PUC Rio | Departamento de Economia

Investment Fund Demand and Financial Innovation

27/03/2024

This study aims to analyze investment fund demand within the context of recent financial innovations and the level of bank concentration in Brazil. Traditionally, a limited number of banks have dominated the sector, employing a closed-end architecture for fund distribution. The emergence of financial marketplaces has altered this landscape. Using a dynamic quantitative model inspired by Brown et al. (2023), we analyze the interplay between supply and demand for investment funds, accounting for investors’ diverse preferences and inertia and acknowledging the potential for price discrimination by investment fund managers across institutional and retail investors. This concise framework provides insights into the evolving dynamics of the Brazilian investment fund market. Results suggests a significant investor preference for investment funds offered by the same platform. Additionally, our model indicates a significant decline in inertia over time, attributed to the emergence of financial marketplaces and technological advancements.

Giovanni Martello Panno Machado.

Orientador: Leonardo Rezende.

Banca: Lucas Lima. Bruno Cara Giovannetti.

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The Impact of Settlement Currency on Foreign Exchange Forward Contracts

20/03/2024

This paper investigates the distinctive dynamics of Brazil’s domestic currency derivatives market, which exhibits remarkable activity compared to other emerging markets. Specifically, we examine the consequences of this market structure by contrasting Deliverable Forward markets, Offshore Non-Deliverable Forward markets, and the prevalent Domestic Non-Deliverable Forward markets in Brazil. Our model incorporates interactions between domestic and foreign consumers in spot and forward markets, alongside financial intermediaries and a government constrained by foreign currency debts and obligations. We find that under controlled external debt and minimal external risk, these markets function equivalently. However, the emergence of convertibility risk disrupts this equivalence, particularly evident in scenarios similar to Brazil’s experiences in 2002.

Matheus Roberto Franciscão.

Orientador: Márcio Garcia.

Banca: Fernando Mendo. Juliana Terreiro Salomão.

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Leavers and Stayers after Mass Layoffs: Evidence from Brazil

10/11/2023

We estimate the impacts of job loss on individuals’ labor and credit market outcomes, exploiting detailed individual-level administrative data linking employment and credit histories. Leveraging mass layoffs for identification, we find job loss leads to sizable and pervasive declines in wages, future employment probabilities, and spending. We document evidence consistent with declining credit access following job loss, limiting workers’ ability to partially selfinsure their losses. Facing limited options for managing liquidity, workers, on average, resort more to not paying their credit card balances in full to finance consumption. The findings point that the costs of job loss may be further amplified in a developing country due to comparatively less developed credit markets. In addition, we benefit from the quasi-experimental variation provided by mass layoffs to study the behavior of job stayers, who would possibly perceive heightened income uncertainty. We document this group faces actual increased layoff risk, and those who do not exhibit hand-to-mouth behavior cut down spending in the aftermath of mass layoffs in their firms.

Natália Rodrigues Corado.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Gustavo Gonzaga.

Banca: Cezar Santos. Joana Naritomi.

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Gender and Risk Aversion in Competitive Settings

19/09/2023

Este artigo estuda disparidades de gênero no desempenho e na aversão ao risco sob competição. Utilizamos dados do Exame Anpec, exame de seleção nacional de candidatos aos cursos de mestrado (e doutorado) em Economia no Brasil. Este exame específico atribui pontos negativos a respostas incorretas, o que pode fazer com que os alunos mais avessos ao risco deixem mais perguntas sem resposta e possivelmente obtenham notas mais baixas. Mostramos que as mulheres tendem a omitir mais perguntas em comparação com os homens e estão consistentemente sub-representadas no topo dos rankings. Utilizando o Modelo Rasch derivamos probabilidades de cada aluno responder cada questão corretamente e mostramos que tanto homens como mulheres se desviam da estratégia ótima que maximiza a nota esperada. Investigamos também o cenário onde todos os alunos chutam as questões anteriormente deixadas em branco, após recalcular as notas esperadas e novas classificações neste cenário mostramos que em média o efeito para as mulheres que já estavam no topo da distribuição é muito pequeno, e as mulheres que estavam com classificação mais baixa se beneficiam mais.

