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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.

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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Changes in the Brazilian yield curve responses to monetary shocks

Empirical evidence from reduced form VAR estimates shows that there has been a change in the way that the Brazilian yield curve reacts to a monetary policy shock. To better understand the sources of this change we estimated a linearized DSGE model with a term structure of interest rates over two sample periods to see what parameters of the economy might have caused the change. The linearization method is augmented with a volatility adjustment term in order to generate a positive term spread and a risk-adjusted steady state. We discuss the empirical evidence, compare the solution method with other traditional methods and estimate a model with Epstein-Zin preferences using Bayesian methods. We find that our structural model is capable of capturing this change in behavior, and it is caused mainly by changes in parameters of the interest rate rule and interest rate shocks.

Gustavo Curi Amarante.


Orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Marco Bonomo. Tiago Couto Berriel.

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Robust Regulation of a Monopolist

This work studies the problem of a regulator who faces a monopolist with unknown costs. Different to previous works, we leave the strong assumption that the regulator knows the true probability distribution of monopolist cost, and instead we assume that regulator holds only a prior belief which gives him exact information about the mean. Regulator maximizes the expected social welfare under the worst distribution in the set of mean preserving spread distribution of his prior. The solution entails a linear social welfare which induces a state-dependent optimal quantity, in contrast to the two point quantity which solves the problem under perfect knowledge of the probability distribution of monopolist cost.

Carlos Antonio Burga Idrogo.


Orientador: Vinicius Nascimento Carrasco.

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

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Electoral Re-registration, Disenfranchisement and Public Service Provision

This paper examines whether reforms aimed at reducing electoral fraud can have the unintended effect of disenfranchising poorer citizens and, as a consequence, affect public services delivered to poorer households. We exploit a large program of re-registration of voters in Brazil’s municipalities where the electoral commission suspected the presence of electoral fraud. Using a difference-in-difference strategy, we compare the electoral registration and turnout in 1186 Brazillian municipalities that went through electoral revision with those that did not in elections prior to the re-registration and after the change. We find that the program reduced registration rates by 10 percentage points and participation rates by 5 percentage points, specially in municipalities with low education levels and with low media penetration. Moreover, we find that the newly elected mayors responded to this change by reducing public expenditure in areas that disproportionately benefits poor and uneducated voters (education and health). Finally, we show that the reduction in expenditures deteriorated the infrastructure of public schools and worsened health outcomes of less educated citizens.

Carlos Eduardo Sant´Anna Varjão.


Orientador: Claudio Ferraz.

Banca: Claudio Ferraz. Gustavo Gonzaga. Ricardo Madeira.

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Introducing Capital in a Three-Sector Model of Structural Transformation: A Cross-Country Analysis

Recent literature has highlighted the importance of sectoral productivity growth in explaining reallocation of employment across sector through time--what is usually called structural transformation. In this paper, we develop a three-sector model of structural transformation with capital, allowing for multiple-sector investment shares. This framework enables us to investigate different causes of sectoral labor reallocation, such as sector-specific productivity growth, changes in sectoral investment shares, and growth in capital stock. We do benchmark and counterfactual exercises to assess the effects of each of these factors in explaining structural transformation and aggregate productivity. We find that sectoral productivity growth in agriculture was important in explaining sectoral labor reallocation, while the same does not apply to manufacturing and services. This last result contrasts with what was recently explored in the literature using a framework without capital. Capital accumulation actually plays an important role in explaining sectoral shifts in employment, while productivity growth in manufacturing is important in our model in explaining an increase aggregate productivity. We argue that considering a simple framework without capital can bring to misleading conclusions about what are the main drivers of structural transformation and aggregate productivity across countries.

Pedro Tanure Veloso.


Orientador: Tiago Couto Berriel.

Co-orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Tiago Couto Berriel. Cezar Santos.

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Choosing Institutions Locally: Determinants of Legislative Size in Brazil

Who should choose local legislatives' number of seats, the federal government or local politicians? To answer this question I take advantage of a natural experiment in Brazil where legislators were given the chance to choose local legislative size given population caps. I estimate a structural discrete choice model where legislators may care for individual returns to reelection and to welfare considerations of representation when making the decision to vote for or against a change in seats. Results indicate legislators weigh 20% welfare and 80% reelection payoffs when choosing seats. With these results, I run some counterfactual analyses varying the population caps' function and the configuration of local political competition.

Ricardo Dahis.


Orientador: Claudio Ferraz.

Banca: Claudio Ferraz. Leonardo Rezende. Marcos Yamada Nakaguma.

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Do Politicians Respond to Political Protests? Effects of the 2013 Protests in Brazil

Political protests are becoming a widespread movement all over the world. In this context, it is important to study whether they are an effective instrument through which citizens can affect political outcomes. Focusing my analysis in the Chamber of Deputies of Brazil, I analyze whether the protests that took place in Brazil in 2013 had any effects in the deputies’ behavior. Using a diff-in-diff approach, I show that the protests did not achieve a positive impact on politicians. Facing this result, we can ask if citizens changed their political behavior – like the way they vote – as a response to the lack of effectiveness of the protests, impacting the political equilibrium. To answer this question, I use data of the 2014 elections, analyzing if voters from places that had at least one political protest behave differently from voters that have not experienced a protest.

Amanda de Albuquerque Jardim Rocha.


Orientador: Claudio Ferraz.

Banca: Claudio Ferraz. Juliano Assunção. Cesar Zucco Jr.

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The Labor Market in Brazil and the 2008 Financial Crisis: An Analysis Based on the Flow Approach

This paper uses matched employer-employee data to investigate a relevant transmission channel of the 2008 financial crisis on the labor market in Brazil: the credit channel. I study the cross-sector impact on employment decisions of firms of the manufacturing industry; to do that I rely on the flow approach, i.e., on measures such as hiring, separation and turnover rates. I find that the credit was an important transmission mechanism of the crises to the real economy. More specifically, I find that more financially constrained industries had higher firing rates during the crisis. Younger and less skilled workers were more adversely affected through the credit channel. Also, I find evidence of reallocation of workers from more to less financially dependent sectors, and particularly so for the smaller firms. I also find some evidence of reallocation within sector and across firm size intervals.

Bianca Ravani Cecato.


Orientador: Juliano Assunção.

Co-orientador: Gustavo Gonzaga.

Banca: Carlos Henrique Corseuil. Gabriel Ulyssea. Gustavo Gonzaga. Juliano Assunção.

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Does collateral pricing matter for news-driven cycles?

Asset prices are strongly influenced by expectations. Therefore, in the presence of collateralized debt, credit availability will depend on those expectations. We develop a simple RBC model, with credit constraints, to formalize this intuition. We then build a more complex model, fit for quantitative analysis, in order to study the relevance of the mechanism. Our main finding is that the credit constraint does not significantly affect the economy if we allow the firms to substitute between equity and debt. This result holds even if the substitution is subjected to severe frictions. 

Cauê de Castro Dobbin.


Orientador: Eduardo Zilberman.

Co-orientador: Carlos Viana de Carvalho.

Banca: Carlos Viana de Carvalho. Eduardo Zilberman. Tiago Couto Berriel. Felipe Iachan.

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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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