PUC Rio | Departamento de Economia

International Reserves and the Equity Premium

30/08/2021

Insurance is a possible explanation for the large holdings of international reserves observed in many countries. Quantitative models of the insurance motive, however, struggle to rationalize reserve positions, unless agents exhibit relatively high levels of risk aversion. This result suggests a connection between the "international reserves puzzle" and the "equity premium puzzle", which I explore in this paper. I introduce Epstein-Zin preferences into a standard sovereign default model with long-term debt and a risk-free asset, and calibrated it to the Mexican economy. I then price an equity claim within the model, and use simulations to establish a positive relationship between optimal reserve holdings and the equity premium, as I vary the degree of risk aversion of domestic agents. Using an estimate of the equity premium for Mexico, I calibrate the level of risk aversion and find it produces an optimal level of international reserves that is close to the data. Finally, I provide empirical evidence consistent with the relationship established with the model. Specifically, I introduce estimates of the equity premium into standard regressions used to explain countries' holdings of international reserves. Using both cross-sectional and panel specifications, I document a robust positive association between these two variables.

Rafaela Bianca Pini Rizzo.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Márcio Gomes Pinto Garcia. Bernardo Vasconcellos Guimarães.

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On the Missing Disinflation Puzzle: A Data-Driven Approach

20/08/2021

This paper examines the potential explanations for the Missing Disinflation Puzzle (MDP). We construct a data set containing only variables associated with the puzzle, and use of Machine Learning (ML) methods to compute estimates for U.S. Consumer Price Index inflation over the period of interest. These methods can handle large data sets, and perform variable selection. A model selection exercise using Model Confidence Set over pseudo-out-of-sample forecasts is proposed to assess forecasting performance and to analyze the variable selection pattern of these models. We analyze the variable selection performed by the best models and find evidence for explanations associated with different metrics for inflation expectations - in particular those linked to consumers’ surveys.

Raphael de Aquino Ludwig Pereira.

Orientador: Eduardo Zilberman.

Co-orientador: Marcelo Medeiros.

Banca: Márcio Gomes Pinto Garcia. Gabriel Filipe Rodrigues Vasconcelos.

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Banking Spread Decomposition through a Structural Macroeconomic Model

29/07/2021

This paper aims to decompose the banking spread using a structural macroeconomic model. We embedded a general equilibrium framework with loans to individuals and firms that may be in default, a banking sector in monopolistic competition and subject to administrative costs, and we also added a tax structure related to bank intermediation. These characteristics for the composition of the spread are in line with the empirical literature on banking spread determinants in Brazil and with the accounting decomposition of the spread made by the Banco Central do Brasil. Furthermore, we evaluate the model dynamics responding to shocks.

Otavio Hiroaki Morisita Fujisima.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Yvan Bécard. Andre Minella.

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Monetary policy and liquidity management in a model of endogenous network formation for the interbank market

07/05/2021

Esta dissertação desenvolve um modelo tratável de formação endógena de redes do mercado interbancário. Devido a choques de liquidez, bancos enfrentam um trade-off entre investir seus recursos num ativo líquido e num ativo ilíquido de alto retorno. O mercado interbancário é modelado como uma rede. Um link estendido por um banco a outro é interpretado como uma linha de crédito da qual o primeiro banco pode tomar emprestado ativos líquidos do segundo para cobrir fluxos de saída de recursos. O Banco Central, através de linhas financeiras, empresta recursos aos bancos com saldos negativos e toma emprestado de instituições com saldos positivos a taxas por ele estabelecidas. Essas taxas definem um corredor no qual a taxa cobrada em empréstimos interbancários deve estar contida. Nesse contexto, caracterizamos o equilíbrio (único) nas decisões de investimento dos bancos para qualquer rede. Em seguida, endogenizamos a rede, através da decisão dos bancos de linhas de crédito, e mostramos que toda rede em equilíbrio é uma rede de núcleo-periferia completa. Esse resultado é consistente com redes empiricamente observadas. Ademais, introduzimos um trade-off para Bancos Centrais ao decidir o corredor de juros: um corredor mais estreito dá mais controle ao Banco Central sobre a taxa interbancária, o que é importante para a condução de política monetária. No entanto, se considerarmos as decisões de links dos bancos, isso pode levar a um equilíbrio com uma rede mais esparsa, onde o investimento total no ativo líquido é maior, o que representa um custo implícito, já que esses recursos poderiam ser investidos no ativo mais produtivo. No geral, nossa análise ressalta o importante papel que redes endógenas têm na transmissão de política monetária.

Luiz Guilherme Carpizo Costa.