Maria Clara Varella Luna de Morais.

Orientador: Nathalie Gimenes. Fernanda Estevan.

Banca: Renata Narita. Marcelo Sant'Anna.

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Corporate Taxation, Investment and Market Power

13/09/2023

A grande redução na tributação de renda corporativa nos Estados Unidos em 2017 não resultou em um aumento significativo no investimento empresarial. Esta dissertação estuda o papel do poder de mercado na transmissão das mudanças na tributação corporativa para o investimento. Introduzimos a heterogeneidade nas empresas e a concorrência imperfeita em um modelo neoclássico de crescimento, modificado para levar em conta várias características do sistema tributário dos EUA. Descobrimos que, após uma redução nos impostos corporativos, empresas intensivas em capital aumentam os gastos com investimentos, enquanto empresas intensivas em mão de obra mantêm os investimentos constantes. Empresas intensivas em capital usam o benefício fiscal para aumentar sua participação de mercado, enquanto as intensivas em mão de obra optam por aumentar as suas margens de lucro. O modelo corresponde à elasticidade agregada do investimento em relação a uma redução na taxa de imposto, e suas implicações distribucionais parecem encontrar algum respaldo nos dados.

Yifan Lin.

Orientador: Yvan Becard.

Banca: Carlos Eugênio Ellery Lustosa da Costa. Tomás Rodriguez Martinez.

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Advantageous selection in the payroll loan market

13/09/2023

Este artigo investiga a natureza das assimetrias de informação no mercado brasileiro de empréstimos consignados de 2013 a 2021. Desenvolvemos um modelo de demanda que leva em consideração o efeito da informação privada dos consumidores nas decisões de empréstimo. A novidade do modelo é sua capacidade de extrair informações sobre características não observáveis usando dados públicos a nível dos bancos. Empiricamente, utilizamos a variação das participações de mercado e das taxas de inadimplência dos bancos para estimar um parâmetro de utilidade que representa o sinal de seleção no mercado. Nossa análise revela evidências empíricas de seleção vantajosa dentro do mercado, indicando que os tomadores de empréstimos mais seguros estão mais inclinados a solicitar empréstimos. Além disso, expandimos o modelo para incorporar um parâmetro distinto para a Caixa Econômica, um banco estatal que exibiu comportamento diferente em comparação com outras instituições financeiras durante o mesmo período. Nossa análise revela um parâmetro de seleção significativamente menor em magnitude para a Caixa.

Karolina Staniczek Andrade.

Orientador: Leonardo Rezende.

Banca: Marcio Issao Nakane. Nathalie Gimenes.

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Monetary Policy and Core Inflation: Assessing the Impact of Alternative Measures within a Multisectoral New Keynesian Model

02/08/2023

Este artigo avalia medidas alternativas de núcleo de inflação em um modelo multissetorial Novo Keynesiano. A estabilização da inflação de preços rígidos é considerada ótima; no entanto, existem diferentes medidas de núcleo de inflação em uma economia multissetorial. Os bancos centrais geralmente monitoram estimadores de influência limitada que excluem mudanças de preços em setores voláteis. Isso forneceria uma medida de núcleo que se correlaciona principalmente com os setores rígidos da economia e, conseqüentemente, poderia fornecer ganhos de bem-estar. Com base no modelo multissetorial de Carvalho, Lee e Park (2021), considera-se uma modificação: uma regra de taxa de juros que responda a uma medida de núcleo da inflação em vez da inflação cheia. Essa modificação introduz uma não linearidade que lidamos usando métodos de aprendizado de maquina. Calibramos choques de oferta específicos do setor por meio de inferência indireta para corresponder aos momentos observados na inflação setorial do CPI. Nossos resultados mostram que responder a medidas de núcleo alternativas podem reduzir as perdas de bem-estar do consumidor.

