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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.

Wealth inequality in heterogeneous agent models: the role of portfolio choice

We introduce households’ portfolio decisions in a heterogeneous agents model to evaluate how this affects wealth inequality. To do so, we alter the Krusell and Smith (1998) model, incorporating a decreasing returns to scale technology, so that the representative firm issues risk-free bonds to raise capital for production and distributes profits (or losses) to equity holders. We also make use of Epstein-Zin preferences to augment the model’s equity premium, by increasing households risk aversion. The model is able to replicate stylized facts: (i) poorest households seldom participate in the equity markets; (ii) households allocate higher proportions of their savings to equity investments as they get wealthier; (iii) households’ expected return on savings increases with wealth. Inequality of wealth does increase in the model with portfolio decisions. Nevertheless, the effect on wealth inequality is small due to the low level of equity premium generated by the model. The result in unchanged even when we set very high values for risk aversion, and it is related to the lack of consumption growth volatility delivered by this class of model. Finally, we document that taking into account endogenous portfolio decisions enhances the effects of other sources of inequality.

Cesar Augusto Mendonça Zambrano.


Orientador: Eduardo Zilberman.

Co-orientador: Márcio Garcia.

Banca: Yvan Becard. Felipe Iachan.

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Capital Controls in Latin American Economies: Stylized Facts, Optimality and Welfare Analysis

The present work investigates the relationship between capital controls and external accounts in Latin American economies and addresses the idea of capital control’s optimality in a small open economy. The work presents capital controls as countercyclical, where they are intended to mitigate adverse shocks in the current account. Also, using data for the Brazilian economy, the results suggest that capital controls may mitigate the volatility of the economy and allow welfare gains in the steady state. At the same time, the work shows that, at excessive taxation, an ad-hoc capital control loses its capacity to generate welfare gains, which in turn alludes certain parsimony in their introduction.

Vitor Araujo de Holanda Jó.


Orientador: Márcio Garcia.

Co-orientador: Diogo Abry Guillén.

Banca: Cristina Terra. Eduardo Zilberman. Marcel Scharth.

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Anchored Expectations and the Term Structure of Bond Yelds

The relation between asset prices, monetary policy expectations, and macroeconomic data releases has long been assessed by the literature. This dissertation addresses the implications of the anchoring or unanchoring of long-run inflation expectations, as a stance of monetary policy, to the term structure of bond yields. In particular, it aims to understand how this mechanism is connected to the time-varying pattern of both the volatility of nominal yields and their sensitivity to macroeconomic surprises. To that matter, we present a New-Keynesian model with two main characteristics. First, agents have subjective beliefs instead of rational expectations. They learn about the inflation target set by the central bank and their expectations may become anchored or unanchored over time, given the state of the economy. Second, agents face time-varying risk aversion. The model has one main prediction: the sensitivity of the term structure to inflation surprises is not only time-varying, but state-dependent.

Marcela Carvalho Ferreira de Mello.


Orientador: Carlos Viana de Carvalho.

Banca: Marco Bonomo. Stefano Eusepi.

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School Time and Crime: Incapacitation Effects in Brazil

Juvenile crime imposes non-trivial costs to societies, which have made its determinants and deterrents increasingly subject of study by economists. School-based interventions are often proposed in order to mitigate the rise in criminal careers and the perpetuation of violence. However, the directions and channels through which schooling may affect crime vary. This paper studies one of them - namely the incapacitation effects - exploiting a federal program that extended school hours in Brazilian public schools. Using quasiexperimental variation in the probability of receiving the program and georeferenced crime data from the state of São Paulo, it is possible to estimate the causal effect of the program on criminal activity in the surroundings of the schools. Results suggest incapacitation does prevent juveniles from engaging in less offensive crimes, with stronger evidence for drug-related crimes and for schools with poorer students.

Eduardo Fagundes de Carvalho.


Orientador: Claudio Ferraz.

Banca: Daniel Ricardo de Castro Cerqueira. Gustavo Gonzaga.

