling stations that are located at municipal schools and compare electoral outcomes in mayoral elections in informed and non-informed groups of voters, before and after the information release. We find that, on average, receiving information about school quality does not affect the incumbents’ electoral outcomes. When taking into account the content of the information received, good performance slightly increases the support for the incumbent.

M 391

Marina Villas Boas Dias.


Orientador: Claudio Ferraz.

Banca: Gabriel Ulyssea. Vladimir Pinheiro Ponczek .

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Public Sector and the Allocation of Skills in the Labor Market

This paper investigates how the size of public sector employment affects the allocation of skills in the private sector. I develop a Roy model were workers self-select into either public or private sector. Workers are heterogeneous in their skills and risk aversion. There are some distinguishing features in public sector employment that make public sector wages more certain and disproportionately high for some skill levels. Those differences may influence workers' sector decision unevenly across skills, affecting the skill distribution available to the private sector. The private sector is characterized by positive assortative matching between skills and tasks. Changes in the skill distribution available to the private sector have effects on the allocation of skills to tasks which has consequences on wage inequality and productivity in the private sector. I estimate this model for Brazil using worker level data for the years of 2011-4 and use it to perform counter-factual exercises. Results show that removing the public sector from the economy increases private sector average productivity, decreases the college wage premium, but increases wage inequality.

M390

Ana Beatriz Ract Pousada.


Orientador: Gabriel Ulyssea.

Banca: Cecilia Machado. Claudio Ferraz.

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Optimal monetary policy in a global liquidity trap

What should be the characteristics of the optimal monetary policy under commitment in the situation of “global liquidity trap” when Central Banks do not coordinate their actions? Using a two-country open economy model, we perform a numerical exercise in order to address this question and study the differences between this setting and a cooperative situation, when monetary authorities are not only worried with the national household utility but instead maximize a measure of world welfare. Our findings points towards differences of history and international dependence features of optimal monetary prescriptions in each of the observed cases. We also execute a welfare analysis of our experiment that suggests that a local Central Bank prefers, not only to stay restrained by zero lower bound on nominal interest rates for a longer period, but also that the foreign country exists this situation as early as possible. Lastly, we make a robustness analysis of our results varying the size of each nation and the degree of substitution of the composite goods produced in each locality.

M389

Bernardo Calvente.


Orientador: Tiago Couto Berriel.

Banca: Eduardo Zilberman. Marco Bonomo.

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Product discovery in the PC games market

This paper investigates the role of product discovery in the demand for video games. We show that the lifetime sales patterns for video games vary widely, with some games selling most of their units in the first months after launch and others having longer tails. To understand these differences we propose a demand model by which consumers are periodically informed about the existence of a game and explore the lifetime sales patterns that this implies. We then take it to the data using price and sales figures from the Steam digital platform and web search figures from google trends. Our results imply that sales 3 months after launch are on average half of what the should be were consumers fully informed.

M 388

Luís Paulo Fernandes Bretanha Jorge.


Orientador: Leonardo Rezende.

Banca: Fábio Miessi Sanches. Andre Garcia de Oliveira Trindade.

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The politics of government advertisement: evidence from Brazil

Using an unique data set of central government expenditure on advertising in Brazil, we shed light on the behavior of public advertisers and on the relation between government ads and voting. In particular, we investigate political motivations behind the allocation of the advertisement budget by the federal government and its impacts on voting. Borrowing insights from the literature of distributive politics in Political Science, we first correlate ads money and votes for the government's party on the local level. Next, we exploit plausible exogenous variation on FM radio signal coverage to test if money spent on ads turn into votes for the government's party. Our findings show that although past presidential election outcomes predict where in the territory the government places ads, voters do not seem to be persuaded by those ads to favor the party in power.

M387

Bernardo Barboza Ribeiro.


Orientador: Claudio Ferraz.

Banca: Juliano Assunção. Raphael Bottura Corbi .

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The political economy of fiscal multipliers

This paper investigates if fiscal fragility influences the magnitude of fiscal multipliers. We define states of fiscal fragility based on the literature on politico-institutional determinants of fiscal deficits. Using quarterly data for 44 countries, we find that fiscal multipliers in fiscally fragile economies are smaller than in economies expected to have greater surpluses. 

