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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.

Lift-off Uncertainty: What Can We Infer From the FOMC’s Summary of Economic Projections?

What kind of information can we extract from the Summary of Economic Projections? We use two DSGE models subject to the Zero Lower Bound to answer two questions. First, we calibrate versions of these models under different assumptions about the degree of policy commitment, and assess which specification provides the best fit to the so-called “SEP dots”. We then use the best fitting specification for each model to construct uncertainty bands around interest rate forecasts to quantify the lift-off uncertainty. Our results suggest that the Federal Reserve has decreased its commitment degree in 2013 and, specially, in 2014. The reduction follows a change in the FOMC forward guidance statement, and increases with the Quantitative Easing tapering. As for uncertainty, our median projection indicates the lift-off will occur in 2015Q2, but there is some risk that rates will increase in 2015Q1 or remain at zero until the end of 2016.

Octavio Portolano Machado.


Orientador: Carlos Viana de Carvalho.

Co-orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Ruy Monteiro Ribeiro. Tiago Couto Berriel. Stefano Eusepi.

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Two Essays on Liquidity and Strategic Interaction

In this master’s degree thesis, I present two essays based on classic models of strategic interaction. In both essays, the overarching theme is how liquidity relates to asymmetric information. On the first, the aim is to investigate bargaining over an illiquid option subject to exogenous uncertainty. In particular, I develop a bargaining model in which the underlying uncertainty is better predicted by the buyer and establish that the existence of the seller’s exercise option allows “deadline strategies” that are shown to be part of the equilibrium of such game. In other words, the seller fixes a date to exercise her outside option, provided that the trade does not take place until that time. On the second essay, I seek to investigate how borrower runs relate to external funding thorough a market for bank loans. This essay’s conclusion is that borrower runs may be a driver of the originate-to-distribute banking business model, for it induces the sale of loans irrespective of their quality, rendering the market for bank loans information insensitive. This result might be relevant in the context of relationship banking.

Caio Rangel Praes.


Orientador: Vinicius Nascimento Carrasco.

Banca: Leonardo Rezende. Pablo Hector Seuanez Salgado. Vinicius Nascimento Carrasco.

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Crop rotation and the dynamics of Brazilian Agriculture

Crop rotation is a land management practice used in the world's largest grain producing countries that can deliver important insights on how landowners react to changes in incentives to produce crops. The existence of such practices should be taken into account in the evaluation of policies that have impact on crop choice and land use. In this paper, we are interested in the impact on cropland area of changes in incentives generated by different types of policies. We incorporate crop rotation into our model by considering that productivity gains are obtained by cultivating soybeans and corn in a particular sequence and estimate those gains. As the crop choice is tied to previous planting decisions, the farmer's problem is intrinsically dynamic. Therefore, we estimate a structural model that accounts for the dynamic interdependencies between productivity functions of these two crops, using data from 30 grain-producing municipalities in Brazil. Using this framework, we show that a policy that stimulates the production of soybeans has an indirect positive effect on corn production. This approach allows for a richer analysis of the impact of policies across markets affected directly and indirectly. Finally, the result differs from the ones reached by static and single-choice approaches in terms of the magnitude of the impact of such policies over crop supply and, by extension, over prices. It also differs in its prediction of the magnitude of the environmental cost of policies that promote crop production.

Vitoria Rabello de Castro.


Orientador: Juliano Assunção.

Co-orientador: Leonardo Rezende.

Banca: Arthur Amorim Bragança. Gabriel Ulyssea. Juliano Assunção. Leonardo Rezende.

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Transitions in Central Bank Leadership: Empirics and a Simple Theory

The importance assigned to the identity of a central banker demonstrates that transitions of central bank leadership are an important aspect of monetary policy. This has been overlooked by the literature. Our paper analyses these issues within empirical and theoretical frameworks. We provide empirical evidence, within a country panel, that transition periods are associated with a more contractionary monetary policy stance. We then develop a model of monetary policy temporal inconsistency to show how a departing central banker can, by distorting his 
nal decisions, aff ect the public's beliefs about his successor: a reputation transfer takes place

Tiago Tavares Flórido.


Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Leonardo Rezende. Bernardo Vasconcellos Guimarães.