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The tax benefits of interest on Equity: Why so many firms forgo them?

Desde 1996, a legislação fiscal brasileira permite que as empresas distribuam lucros para os seus acionistas em duas maneiras distintas: Dividendos e Juros sobre o Capital Próprio. Os Juros sobre o Capital Próprio pagos aos acionistas são dedutíveis do imposto de renda da firma pagadora, mas são tributados no nível do acionista beneficiário. Os dividendos pagos, por outro lado, não podem ser deduzidos do imposto de renda da firma pagadora, mas em contrapartida, não são tributados ao nível do acionista. Tudo o mais, há uma vantagem fiscal em distribuir lucros em Juros sobre o Capital Próprio ao invés de dividendos. Entretanto, muitas empresas brasileiras de capital aberto dispensam essa vantagem fiscal ao distribuir lucros exclusivamente via dividendos. Eu proponho que problemas de agência seriam responsáveis por esse puzzle. Caso uma firma opte por pagar dividendos, os custos fiscais de não distribuir lucros em Juros sobre Capital Próprio são igualmente divididos entre todos os acionistas. Os acionistas controladores, por outro lado, arcam com grande parte do ônus fiscal dos Juros sobre o Capital Próprio recebidos caso a firma possua uma estrutura acionária piramidal. Apresento evidência de que tal assimetria na distribuição dessa carga fiscal pode ser a razão pela qual tantas firmas abdicam de distribuir lucros via Juros sobre Capital Próprio.

Matheus Almeida Dalalana D´Amico.


Orientador: Walter Novaes.

Banca: Ruy Monteiro Ribeiro. Patrick Behr.

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Pretrial detention and rearrest: evidence from Brazil

In most legal systems, detaining individuals pretrial is a common practice. Pretrial detention prevents that defendants commit crimes while they wait for their trials, but prison experiences can also encourage future criminal activity. In this paper, we use novel data on detention hearings and in flagrante delicto arrests in the state of Rio de Janeiro to assess the effect of pretrial detention on future crime. Since detention assignment is endogenous to defendants’ characteristics, we adopt an instrumental variable approach that exploits randomly assigned judges who differ in terms of their idiosyncratic tendencies of ordering pretrial detention. Our findings suggest that pretrial incarceration reduces rearrest in the medium term, and that this effect is entirely driven by incapacitation effects. We also provide evidence that pretrial detention increases the probability and the severity of post-release crime.

Beatriz Machado Ribeiro.


Orientador: Claudio Ferraz.

Banca: Joana da Costa Martins Monteiro. Rodrigo Reis Soares.

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Campaign Contributions and Credit: Evidence from Brazil

In this paper, I study the relationship between allocation of credit and political campaign contribution. In order to achieve this goal, I use loan data on indirect operations from Brazilian development bank (BNDES) at the firm level between 2003 and 2014. Exploring variation for the same firm contributing and not contributing to political campaign and for type of bank, I test if firms that contribute to political campaign at the federal level have preferential access to credit through firm-bank, firm-time and bank-time fixed effect. I find that politically connected firms increase their likelihood of receiving a loan from state-owned banks. On the other hand, they have a lower probability of receiving a loan from private banks. Results for intensive margin show that companies connected with politicians at the federal level receive, on average, greater credit from federal banks. In addition, these companies borrow lower amounts from private banks. This effect is concentrated on the credit line used to fund machine and equipment. Heterogeneous effects of connections with winning and losing candidates vary according to the econometric model I use.

Roberta Beck Tabajara.


Orientador: Claudio Ferraz.

Banca: Arthur Amorim Bragança. Juliano Assunção.