Orientador: Timo Hiller.

Banca: Márcio Gomes Pinto Garcia. Paolo Pin.

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Mobile broadband expansion and tasks: Evidence from Brazilian formal labor markets

26/04/2021

The rise of computerization and fixed and mobile broadband has been an important factor for changes in the labor market of rich countries. However, as the world of tech rapidly evolves and even faster mobile internet emerges, there is still little evidence about the impact of current mobile technologies in developing countries. Brazil, in particular, during the last decade, has seen a remarkable increase in mobile internet access. In this dissertation, I explore this rapid expansion of 4G coverage to estimate the causal effects of fast mobile internet in formal local labor markets in Brazil. Since 4G technologies are not rolled out randomly, provision commitments in contracts between 4G national operators and Brazilian regulatory agency of telecommunications (ANATEL) work as an instrumental variable to internet presence. The average increase of mobile operators observed in sample is responsible for a reduction of 8% in formal employment contracts (about 40 % of the variation in period). This reduction is explained by (i) reduced turnover and by (ii) displacement effects. Consistent with the routinization hypothesis, 4G expansion shifts labor demand away from manual and routine tasks. This, in turn, has benefited more high-skilled workers, increasing the share of college-graduates in the labor force and the average skill level index of local labor markets. Effects are driven by the extremes of the distribution of technological intensity but there are no changes in the industry-composition of labor markets. I also show suggestive evidence that mobile broadband is associated with job polarization.

Henrique Rodrigues da Mota.

Orientador: Gustavo Gonzaga.

Co-orientador: Francisco de Lima Cavalcanti.

Banca: Rita K. Almeida. Gabriel Lopes de Ulyssea.

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Oligopsony power in labor markets: Evidence from a payroll tax reform

16/04/2021

Analisar comportamentos não-competitivos no mercado de trabalho tem se tornado um aspecto crucial para melhorar a compreensão das dinâmicas do mercado de trabalho, e estimar elasticidades-salário da oferta de trabalho pode auxiliar a determinar a existência de estruturas de oligopsônio. Ao construir sobre Manning (2003), uso dados de contratos identificados por empregadorempregado, e aproveito choques específicos de desonerações na folha de pagamento, para estimar elasticidades-salário da oferta de trabalho para o mercado de trabalho brasileiro. Estimamos elasticidades-salário de separações e contratações utilizando de uma abordagem por IV que permite a identificação de variações exógenas nos salários, através da desoneração implementada no Brasil, que representa choques à demanda por trabalho. Enquanto estimativas padrão por MQO são baixas (e irrealistas) como na literatura recente, estimativas usando a abordagem de variáveis instrumentais são muito mais razoáveis. Os resultados indicam a existência de considerável poder de mercado pelo lado de firmas no mercado de trabalho no Brasil, com a elasticidade no nível do mercado de 1.4 e no nível da firma de 4.4. Finalmente, avaliamos se o poder de oligopsônio das firmas difere entre níveis de qualificação, e entre municípios mais ou menos urbanos e informais. Encontramos que as firmas exertem maiores markdowns para trabalhadores menos qualificados, e que maior poder de mercado das firmas está correlacionado com menor urbanização e maior informalidade.

Lisa Orsi Beihy Pacheco.

Orientador: Gustavo Gonzaga.

Co-orientador: Leonardo Rezende.

Banca: Carlos Henrique Corseuil. Renata Del Tedesco Narita.

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Public Banks and Access to Conditional Cash Transfer Programs

16/04/2021

Neste trabalho, estudo o papel dos bancos públicos na implementação de Programas de Transferência Condicionada de Renda (CCTs). Usando um modelo de entrada com firmas heterogêneas inspirado em Bresnahan & Reiss (1991), consigo determinar como o programa Bolsa Família no Brasil impacta as decisões da Caixa Econômica Federal e de outros bancos de forma diferente. Também avalio se os beneficiários do programa têm acesso efetivo ao Bolsa Família quando não há instituição financeira em seu município. Explorando variação na cobertura bancária após uma resolução do Banco Central, também encontro que menos benefícios são retirados em municípios sem banco, causando cancelamentos involuntários do programa. Os resultados sugerem que cobertura bancária é um aspecto relevante na implementação de políticas de transferência de renda e que bancos públicos podem ser eficazes na melhoria simultânea do acesso às políticas públicas e a serviços financeiros.

Mateus Proença Morais.

Orientador: Juliano Assunção.

Banca: Leonardo Rezende. Gabriel Lopes de Ulyssea.