Vitor Henrique Von Ungern Sternberg.

Orientador: Carlos Viana de Carvalho.

Banca: Felipe Alduino Alves. Mariano Kulish.

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Trade-offs in Hospital Choices: Assessing the Impact of Distance and Quality on Healthcare Accessibility in Brazil

19/07/2023

Este estudo investiga o Sistema Único de Saúde (SUS) no Brasil, examinando especificamente as escolhas hospitalares das pessoas e as disparidades na acessibilidade à saúde em diferentes regiões do país. Através da análise dos dados de visitas hospitalares de 2015 a 2019, é construído um painel e é estimado um modelo de demanda para hospitais. Vários fatores, incluindo distância, qualidade, composição da equipe e taxas de mortalidade, são levados em consideração para entender os padrões de visitas hospitalares. Os resultados indicam que o tempo de viagem influencia significativamente as escolhas hospitalares, sendo que hospitais maiores são menos afetados pela distância. Além disso, a disponibilidade de profissionais de saúde e taxas de mortalidade mais baixas têm um impacto positivo nas visitas hospitalares, destacando sua importância nas decisões dos pacientes. Além disso, este estudo introduz uma análise contrafactual preliminar, que explora os efeitos potenciais de estabelecer novos hospitais de pequeno porte em cada estado brasileiro. Este exercício lança luz sobre os profissionais de saúde adicionais necessários para alcançar melhorias comparáveis no bem-estar. Ao fazer isso, este estudo contribui para uma compreensão da dinâmica de demanda em torno dos hospitais públicos no Brasil, com o objetivo de abordar as disparidades regionais prevalentes no sistema de saúde.

Maria Mittelbach Leite Santos.

Orientador: Ricardo Dahis. Letícia Faria de Carvalho Nunes.

Banca: Leonardo Rezende. Fabio Miessi Sanches.

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Do apprenticeship programs increase labor market opportunities?

22/06/2023

Este artigo estuda o impacto de um dos maiores programas de aprendizagem do mundo, o programa Jovem Aprendiz no Brasil, nas decisões de contratação das empresas. O programa teve como objetivo expandir as oportunidades de emprego para jovens, combinando incentivos fiscais e cotas de contratação para que as empresas contratem aprendizes. No entanto, esses incentivos não impedem que as empresas substituam contratos de não aprendizes por contratos de aprendizes. Para avaliar esses efeitos, utilizamos uma abordagem de diferenças em diferenças escalonadas, que aproveita um limite exógeno para a entrada no programa. Nossos resultados indicam que as empresas aumentam a contratação de aprendizes após ultrapassar o limite. No entanto, esse aumento é acompanhado por uma redução na entrada de trabalhadores entrantes que não são aprendizes, o que é consistente com a hipótese de substituição.

Davi Prado Novais Moura.

Orientador: Tomás Guanziroli.

Banca: Gustavo Gonzaga. Rogerio Bianchi Santarrosa.

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Competition and Public Provision in Higher Education

20/04/2023

This paper investigates the impact of public provision on competition within the Brazilian higher education sector. We develop and estimate an empirical model of demand for higher education that incorporates tuition-free institutions and consumer choice constraints. Our model produces more realistic substitution patterns than a logit model without constraints, indicating that selectivity is an essential dimension of product differentiation. We find that the most selective public programs exert comparable competitive pressure to the most selective private programs, but the least selective public programs exert more competitive pressure than the least selective private programs. Our estimates of the supply response of private institutions suggest that, in the absence of public programs, tuitions would be about 7 percent higher. These findings provide important insights into the competitive dynamics of Brazilian higher education and highlight the role of public provision in promoting competition in this sector.

Guilherme Noronha Jardim.

Orientador: Juliano Assunção.

Co-orientador: Leonardo Rezende.

Banca: Cecilia Machado. Fabio Miessi Sanches.