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Estimating the Nature of Political Corruption: Evidence from a Policy Experiment in Brazil

This paper proposes a test to estimate the nature of political corruption in developing countries: embezzlement by self-enriching politicians versus corruption that originates as a quid-pro-quo from campaign contributions. If politicians make their decision about being or not corrupt rationally, then increasing the punishment for corrupt practices or the probability of getting caught should reduce corrupt practices (Becker, 1968). If corruption is a response of politicians to firms that finance their campaigns, an increase in punishment should yield not only a reduction in corruption but also a reduction in the demand for projects that are corruptible, such as projects on infrastructure. We test these explanations for corrupt practices using a randomized policy experiment in Brazil. We exploit the fact that some municipalities were randomly chosen to have their probability of being audited increased and we analyze public data of block grants. We find a significant decrease in the resources requested by the mayors to execute projects in infrastructure. Also, this effect is more pronounced if the municipality has been audited in the past, evidence that mayors respond to credible policies. Finally, this effect is larger if mayor’s campaign was strongly financed by construction companies. In sum, our findings suggest that mayors are committed with campaign contributors and respond to larger probability of audits by reducing the amount of resources requested for infrastructure projects.

Murilo Ramos Rodrigues de Paula.


Orientador: Claudio Ferraz.

Banca: Juliano Assunção. Francisco Junqueira Moreira da Costa.

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A High-Frequency Analysis of the Effects of Central Bank Communication on the Term-Structure of Interest Rates in Brazil

This work analyzes the effect of the central bank’s communication on the interest rate curve. To do so, we seek to quantify the content of the statement released by the Central Bank of Brazil after the Selic rate’s decision and we build semantic scores using the Google and the Factiva Dow Jones’ search queries, based on Lucca and Trebbi (2011). These scores capture the semantic orientation of the statements, in
other words, if they have a "hawkish" or a "dovish” bias. We note that movements of the semantic scores anticipate movements of the Selic rate. Using intraday data, we analyzed its effect in the term structure of interest rates in different periods of time in the following business day after the statement release, controlling for the effects of the monetary policy surprises. We note that there is an intraday dynamic throughout the day. However, analyzing the period before and during Tombini’s mandate, it does not seem to be clear in which maturities the semantic scores have significant effects.

Thiago de Andrade Machado.


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Fernanda Feitosa Nechio. Marcelo Medeiros.

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Dissecting Chimerica: A Structural Decomposition of Global Imbalances

In a speech to the Federal Reserve Board in 2005, chairman Ben Bernanke put forth the hypothesis of a Global Savings Glut to explain the recurring American current account deficits. According to him, the world was experiencing an excess of desired savings over desired investment, which drove capital flows to the United States and reduced global real interest rates. Building on the framework of Gertler (1999) and Ferrero (2010,0), this paper provides a structural decomposition of global capital flows in a 3-country global economy model with imperfect capital mobility, including the United States, the rest of the rich economies, and China. I find that differences in the stage of the demographic transition of each region and in social security systems help explain the flow of capital from China to the United States, compensating the differences in productivity growth, which would drive the flow in the opposite direction. Finally, I present a scenario for the trends of capital flows and real interest rates for the next decades.

Felipe Ruiz Mazin.


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Pedro Cavalcante Gomes Ferreira.

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Impactos de Financiamento Estudantil sobre Encargos Escolares: Consequências do FIES

Criado em 1999, o Fundo de Financiamento Estudantil (FIES) é um programa do Governo Federal destinado à concessão de financiamentos a alunos matriculados no ensino superior não gratuito. O programa adquiriu relevância após sofrer substanciais alterações normativas e operacionais ao longo do ano de 2010. Como resultado, a procura pelo financiamento registrou aumento significativo. Esse fluxo de novos alunos financiados atingiu de maneira heterogênea diferentes Instituições de Ensino. No trabalho, exploramos essa heterogeneidade com o objetivo de investigar se esse relaxamento de crédito estudantil via FIES teve algum efeito sobre taxas escolares e/ou sobre financiamentos institucionais. Por meio de uma estratégia de diferenças em diferenças, mostramos que o FIES causou aumento de mensalidades. Em seguida, usamos um modelo estrutural de demanda para aferir se o aumento é devido a uma diminuição de elasticidade ou a um deslocamento da curva de demanda.

Isabela Ferreira Duarte.


Orientador: João Manoel Pinho de Mello.

Banca: João Manoel Pinho de Mello. Leonardo Rezende. Luis A. V. Catão. Luis Braido.

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Heterogeneidade na resposta de instituições financeiras à política monetária: evidência com base em um FAVAR

Neste trabalho estudamos o canal de crédito de política monetária por meio da análise da resposta em nível desagregado de bancos comerciais a inovações de política monetária no Brasil. Os efeitos de um choque monetário são estimados em um factor augmented VAR considerando um amplo conjunto de informação que busca aproximar o considerado pelo Banco Central. Posteriormente, estimamos regressões utilizando características dos bancos comerciais para analisar as respostas diferenciadas das operações de crédito e alavancagem. Os resultados obtidos corroboram a hipótese de existência do canal de crédito no Brasil, e que as respostas heterogêneas dependem de características dos bancos comerciais. Em particular, bancos pequenos são mais sensíveis que os grandes. Por fim, concluímos que houve uma alteração no mercado de crédito brasileiro a partir da crise de 2008: bancos públicos tornaram-se menos sensíveis à inovação de política monetária, enquanto que os privados nacionais e estrangeiros tornaram-se mais sensíveis.