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Firm hierarchies, managers and trade: reacting to liberalization

15/04/2021

Embora comércio internacional e práticas organizacionais sejam conhecidos determinantes da produtividade de firmas, a evidência empírica sobre a relação entre ambos é escassa. Este artigo explora variação exógena crível em redução tarifárias em setores da indústria para mostrar que firmas no Brasil, após o choque, são menos organizadas em termos de hierarquias. Consistente com a literatura de hierarquias baseadas em conhecimento, aumento de concorrência estrangeira reduz significativamente a parcela de gerentes e o número de camadas organizacionais em uma firma. Além disso, nós encontramos movimentos composicionais importantes dentro dos setores: apesar de possuírem tamanhos similares, firmas entrantes possuem menos gerentes e camadas do que as que deixam o mercado. Usando dados abrangentes com identificação mais crível que trabalhos anteriores na literatura, nosso artigo documenta fatos estilizados da organização de firmas em um país subdesenvolvido, assim como contribui para o estudo de um determinante potencialmente importante da produtividade no agregado.

Arthur Carvalho Brito P. de Souza.

Orientador: Juliano Assunção.

Co-orientador: Gustavo Gonzaga.

Banca: Pedro Cavalcanti Ferreira. Rafael Dix Carneiro.

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Long-Term Drivers of Interest Rate Dynamics in Brazil

12/04/2021

Eu desenvolvo um modelo de ciclo de vida para avaliar a importância relativa de vários determinantes de londo prazo da taxa de juros. O modelo é uma generalização de Gertler (1999), incluindo imperfeições no mercado de crédito e heterogeneidade entre trabalhadores para capturar totalmente os efeitos da transição demográfica. O modelo é calibrado para a economia brasileira, incluindo perfis para os gastos do governo, gastos com previdência, dívida pública, crescimento da produtividade e variáveis demográficas. O modelo explica 71% da variação total na taxa de juros brasileira entre 2000 e 2019. Fatores demográficos, especialmente aumentos na expectativa de vida, são os principais determinantes da queda nas taxas de juros reais. Essas forças são parcialmente compensadas por aumentos na dívida pública e nos gastos com previdência. Além disso, o arcabouço sugere que as taxas de juros reais continuarão caindo nos próximos 20 anos, atingindo o patamar de 1.5% a.a., apesar de aumentos razoáveis na dívida pública. No entanto, possíveis efeitos de prêmios de risco e juros globais nas taxas de juros domésticas não são incluídos na análise.

Arthur Bouchardet Cordeiro.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Eduardo Zilberman.

Banca: Yvan Bécard. Marco Antonio Cesar Bonomo.

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Monetary Policy and Trade Tariffs: An examination of the optimal policy and the effect of the liquidity traps

09/04/2021

Tarifas comerciais podem ser usadas para auxiliar o Banco Central na estabilização da economia? Para responder essa pergunta construímos um modelo Novo Keynesiano de economia aberta com dois países onde as firmas têm poder de mercado suficientemente alto para definir preços diferentes para o mercado local e estrangeiro e obtemos a política monetária e tarifária ótima sob a existência de um limite inferior para a taxa nominal de juros. Fazendo um exercício numérico, analisamos duas situações: quando apenas um país se encontra em uma armadilha de liquidez e quando ambos os países se encontram presos em uma armadilha de liquidez global. Nossos resultados sugerem, que mesmo quando os dois países estão cooperando, a existência do limite inferior da taxa de juros nominal gera uma situação onde o uso ativo de tarifas comerciais pode aumentar o bem-estar da economia.

Rafael Lima da Fonseca.

Orientador: Tiago Couto Berriel.

Banca: Eduardo Zilberman. Marco Antonio Cesar Bonomo.

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A theory based, data driven selection for the regularization parameter for LASSO

06/11/2020

We provide a new way to select the regularization parameter for the LASSO and adaLASSO. It is based on the theory and incorporates an estimate of the variance of the noise. We show theoretical properties of the procedure and Monte Carlo simulations showing that it is able to handle more variables in the active set than other popular options for the regularization parameter.

Daniel Martins Coutinho.

Orientador: Marcelo Medeiros.

Banca: Ricardo Masini. Anders Kock.