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Fiscal Policy Risk and the Yield Curve: an Alternative Measure

20/04/2023

Does fiscal policy risk affect the yield curve in an emerging economy? How can we adequately measure this kind of uncertainty? Exploiting the case of Brazil, we estimate a novel, news-based measure of fiscal policy risk using natural language processing. We show that increases in fiscal policy risk are associated to increases in the levels of long maturities in the yield curve, in the term spread and to a depreciation of the exchange rate. The effects are robust to a series of alternative specifications of the text-based index, suggesting that fiscal risk is a relevant phenomenon in the Brazilian setting.

Renata Carreiro Ávila.

Orientador: Carlos Viana de Carvalho.

Co-orientador: Marcelo Medeiros.

Banca: Eduardo Zilberman. Marco Antonio Cesar Bonomo.

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Commodity Prices and Exchanges Rates in the COVID-19 Pandemic

14/04/2023

It is a consensus in economic theory that the increase in the terms of trade leads to an appreciation of the real exchange rate. However, during the recent period of the COVID-19 pandemic, this relationship appears to have been disrupted, as there has been a significant rise in commodity prices but the real exchange rates of many countries have not appreciated correspondingly. The aim of this M.Sc. Thesis is to examine the reasons for this deviation from the established correlation. I estimate several SVARs for commodity exporting countries with a recursive block identification scheme and conclude that structural shocks other than the commodity one explained the real exchange rate depreciation in the pandemic period. In 2020, the global risk was the main factor responsible for depreciating the exchange rate, while in 2021 the high country risk, specially for emerging countries, and the low level of the domestic interest rate appear as the main factors responsible for this break.

Mateus Della Giustina de Aguiar.

Orientador: Márcio Garcia.

Co-orientador: Carlos Viana de Carvalho.

Banca: Yvan Becard. Carlos Eduardo Gonçalves.

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From Deforestation to Reforestation: The Role of General Deterrence in Changing Farmers’ Behavior

31/03/2023

This dissertation investigates the impact of environmental sanctions on forest changes in the Brazilian Amazon. We examine the role of general deterrence in changing farmers’ behavior by altering their perceived risk of violating forest laws after being punished or witnessing the punishment of adjacent farms. Using a difference-in-differences strategy and novel spatial data, we show that sanctions decrease deforestation by 48% in punished farms and 21% in adjacent farms while increasing reforestation by 15% and 6.5%, respectively. Heterogeneity analyses reveal that even sanctions lacking incapacitation components lead to substantial behavioral changes and that farmers’ responsiveness to sanctions coincides with the overall commitment to forest law enforcement. There is no evidence of spatial displacement or attempts to elude monitoring. In a counterfactual scenario without sanctions, farmers’ deforestation would increase by 29%. These findings suggest that general deterrence can make environmental sanctions a powerful tool for combating deforestation and promoting reforestation at scale.

João Pedro Graça Melo Vieira.

Orientador: Ricardo Dahis.

Co-orientador: Juliano Assunção.

Banca: Eduardo Augusto de Souza-Rodrigues. Edson Roberto Severnini.

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The Impact of Monetary Policy on Asset Prices: A High-Frequency Approach for Brazil

26/12/2022

In this paper we study the impact of monetary surprises on a class of asset prices in the Brazilian financial market. Due to institutional factors that prevent identification of this impact through the association between the monetary surprise and asset price movements in short windows around monetary policy announcements, we use an event study framework at daily frequency, controlling for both domestic and foreign factors that may affect the asset prices under analysis. We find that a surprise monetary tightening has a strong negative impact on stock market returns, and its effect on the yield curve is positive and hump-shaped, reaching a maximum on the 6 months yield. Unlike most of the previous literature focused on Brazil, we find that the Brazilian Real appreciates in response to this monetary tightening, which is consistent with the reactions found for currencies of developed economies. Moreover, while we obtain a regime in which the exchange rate is irresponsive to the monetary surprise, the evidence supporting a fiscal cause behind this regime is not strong.