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Connecting the Dots: Assigning FOMC Members to Fed Dots Through Speech Quantification

As (1) points out, monetary policy predictability can enhance a Central Bank stabilization policy efficacy. In this paper we aim to reduce uncertainty about one Federal Reserve forward guidance instrument by estimating full association probabilities distributions between members and the interest rate dot plot for each FOMC meeting. Our contribution to the literature is twofold: first, we propose a general Bayesian algorithm which estimates these association hypotheses between agents and actions whenever they are not observed. Second, we elaborate a novel and less subjective technique for quantifying text into data, using Latent Dirichlet Allocation (LDA) and shrinkage econometric tools. This method shows some desirable features such as positive correlation between the FOMC chair and the rest of the committee, and a policy stance ordering which partially reflects analysts and market participants views on this hawk-dove spectrum. Our tracking algorithm performs successfully in a simulated environment, in a sense that it on average considers the correct member-to-dot association as the most likely one. Using real data on speeches and Fed dots, it is also able to attribute the highest probability to the correct assignment hypothesis in the only meeting it is known for sure

Lucas Zaniboni.


Orientador: Carlos Viana de Carvalho.

Co-orientador: Marcelo Medeiros.

Banca: Diogo Abry Guillén. Leonardo Rezende.

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Rent-sharing, gender wage inequality and female-led firms

Gender wage inequality has been widely studied and many explanations have been advanced in the literature. There is growing evidence that firms play an important role in explaining this inequality. In this paper, I make use of a unique setting with exogenous demand shocks to firms to identify if there is evidence of rent-sharing by firms and whether it differs between male and female workers. Controlling for worker quality, I find that increases in the value of the demand shock per worker do not lead to increases in wages. Demand shocks do not have effects on neither male nor female wages. Furthermore, I use a new dataset containing information on gender of firm’s owner and I examine if female and male-led firms behave differently towards their employees. I find no evidence of differential rent-sharing through the structure of the firms’ ownership.

 

Caterina Soto Vieira.


Orientador: Claudio Ferraz.

Co-orientador: Gabriel Ulyssea.

Banca: Cecilia Machado. Gustavo Gonzaga.

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Two Essays on Housing Programs and the Labor Market

This dissertation is comprised of two chapters. In the first chapter, we assess how a large public housing program in Brazil affected short and medium-run employment probability and other labor market outcomes. We use data from lotteries in Rio de Janeiro to identify these impacts. We concluded that the program increased formal employment by about two percentage points and had no effect on informal employment. Moreover, we also find evidence that receiving a house increased wages and the quality of jobs held for the treated individuals and reduced participation in other social programs. Additionally, we used reduced-form models to test the mechanisms that might explain the observed increase in employment probability. We found evidence that the mobility costs from the individual job to the provided houses is an important determinant of the impacts of the program. On the other hand, neighborhood effects, relocation from the individuals’ house, migration and the distance from individuals’ previous homes do not seem to be important mechanisms in explaining the effect of the program on employment. In the second chapter, we complement the previous analysis by building and estimating a static labor supply structural model. We incorporate in the model the simultaneous decision to participate in the labor market and a housing program. We use data for lotteries to help identify the parameters of the model. The lotteries data is also used to out-of-sample validation. Our estimated model is able to reproduce well both the behavior of individuals in the data used for estimation and in the experimental hold-up sample. Then, we use this model to perform policy experiments and evaluate counterfactuals.

Carlos Alberto Belchior.


Orientador: Gabriel Ulyssea.

Co-orientador: Gustavo Gonzaga.

Banca: Cecilia Machado. Claudio Ferraz.

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A economia da política do toma-lá-da-cá

Suspeitas de compra de votos e barganha de favores políticos marcaram os processos de impedimentos presidenciais no Brasil. É o toma-lá-dácá no Congresso. Essas atividades são menos relevantes nos processos de impedimento norte americanos e nos votos de desconfiança em regimes parlamentaristas. Nesta dissertação, desenvolvo um modelo no qual o tomalá-dá-cá no Congresso implementa o mecanismo ótimo de incentivos a chefes de governo sujeitos a risco moral na execução de suas plataformas políticas. Há um tradeoff entre a execução da plataforma vitoriosa nas eleições e tomalá-dá-cá no Congresso. Se a base aliada é capaz de induzir o presidente a governar conforme suas promessas de campanha, o desenho ótimo inclui a possibilidade de impedimento, mas votos no Congresso sobre o impedimento refletem o desempenho de governo.