M 386

Gustavo Cicchelli de Sá Vieira.


Orientador: Eduardo Zilberman.

Banca: Luciano Vereda Oliveira. Tiago Couto Berriel.

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Demographics and the Fisher Effect in the Nineteenth Century

There is little response of nominal interest rates to inflationary movements in the second half of the Nineteenth Century, while the Fisher equation would predict a one-to-one relation between these economic variables. Most of the previous answers to this observation rely on some sort of irrationality argument (Fisher (1906), Friedman and Schwartz (1982), Summers (1983) and Barsky and De Long (1991) are some examples) or state that there are problems in the data used (Perez and Siegler (2003)). In this thesis, I argue that this is not due to agent irrationality, but to the lowering of the equilibrium interest rate level as a response to a demographic transition attributed to advances in medical science and enhancements in sanitation infrastructure. I build an stylized overlapping generations model based on Gertler (1999) that captures the main features of the American Economy during this period, then calibrate it and conduct experiments to show that Barsky and De Long's (1991) "strike" on the Fisher Effect does not hold when the demographic channel is turned off.

M 385

Matheus de Barros Santa Lucci e Silva.


Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Cezar Santos.

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Informationally efficient markets under rational inattention

We propose a new solution for the Grossman and Stiglitz [1980] paradox. By substituting
a rational inattention restriction for their information structure, we show that prices can reflect all the information available without breaking the incentives of market participants to gather information. This model reframes the efficient market hypothesis and reconciles opposing views: prices are fully revealing but only for those who are sufficiently smart. Finally, we develop a method for postulating and solving Walrasian general equilibrium models with rationally inattentive agents circumventing previous tractability assumptions.

M 384

André Medeiros Sztutman.


Orientador: Carlos Viana de Carvalho.

Co-orientador: Tiago Couto Berriel.

Banca: Leonardo Rezende. Felipe Iachan.

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Protests, concession and repression in a networked society

We develop a sequential game between groups of individuals taking part in a mass protest and a democratic government facing electoral constraints. The groups are connected by a network of participation externalities, as participation from individuals generate arbitrary heterogeneous externalities in members of other groups. This setting allows us to study a myriad of unexplored phenomena like how the presence of strong leaderships or radical groups affect protests' pattern of participation and the likelihood of repression. Our results explain in particular how the recent communication revolution affected protests' outcomes. In a nutshell, our results indicate that horizontal protests are more likely repressed and unpopular radical groups diminished the likelihood of ousting the incumbent from office, implying that the government will use any means at its disposal in order to consolidate radical groups.

M383

Pedro Bessone Tepedino.


Orientador: Vinicius Nascimento Carrasco.

Banca: Leonardo Rezende. Thierry Verdier. Bernardo Vasconcellos Guimarães.

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Legalize it? The effects of California's medical marijuana law on violent crime

There is a large debate among both scholars and policy makers about the potential effects of drug legalization on crime. On the one hand, proponents of drug criminalization claim that legalization would lead to greater consumption and crime. On the other hand, advocates of drug legalization (e.g. Friedman, 1991) argue that prohibition itself can cause more crime by lowering the marginal cost of violence or diverting police resources away from deterring non-drug crimes. In this paper, we examine one specific drug that corresponds to a large share of the drug consumption: Marijuana. For that, we analyze California's pioneer experience with medical marijuana legalization, which started in 1996. California's experience is particularly interesting because it was close to a de facto total legalization of the drug, including for recreational purposes. We use a synthetic control approach to estimate the impact of marijuana legalization on violent crime. The results indicate a reduction of 13% on violent crime.

Gustavo Tovar Albuquerque.


Orientador: Gabriel Ulyssea.

Banca: Juliano Assunção. Rudi Rocha.

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The added worker effect for married women and children in Brazil: a propensity score approach

The added worker effect (AWE) is the increase in the likelihood of an individual entering the labor force in response to the household head's job loss. This dissertation estimates the AWE for married women and children in Brazil using a propensity score approach. We find evidence of a significant AWE for both groups, in particular for the children. We also investigate the recent surge in the Brazilian population of young people not in work, employment or training (NEET) using the same AWE framework. Our results suggest that the increase in real wages and shorter unemployment spells Brazil experienced in recent years played a significant role in the Brazilian NEET phenomenon.