Thomás Gleizer Feibert.

Orientador: Márcio Garcia.

Co-orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Bernardo Vasconcellos Guimarães.

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Fiscal Risk in an Emerging Open Economy: the Brazilian case

22/11/2022

What if the fiscal risk is not negligible? Could the Central Bank continue effectively bringing inflation to the target when it ignores the default risk? To address those questions, we propose a small open economy DSGE model with an endogenous fiscal limit, where the government can default on its domestic bonds, and monetary authority may account for that. We evaluate dynamics under two different Central Bank decision rules: when (i) it wrongly tracks that risk, and (ii) it perfectly tracks default risk. The model is calibrated based on Brazilian data, as its recent budgetary deterioration makes the country an ideal case to be studied. We find that high inflation and depreciated currency coexist with a high interest rate when the monetary authority does not fully account for the default risk. The higher the default probability, the greater the differences across the effects of the two types of policy rules that we analyzed. For a central banker to restore the inflation target, she must fully track default risk in its decision rule. In addition, our model generates an endogenous premium across countries’ interest rates due to differences in sovereign default risk.

Marina Perrupato Mendonça.

Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Gonçalves Costa Amaral. Yvan Becard.

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The Effects of Electing a Miner Mayor: Evidence from Brazil

28/09/2022

This paper analyses whether electing a miner as mayor in a Brazilian municipality has implications on municipal environmental expenditure and general health. First, by merging different public administrative data, this paper identifies candidates for municipal office in Brazil who hold a mining permit. Then, I use close elections to apply a regression discontinuity design to estimate the impact of electing a miner mayor on public environmental expense. Furthermore, by using a difference-in-differences approach, I focus on the election of mayors who mine gold, a highly contaminating activity, and check whether potential mercury contamination due to gold mining affects health outcomes in neighboring municipalities. In both cases, this paper does not find a statistically significant causal effect, however, the analysis lacks statistical power due to the small sample size.

Wallace de Jesus Inocêncio.

Orientador: Ricardo Dahis.

Banca: Juliano Assunção. Francisco Junqueira Moreira da Costa.

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Monetary Policy and Welfare Outcomes from Heterogeneity

25/08/2022

We explore the relation between monetary policy and welfare in a heterogeneous agent New Keynesian (HANK) model by grouping households in wealth classes. Our goal is to analyze the principal channels through which monetary policy affects classes’ income, savings and how it is related to their welfare after a demand and technology shocks. Our analysis covers different signs and magnitudes for these shocks, along with different Taylor rules and parameters’ calibration. In the demand shock case, the wealthiest 10% and poorest 90% have irreconcilable policy preferences. We propose total income is central to explain classes’ policy preferences. Bigger streams of income augment the number of consumption and leisure streams households can choose, improving welfare. In the technology shock case, after a negative shock, rules more reactive to output moderate the rise in interest rates and the recession. We propose it is relatively easier to cushion the shock under these rules by increasing borrowings. Consequently, households prefer them instead of rules more reactive to inflation and non reactive to output. However, after a positive shock, households prefer the Taylor rule which maximize total income, following the same logic from the demand shock case.

Lucas Maneschy Costa Ferreira.

Orientador: Eduardo Zilberman.

Banca: Yvan Becard. Felipe Iachan.

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Seasoned equity offerings in Brazil: the impact of restricted efforts method on direct and indirect costs