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Vocational Training and labor market outcomes: Evidence from a randomized program in Brazil

04/08/2020

This study analyzes the effects of an extensive public technical education program in Brazil. Exploring the fact that acceptance to the program was randomized, with students in over-subscribed classes selected through a lottery, we look at the effects of an offer for the program over formal employment, type of occupation and attachment to the labor market. Our findings show no significant effect over formal employment, earnings or the level of attachment after the program. On the other hand, the program significantly improved the match between students and jobs, with an increase of 1 p.p. (100%) in the probability that an individual is employed in an occupation associated with the course chosen. We also find evidence that receiving an offer for the program led to a higher probability of being employed in an occupation with a higher skill demand. When we examine how these results vary by the gender of the applicant, we find that, while gains in associated occupations are similar for both groups, the effects for high skill jobs appear only men and neither experience improvements on employment or wages after the end of the courses.

Luiza Kunz Aires.

Orientador: Claudio Ferraz.

Co-orientador: Gustavo Gonzaga.

Banca: André Portela Fernandes de Souza. Miguel Nathan Foguel.

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Foreign Exchange Interventions and Covered Interest Parity Deviations

24/07/2020

Are there spillovers from foreign exchange sterilized intervention (FXI) across other economic variables? In this paper, we investigate the effect of an intervention in the forward exchange market on deviations from covered interest parity (CIP). We analyze a major program ruled by the Brazilian Central Bank, between 2013 and 2015. To estimate the effect, we build an artificial counterfactual. The results indicate that selling dollars in the forward market to damping the Brazilian real depreciation, leads to an increase in the CIP deviations.

Daniel Malvezzi Doine.

Orientador: Márcio Gomes Pinto Garcia.

Banca: Marcelo Medeiros. Marcos Chamon.

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Electoral Impacts of Improving Primary Health Care

21/07/2020

In this study, we investigate whether the expansion of healthcare investments in Brazil, implemented through the Family Health Program (FHP), increased incumbent voting in local elections. We employ a regression discontinuity design by exploring discontinuities in funding that created a quasi-experimental assignment of FHP resources to municipalities. Using administrative data from various sources, we obtain information on program implementation, health outcomes, local-level facilities, and indicators of access, covering several aspects of the Brazilian health system to understand the evolution of underlying health conditions throughout this period. We provide evidence that FHP investments had significant effects on electoral support. We also show that possible mechanisms for these electoral effects were better access to primary care and consequent improved outcomes at birth. Overall, this paper contributes to a better understanding of the substantial changes the Brazilian health system has undergone and its potential electoral effects, opening many possibilities for future research.

Lia Lorena Kale Ribeiro Braga.

Orientador: Claudio Ferraz.

Banca: Gustavo Gonzaga. Rudi Rocha.

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International Reserves and Interest Rates

20/07/2020

Over the past two decades, the level of international reserves in emerging economies increased significantly. In Brazil, the 2019 level of around 360 billion dollars was considered high by some metrics, based on the precautionary motive. On the other hand, in addition to the opportunity cost, Latin America is also characterized by historically high costs of holding reserves, due to the payment of positive and high interest rates. Behind any model in the literature that studies the optimal level of reserves, there is a trade-off between the insurance benefits and the costs associated with the accumulation of reserves, so that a significant change in this rate is expected to be relevant in the optimization made by the Central Bank. In that sense, recently, the policy-related interest rate in Brazil (Selic) decreased considerably, from 14.25% until October 2016 to 2.25% until June 2020, an all-time low. Addressing this issue, this thesis studies the effect of this change in the direction of Brazil’s monetary policy in the management of foreign exchange reserves. Our counterfactual results show that the net FX reserves level —a benchmark adopted by the Central Bank since August 2019 —, would have fallen in this period, but the decline in the interest rates made it possible for the Central Bank to keep a roughly stable level until 2019.

Alice Oliveira Drumond.

Orientador: Márcio Gomes Pinto Garcia.

Banca: Marcelo Medeiros. Fabio Kanczuk.

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Debt Collection in peer-to-peer lending market

07/07/2020

P2P Lending connects borrowers and lenders via an online platform,
cutting out traditional banking intermediation. By bearing the risk of
borrowers defaulting on their loans, investors rely on the debt collection
process. This paper investigates whether state debt collection laws affect
the ability of debt collectors to recover charged-off debts. Results show that
stricter regulation are linked with lower recovery rates, which in turn leads
to extension of credit to safer borrowers.

Felipe Chokin Tanaka Kotinda.

Orientador: Juliano Assunção.

Banca: Christiano Arrigoni Coelho. Gabriel de Abreu Madeira.