Daniel Gomes da Silva.


Orientador: Gustavo Gonzaga.

Banca: Gabriel Ulyssea. Mauricio Cortez Reis.

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Populism in general equilibrium :indirect efects on political support

We present a version of the standard general equilibrium model with heterogenous agents and incomplete markets to address matters of populism and political support of governments. The novelty is to assume that governments may expropriate part of the resources in the economy. We highlight a new mecanism in which a populist government can obtain the approval necessary to maintain power. Transfers to poorest/less productive households increases the equilibrium interest rates, by reducing precautionary savings, benefiting rich capital holders and creating a coalition between them. Further, we calibrate the model to a standard U.S economy and conduct some comparative statics in key parameters to address the likelihood of such arrangement.

Marcel Chamarelli Gutierrez.


Orientador: Eduardo Zilberman.

Co-orientador: Tiago Couto Berriel.

Banca: Gabriel Ulyssea. Pedro Cavalcante Gomes Ferreira.

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Term structure of variance and dividend returns

We extend the literature on the term structure of variance risk price and dividends strips. First we show that a substantial amount of S&P’s equity premium is on the medium and long run dividends, contrary to previous literature. Then we indicate that market aggregated liquidity is relevant for the returns of variance related assets. We also provide some insights on the connection between these assets and show that the slope of the variance risk curve is a good predictor for monthly returns. Finally, we show that a properly calibrated version of Dreschler and Yaron (2010) can account for most of these stylized facts, as mean returns, Sharpe ratios and returns correlations.

Leandro de Miranda Gomes.


Orientador: Ruy Monteiro Ribeiro.

Banca: Carlos Viana de Carvalho. Marco Bonomo.

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Inflation Financing and banks balance sheet: a fiscalist stagflation

We develop a New Keynesian model with financial frictions and a maturity mismatch on banks balance sheets. The longer maturity of assets relative to liabilities gives rise to a inflation mismatch, as the former become more sensitive to unanticipated price shocks. Based on the Fiscal Theory of the Price Level, we study the costs of inflation financing in this environment and offer alternative interpretation for crises episodes arising from unsustainable fiscal policy. Contrary to conventional models with fiscal determination and price rigidities, we find that deficits can be stagflationary as inflation deteriorates banks balances, reducing capital finance, investments and output. The fall on capital acts a supply side shock to the economy, rising the cost of capital and inflation, which helps to restore government solvency.

Moises Shalimay de Souza Andrade.


Orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Eduardo Henrique de Mello Motta Loyo.

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Instrument Selection and Identification of Macroeconomic Equilibrium Conditions

Mavroeidis (2005) alertou que equações de equlíbrio motivadas por modelos macroeconômicos com expectatvas racionais poderiam ser fracamente ident_cados devido ao uso de instrumentos fracos. Eu argumento que, embora tais preocupações sejam legítimas, elas não são empiricamente graves, contanto que instrumentos sejam devidamente selecionados. Eu utilizo um modelo DSGE estimado de média escala como laboratório para avaliar estimação uniequacional de condições de equilíbrio macroeconômicas. Apresento estimadores baseados no LASSO que selecionam instrumentos e tem boa performance em amostra _nita, que argumento funcionam melhor em relações que incluem termos de expectativa, como a Curva de Phillips Novo Keynesiana. Por último, faço uma aplicação empírica para a Curva de Phillips da economia dos Estados-Unidos e as estimativas validam um componente de expectativa predominante.

Marcelo Moura Jardim Teixeira Sena .


Orientador: Tiago Couto Berriel.

Co-orientador: Marcelo Medeiros.

Banca: Carlos Viana de Carvalho. João Vitor Issler.

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(Your) ignorance is bliss :robust moral hazard

We consider an environment with moral hazard where a principal and agent have heterogeneous beliefs as to how actions map to output. We focus first on optimal contracts when the principal is at some level aware of the agent's biases, demonstrating that standard firm sale is generally suboptimal in such contexts. We then look at optimal contract design when a principal who is faced with total uncertainty regarding an agent's beliefs demands robustness to his own ignorance.

John Joaquim Sigaud Pease.


Orientador: Walter Novaes.

Banca: Humberto Moreira. Leonardo Rezende.

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