02/08/2022

In 2014, the Brazilian Securities and Exchange Commission included equity offerings in the restricted efforts regulatory instruction, allowing firms to issue equity through simpler, faster procedures, disclosing less information to the market. In turn, firms choosing that issuance method are allowed to sell their new shares to a group consisting of no more than 50 qualified investors. Since the new rules came into force, almost all seasoned equity offerings carried out by listed companies took place under restricted efforts. In this work, we study the impact of the new regulatory setting on two types of costs regarding seasoned equity offerings: the first, an indirect one, is the effect of offering announcements on the issuer’s stock price. An event study shows that abnormal returns in a three-day window around the announcement are, on average, 3.23 percentage points higher when the company issues equity under restricted efforts rather than traditional rules. The second type of cost, the direct one, consists of fees paid to the underwriters and other expenses. Under restricted efforts, those fees (as a percentage of total offering proceeds) are, on average, 1.01 percentage point lower than fees charged in the offerings that follow the traditional procedures. We argue that the reduction in the two types of costs is due (at least partially) to the mitigation of information asymmetry provided by the new issuance method.

Eduardo Henrique de Freitas.

Orientador: Walter Novaes.

Banca: Marcelo Medeiros. Alexandre Lowenkron.

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The dynamics of institutions beliefs and portfolio choices

08/07/2022

Empirical studies of how actions respond to expectations are of increasing relevance, as they provide vital information on agents’ choices and contribute to theoretical models. We explore how this pass-through occurs in institutional investors in Brazil. We assemble a novel dataset by matching data on institutions’ forecasts of inflation, the exchange rate and the interest rate with their hedge funds portfolio holdings. This dataset allows us to investigate how institutional investors’ expectations are related to their portfolio choices. We document that increases in funds’ inflation and exchange rate expectations are correlated with decreases in their exposures to fixed rate bonds. We also observe a negative correlation between their expectation of the interest rate and their exposure to inflation bonds once we control for the other variables.

Manuela Mesquita de Magalhães.

Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Marco Bonomo.

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Sovereign Domestic Debt Management under Fiscal Deterioration: the Brazilian Case

17/05/2022

This dissertation studies the effects of the fiscal stance on the composition of public debt in the short run. We use data on Brazilian public debt issuance and assess the impact of fiscal deficits and sovereign risk on the share of shortterm debt through reduced-form and VAR methods. Our results suggest that a fiscal deterioration is associated with a higher share of short-term debt. At the same time, a sovereign risk shock increases the reliance on short-term and floating-rate debt. Then, in order to disentangle supply and demand factors in public debt issuance, we estimate the interest-rate elasticity in auctions for short- and medium-term public debt. Using a method of identification through heteroskedasticity, we find that both factors are present. However, market demand is considerably more interest-rate elastic than Treasury supply.

Thales Guimarães Bastos.

Orientador: Márcio Garcia.

Co-orientador: Yvan Becard.

Banca: Bruno Funchal. Mário Mesquita.

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Dissertação de Mestrado

Investment Fund Demand and Financial Innovation

The Impact of Settlement Currency on Foreign Exchange Forward Contracts

Leavers and Stayers after Mass Layoffs: Evidence from Brazil

Gender and Risk Aversion in Competitive Settings

Corporate Taxation, Investment and Market Power

Advantageous selection in the payroll loan market

Monetary Policy and Core Inflation: Assessing the Impact of Alternative Measures within a Multisectoral New Keynesian Model

Trade-offs in Hospital Choices: Assessing the Impact of Distance and Quality on Healthcare Accessibility in Brazil

Do apprenticeship programs increase labor market opportunities?

Competition and Public Provision in Higher Education

Fiscal Policy Risk and the Yield Curve: an Alternative Measure

Commodity Prices and Exchanges Rates in the COVID-19 Pandemic

From Deforestation to Reforestation: The Role of General Deterrence in Changing Farmers’ Behavior

The Impact of Monetary Policy on Asset Prices: A High-Frequency Approach for Brazil

Fiscal Risk in an Emerging Open Economy: the Brazilian case

The Effects of Electing a Miner Mayor: Evidence from Brazil

Monetary Policy and Welfare Outcomes from Heterogeneity

Seasoned equity offerings in Brazil: the impact of restricted efforts method on direct and indirect costs

The dynamics of institutions beliefs and portfolio choices

Sovereign Domestic Debt Management under Fiscal Deterioration: the Brazilian Case

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