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Political turnover, electoral incentives and public inefficiencies: evidence from unfinished infrastructure projects in Brazil

25/06/2020

Public infrastructure projects like roads and schools have been regarded as drivers of development, yet developing democracies systematically fail to deliver such investments, and half-finished projects are a common issue. Using a novel database of over 75,000 small development projects in Brazil, we estimate that more than 40\% of projects that start are never completed. Employing a close races regression discontinuity design on Brazilian mayoral elections, we find that turnover negatively impacts the delivery of projects inherited in a construction stage, while causes positive responses on the delivery of more recent projects. We argue that our results are consistent with a theory linking project non-conclusion to electoral incentives, where inefficiencies on project procurement are driven by a credit-claim dynamics that disincentives the conclusion of works inherited from the opposition. Our findings highlight the importance of insulating policies from the electoral process in local politics.

Gabriel Anesi S. Granato Ferreira.

Orientador: Claudio Ferraz.

Banca: Juliano Assunção. Marcos Yamada Nakaguma.

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Productive and Allocative Efficiency of State Owned Enterprises: Evidence from the Brazilian Privatization Program

19/06/2020

In the early 1990s, the Brazilian government carried out one of the largest privatization programs in the world. With microdata on Brazilian firms, we study whether privatization has reduced the costs of production of State-Owned Enterprises (SOEs). Past literature has assessed whether privatization has increased firms’ total factor productivity (TFP). We argue that privatization could impact the costs of production by another mechanism besides TFP: SOEs may exhibit distortions that prevent them from choosing the cost-minimizing mix of inputs, and privatization may mitigate these distortions. By estimating the production function, we can not only estimate the TFP of firms but also write the first-order conditions of the cost minimization problem and obtain a measure of these distortions. Our results suggest firms enhance their TFP following privatization and make better allocations of capital. According to our results, in the long run, the improvement in the allocation decision accounts for 14.37% of the cost reduction after privatization.

Roberto Simonelli Lee.

Orientador: Leonardo Rezende.

Co-orientador: Gustavo Gonzaga.

Banca: Daniel Veloso Chaves. Pedro Cavalcanti Ferreira.

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Monetary and Fiscal Policy in an Open Economy: a Welfare-based Approach

09/06/2020

In this paper, we present a New Keynesian two-country Open Economy model featuring consumption home bias, distortionary taxation and stochastic government debt. Within this modeling we compare, in a welfare-based sense, different fiscal and monetary rules with a benchmark constituted by a cooperative Ramsey-policy equilibrium. Additionally, we perform a comparative statics among the policy prescriptions by varying the degree of integration of the two economies, i.e., the consumption home bias parameter

Raffael Russo.

Orientador: Tiago Couto Berriel.

Co-orientador: Yvan Bécard.

Banca: Eduardo Zilberman. Marco Bonomo.

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Information asymmetry in Brazilian credit market of SMEs’ investment loans

31/05/2020

This paper investigates the presence of moral hazard and adverse selection in the credit market of investment loans granted to micro, small and medium enterprises in Brazil. Using a novel database of over 15 thousand indirect credit operations from BNDES, we explore BNDES distinct credit granting policy and the horizontal changes over time in the offered credit conditions conditions for identification. The results indicate that moral hazard is a relevant phenomenon and that its effect is partially attenuated by advantageous selection in loans with subsidized interest rates.

Daniel Cardoso de Salles.

Orientador: Leonardo Rezende.

Banca: Klênio de Souza Barbosa. Vinicius Nascimento Carrasco.

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Dissertação de Mestrado

International Reserves and the Equity Premium

On the Missing Disinflation Puzzle: A Data-Driven Approach

Banking Spread Decomposition through a Structural Macroeconomic Model

Monetary policy and liquidity management in a model of endogenous network formation for the interbank market

Mobile broadband expansion and tasks: Evidence from Brazilian formal labor markets

Oligopsony power in labor markets: Evidence from a payroll tax reform

Public Banks and Access to Conditional Cash Transfer Programs

Firm hierarchies, managers and trade: reacting to liberalization

Long-Term Drivers of Interest Rate Dynamics in Brazil

Monetary Policy and Trade Tariffs: An examination of the optimal policy and the effect of the liquidity traps

A theory based, data driven selection for the regularization parameter for LASSO

Vocational Training and labor market outcomes: Evidence from a randomized program in Brazil

Foreign Exchange Interventions and Covered Interest Parity Deviations

Electoral Impacts of Improving Primary Health Care

International Reserves and Interest Rates

Debt Collection in peer-to-peer lending market

Political turnover, electoral incentives and public inefficiencies: evidence from unfinished infrastructure projects in Brazil

Productive and Allocative Efficiency of State Owned Enterprises: Evidence from the Brazilian Privatization Program

Monetary and Fiscal Policy in an Open Economy: a Welfare-based Approach

Information asymmetry in Brazilian credit market of SMEs’ investment loans

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