Yuri Lemos de Oliveira Pinto.


Orientador: Walter Novaes.

Banca: Humberto Moreira. Timo Hiller.

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Unemployment Insurance and Labor Turnover: Evidence from Brazil

Estudos recentes estimam que a elegibilidade ao programa de seguro desemprego aumenta a probabilidade de demissão em 12% no Brasil. Esse artigo desenvolve um modelo de equilíbrio parcial onde trabalhadores buscam por emprego e podem se demitir para coletar benefícios do seguro desemprego. Calibramo-lo usando dados do Brasil e o utilizamos para medir as consequências desse comportamento sobre o acúmulo de capital humano específico à firma e sobre a produtividade do trabalho na economia. Por meio de exercícios contrafactuais, descobrimos que tornar a elegibilidade ao seguro desemprego mais estrita aumentaria o salário médio, a estabilidade no emprego, mas também a taxa de rotatividade. Discutimos esse último resultado e concluímos que isso depende de como a política modifica a fração de trabalhadores empregados que voluntariamente se separam de seus empregos. Em outro exercício, encontramos uma relação negativa entre a mudança na taxa de reposição do programa de seguro desemprego e a duração média do emprego.

Alison Rocha de Farias.


Orientador: Gabriel Ulyssea.

Co-orientador: Gustavo Gonzaga.

Banca: Juliano Assunção. Renata del Tedesco Narita. Augusto Cesar Pinheiro da Silva.

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Non-conventional Monetary Policy in Turkey: A Synthetic Control Approach

Do alternative monetary policy frameworks actually work? After the financial crisis and especially in late 2010, Turkey faced a conjecture of high volatility in international capital flows and deteriorating current account. The Central Bank of Turkey decided, then, to innovate the way it executes monetary policy, by introducing a new set of instruments and focusing on credit and exchange rate channels. This paper is a comparative case study that evaluates the effectiveness and impact of Turkey’s change in policy framework on its main monetary variables. We apply two different synthetic control methods. Our estimates suggest inflation and exchange rate were not considerably affected. Although there was an initial deviation towards desirable directions, the effects dissipated after one year. On the other hand, domestic credit seem to have presented a stabilization path.

Tiago Lamberti Negreira.


Orientador: Márcio Garcia.

Banca: Marcelo Medeiros. Luciano Vereda Oliveira.

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Bolsa Família and formal employment: evidence from Brazilian municipalities

In this paper we study the impact of Bolsa Família’s CCTs on the number of formal jobs at the municipality level. We find a highly heterogeneous effect across municipalities. Previous works on this topic considered only the effect on the average municipality. We show evidence that the program’s effect can be five times higher on the poorest municipalities, corresponding to 1% increase in formal jobs for a 10% increase in the number of beneficiaries. To accomplish so, we combine administrative data on the program enrollment with data on the universe of formal jobs. This allows us to overcome the problem of measurement error in the treatment variable. Robustness checks indicate that the effect remains significant after controlling for health, educational, climatic shocks, financial and political factors.

Pietro Scodiero Consonni.


Orientador: Pedro Carvalho Loureiro de Souza.

Co-orientador: Eduardo Zilberman.

Banca: Gustavo Gonzaga. Miguel Nathan Foguel.

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Disentangling aggregate and sectoral shocks using price microdata

We estimate the volatility of aggregate and sectoral shocks, as well as their contributions to business cycles fluctuations, using price setting data. The key idea is that sector-specific innovations are associated with the dynamics of price setting statistics, such as average size of price adjustments, within a single economic sector, while the volatility of aggregate disturbances can be inferred from the correlation of these statistics across different sectors. Therefore, price setting data provides useful information about the nature of economic fluctuations. We employ a rich price setting model in which firms face not only menu costs, but also informational frictions and estimate it using Simulated Method of Moments and data from the UK. We find that sectoral shocks are considerably more volatile than their aggregate counterparts.