Natalie Pacheco Victal de Oliveira.


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. João Manoel Pinho de Mello. Tiago Couto Berriel.

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Buy-or-Sell Auctions

n this paper we explore a situation where an auctioneer can conduct an auction and not inform the participants if this auction is going to be forward or reverse (or both). The bidders have affiliated private signals and place a single bid. If a bidder wins the forward (reverse) auction, he pays his bid minus (plus) a spread defined by the auctioneer. This distinguished design creates a "double sided Winner's course" phenomenon that reduces the expected profit of bidders. Considering that some agents may not participate in the auction due to this phenomenon, we fully characterize the continuum of pure strategy Bayes-Nash symmetric equilibra. The cardinality of equilibria and characteristics of the optimal bidding function vary with changes in the spread defined by the auctioneer. If the spread is greater than a threshold, then full participation is guaranteed and the equilibrium is unique. If the spread is zero, however, then there is no equilibrium where all agents have non-negative expected profits. Moreover, we characterize the effect of spread changes on payments, but the effect of revealing the type of auction being conducted (forward or reverse) is not always well defined and also depends on the value of the spread. Finally, we propose the problem that an auctioneer should solve (choosing the spread) if trying to minimize the dispersion of bids or, alternatively, maximize the expected profit.

Gustavo Passareli Giroud Joaquim.


Orientador: Leonardo Rezende.

Banca: Humberto Moreira. Leonardo Rezende. Vinicius Nascimento Carrasco.

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Task-Heterogeneity in Human Capital Accumulation: Evidence from Brazilian Employer-Employee Data

This article studies if there are heterogeneities in the human capital accumulation process while on the job. Using high quality Brazilian employer-employee panel data and task description of four-digit occupations, we propose the concept of task experience in log wage equations. This approach is based on the learning-by-doing mechanism. Our results show that workers more intensive in analytical tasks have higher returns to experience, relatively to more routine workers. We also observe complementarities between tasks that provide higher learning and schooling.

Tomás Guanziroli.


Orientador: Gustavo Gonzaga.

Banca: Eduardo Zilberman. Gustavo Gonzaga. Rodrigo Reis Soares.

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Selection on Ability and the Gender Wage Gap

The literature generally emphasizes that female labor supply interruptions impact the gender wage gap through reduced work experience. We propose another mechanism: if women’s selection on ability is different from men’s, then interruptions would cause the gender gap to change over the life cycle. We use RAIS (a very large Brazilian employee-employer dataset) to assess this hypothesis, proceeding in two steps. First, we estimate Mincer equations controlling for worker fixed effects. Estimated fixed effects are then used to describe selection over the life cycle and to proxy for ability in gender-specific regressions of participation (various measures) on ability. Results suggest that selection on ability is more positive for men, providing an additional explanation for the early-career growth of the gender gap.

Eduardo Pinheiro Fraga.


Orientador: Rodrigo Reis Soares.

Co-orientador: Gustavo Gonzaga.

Banca: Cecilia Machado. Claudio Ferraz. Gustavo Gonzaga. Rodrigo Reis Soares.

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Consumer Credit Expansion in Open Economies

This work uses a quasi-experimental credit reform in Brazil to estimate credit multipliers and understand the channels through which financial deepening promotes economic growth. We use panel data for all 5,500 Brazilian municipalities and explore legal issues underlying the policy in order to quantify the overall impacts of an exogenous credit supply shock on local economies. The reform appears to have increased total credit, besides stimulating other banking services. Our findings also indicate an important income redistribution in favor of employees and the reduction of the informal sector. Furthermore, the analysis suggests that these effects are greater in less rural, less isolated, wealthier and more financially developed municipalities

Karen Dias Mendes.


Orientador: Juliano Assunção.

Banca: Carlos Viana de Carvalho. Juliano Assunção. Gabriel de Abreu Madeira.

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De Câmbio Fixo a Metas para a Inflação: Mudança Estrutural de Política Monetária em um Modelo DSGE Estimado para a Economia Brasileira

Estimamos um modelo DSGE para a economia brasileira abrangendo a transição do regime de bandas cambiais para o regime de metas para a inflação ocorrida em 1999. Utilizamos um modelo novo keynesiano de pequena economia aberta no qual o Banco Central segue uma regra de política monetária estruturalmente distinta em cada regime. Encontramos diferenças significativas na dinâmica macroeconômica e nos mecanismos de transmissão dos choques estrutrurais, com destaque àqueles relacionados ao setor externo da economia. Realizamos experimentos contrafactuais simulando o impacto de diferentes datas de mudança de regime na trajetória das variáveis econômicas brasileiras. Por fim, mostramos que um teste de quebra estrutural aplicado sobre todo o período amostral detecta com precisão a ocorrência da mudança de regime em 1999

André Dornfeld Vilela .