 

Rodolfo Dinis Rigato.


Orientador: Carlos Viana de Carvalho.

Banca: Eduardo Zilberman. Marco Bonomo.

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Does structural change lead to inequality change? A macroeconomic approach.

While structural change literature has been mainly focused on explaining the Kuznets Facts - a set of regularities concerning sectoral dynamics throughout economic growth - important issues were left apart. Inequality was one of them: Kuznets himself, when making some of the first documentation of structural change patterns, repetitively expressed his concern that inequality and sector reallocation were linked. In this regard, we seek to extend the benchmark model of structural change to introduce wealth and income distribution. We allow idiosyncratic risky and incomplete markets in a two-sector environment of growth. In a quantitative exercise, a secular transition from a poor and good's producer economy to a richer and service-based one is conducted. We establish how a time-varying relative price of consumption and investment - yielded by the model's multi-sector structure - plays an important role in the inequality behavior. Watching a rising trend for this relative price, agents allocate more consumption to the beginning of the transition. With the subsequent rise in interest rates and the lower accumulation of capital, inequality soars within this period. We also show that, when workers may be restricted to switch sectors, income inequality jumps during the first years, while wealth inequality actually becomes smaller than in the frictionless case. Finally, we calibrate the model based on the US economy 1950-2000, obtaining a good fit for sectoral shares, and a reasonable fit for income Gini percent variations. Our consumption-investment relative price effect on inequality does not explain the rise in the Gini index after the 1980s.

Bernardo Silva de Carvalho Ribeiro.


Orientador: Eduardo Zilberman.

Co-orientador: Tiago Couto Berriel.

Banca: Carlos Viana de Carvalho. Pedro Cavalcanti Ferreira.

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Pre-FOMC Announcement Relief

We show that the pre-FOMC announcement drift in equity returns happens mostly in periods of high market uncertainty/volatility. More precisely, this abnormal return is explained by a significant reduction in risk premium prior to the announcement in periods of high market volatility. We also show that the relevant measures of uncertainty/volatility are persistent and are not related to policy uncertainty or policy expectations. Markets do not become stressed in the days prior the announcement and the uncertainty resolution is not reversed in the days after the meeting either. The relation between market uncertainty and pre-FOMC drift in equity returns is robust to different samples and to alternative measure of uncertainty or risk premium.

M403

Vitor Gabriel Rivas Martello.


Orientador: Ruy Monteiro Ribeiro.

Banca: Diogo Abry Guillén. Marco Bonomo.

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Forecasting Large Realized Covariance Matrice: The Benefits of Factor Models and Shrinkage

We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S&P 500 on a daily basis. To deal with the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g. size, value, profitability) and use sectoral restrictions in the residual covariance matrix. This restricted model is then estimated using Vector Heterogeneous Autoregressive (VHAR) models estimated with the Least Absolute Shrinkage and Selection Operator (LASSO). Our methodology improves forecasting precision relative to standard benchmarks and leads to better estimates of the minimum variance portfolios.

M404

Diego Siebra de Brito.


Orientador: Marcelo Medeiros.

Co-orientador: Ruy Monteiro Ribeiro.

Banca: Diogo Abry Guillén. Marcelo Fernandes.

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Credit Crunches and Inequality Dynamics

I develop an entrepreneurship model with occupational choices in an environment where agents face binding credit restrictions. I show that in economies where financial markets are tighter, the distribution of wealth is characterized by higher levels of inequality. The model is consistent with documented results in the literature concerning losses in TFP and other aggregate outcomes. I also analyze the transition dynamics of the wealth distribution in the aftermath of a once-and-for-all credit crunch shock and show that wealth accumulation might mitigate the misallocation implied by such adverse shocks.

M405

Guilherme Neves Silveira.


Orientador: Eduardo Zilberman.

Banca: Carlos Viana de Carvalho. Pedro Cavalcanti Ferreira.

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