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Diogo Abry Guillén. Tiago Couto Berriel.

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Fiscal Multipliers in Times of War and Peace

The last financial crisis has brought attention to the impact of fiscal policy on the economy. Recent literature has focused on estimating fiscal multipliers under the assumption that they are not affected by the state of the economy. The present study relaxes this approach assuming that government spending is subject to an unobservable Markov process. This estimation is used to calibrate a dynamic model embodied with nominal and real rigidities whose solution takes into account the fact that the economy is subject to regime changes (big war episodes). Results show that multipliers are different depending on whether the economy is in peace or war periods.

Josue Cox Lescano.


Orientador: Eduardo Zilberman.

Banca: Carlos Viana de Carvalho. Diogo Abry Guillén. Eduardo Zilberman. Tiago Couto Berriel.

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Tax Evasion and Inflation - Evidence from the Nota Fiscal Paulista Program

This dissertation studies indirect effects of anti-tax evasion initiatives on consumer prices. Using the Nota Fiscal Paulista Program (NFP,0), implemented in the state of São Paulo in October 2007, I use counterfactual synthetic analysis to investigate the program's impact on 9 in inflation groups. I use as potential comparison units all other states for which consumer in inflation data are available. I report a signifficant effect of the NFP on food outside home (FOH) in inflation, especially meal prices. One year after the implementation of the program, FOH prices were 5% higher in São Paulo in comparison with the synthetic counterfactual. By September 2009, FOH prices were 6.5% higher in São Paulo than in the synthetic comparison unit. These results are closely related to the evolution of the NFP in terms of distributed tax rebates and number of participants. Among the other 8 in inflation groups I study, I find no signifficant effects on prices. In fact, strikingly good performances of the synthetic counterfactuals among some of those groups (especially meat and construction materials prices) suggest no impact at all from the program on prices.

Fernando Friaça Asmar de Souza.


Orientador: Marcelo Medeiros.

Banca: Juliano Assunção. Marcelo Medeiros.

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Underlying Inflation in a DSGE Model

We use a multi-sector sticky-price DSGE model in order to study the effects of a monetary rule that respond to changes in the underlying measure of inflation as opposed to headline inflation. The model is studied for the Australian economy, where the central bank pays significant attention to underlying inflation measures. In special, we use the model as a labotory to test the conjecture that, as the Reserve Bank of Australia started to react to the measure of underlying inflation, the deviations of headline inflation from target were less pronounced. Using a calibrated model, we don’t find evidence that the change in the monetary rule can be accounted responsible for the reduction in the volatility of inflation.

Felipe Alduino Alves.


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Marco Bonomo.

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Industrial Policy and Self Selection: Assessing the Impact of the Informatics Law in Brazil

Technological-oriented sectors in developing countries have been a common target for industrial policy. In this paper, we assess the effect of government intervention through the so-called Informatics Law in affecting productivity in the Brazilian computer industry. In order to obtain the correct estimates of productivity, we develop a production function estimation method that in addition to simultaneity and sample selection biases it also takes into account the endogenous participation in the Brazilian government program. Our results are: i) firms that choose to receive the benefit are on average less efficient and have a bigger capital stock; ii) production function methods that do not take into account the self-selection in the Informatics Law indicate that more (or equally) efficient firms are the ones choosing to receive the benefits and iii) productivity rate of growth of firms that receive the benefit is smaller than productivity rate of growth of non-beneficiary firms. These results indicate that due to the selection of less efficient firms, in the long run the policy will have a negative effect in the Brazilian computer industry. Moreover, they also point out to the importance of considering the specificities of each industry in the estimation of the production function.

Daniel Veloso de Ávila Chaves.


Orientador: Leonardo Rezende.

Banca: Gustavo Gonzaga. Leonardo Rezende. Rafael Dix-Carneiro.

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On the Optimal Size of Public Employment

A public job can be seen as a source of insurance against income risk. Indeed, many public employees have job stability, which is compounded with a less volatile and more compressed wage distribution. Hence, by increasing its number of public employees, the government enhances the overall degree of insurance in the economy. In this paper, I introduce public employment in a standard incomplete markets model with overlapping generations. The aim is to explore the welfare gains or losses due to a larger government, accounting for this extra source of insurance. 

Anna Carolina Saba dos Reis.


Orientador: Eduardo Zilberman.

Banca: Eduardo Zilberman. Pedro Cavalcante Gomes Ferreira. Rodrigo Reis Soares.

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