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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.

Fiscal Policy Risk and the Yield Curve: an Alternative Measure

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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Competition and Public Provision in Higher Education

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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Commodity Prices and Exchanges Rates in the COVID-19 Pandemic

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

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

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

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

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

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

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

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

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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Does the Stock Market reflect the Long-Run Effects of COVID-19?

The existing literature on the effects of Covid on stock returns focuses on endogenous changes in risk tolerance and on the modeling of rare events. So far, these attempts have not been able to match the data. In this paper, I propose an alternative approach to explaining the Covid effects on stock returns worldwide: disentangling the long-run effects from the short-run effects. Intuitively, Covid’s long-run effects include disruptions of supply chains and educational patterns, which, conceivably, will take time to phase out. Exactly as it happens with the persistent shocks of long-run risks models! A model that allows for short-run fluctuations and long-run risk shows that persistent shocks play a role in explaining stock market returns and exchange rates in a time span that starts in January 2018 and ends in November 2021.

Rafael Pereira Alves.


Orientador: Walter Novaes.

Banca: Yvan Becard. Marco Antonio Cesar Bonomo.

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Informality and Consumption of Formal Goods

As economies develop and grow, their informal sector shrinks. The literature emphasizes a number of supply-side causes (higher costs of informality for larger and capital-intensive firms, improved state enforcement capacity, higher levels of education) to explain this phenomenon. This thesis contributes to the debate by proposing a new, demand-side explanation. We argue that the rise in formality can be explained, in part, by a rise in demand for formal goods and services from households whose income is growing. Using Brazilian household expenditure survey data, we document that in the cross-section, higher-earning households consume a larger fraction of formal goods (7 percentage points as income doubles). We also show that, over time, formal consumption increases together with income. We attempt to provide a causal estimate by analysing exogenous increases in the minimum wage. Last, we propose a theoretical discussion on the type of preferences consistent with this observed behavior.

Jonas Gouveia de Azevedo Maia.


Orientador: Yvan Becard.

Co-orientador: Gustavo Gonzaga.

Banca: Juliano Assunção. Cezar Augusto Ramos Santos.

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Foreign Exchange Interventions in Brazil: Spillover Effects on Asset Prices

Estudamos se as intervenções cambiais do Banco Central do Brasil impactam, além da taxa de câmbio, outros preços de ativos (taxas de juros e preços de ações). Fazemos isso classificando as intervenções em três tipos, de acordo com o nível de surpresa, e usando dados minuto a minuto. Nossos resultados mostram que, tanto para a venda de USD (ou emissão de swap) quanto para a compra de USD (ou emissão de swap reverso), o BRL/USD reage na direção esperada, os preços das ações aumentam e as taxas de juros também aumentam. Vale ressaltar que o anúncio impacta muito mais do que a própria intervenção. Além disso, os vértices longos dos juros tendem a responder mais as intervenções do que os vértices curtos. Finalmente, entre os tipos de intervenções, encontramos uma notável heterogeneidade em termos de movimentação dos preços dos ativos dentro de uma janela de meia hora, como em termos de sustentação do movimento por uma janela de nove horas (duração do pregão).

Alexandre Borelli Mello.


Orientador: Carlos Viana de Carvalho. Márcio Garcia.

Banca: Marcelo Medeiros. Samer Fath Shousha.

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Motherhood Penalty in Labor Market: Evidence from Brazil

I investigate how motherhood impacts women in the Brazilian labor market. Social norms that regard women’s role as more ”family-oriented,” unequal division of non-market work, and the lack of accessible free childcare for all working mothers could impact their labor supply, wages, and career path. Using an administrative linked employer-employee dataset, I estimate children’s impact on several labor market outcomes through an event-study methodology comparing mothers and non-mothers. While a child’s birth is associated with a decline in the mother’s earnings, participation in the formal labor market, and the probability of holding a managerial position, it is also associated with an increase in participation in the public sector and part-time jobs. In addition, I found that employment penalties are reduced if women are wealthier, college-graduated, and public sector employees. Further, I use household survey data to investigate short-run gender differences in child penalties. I find a decrease in mothers´ wages, employment, and an increase in the probability of holding an informal job after the stability period in the formal labor market. Men do not present changes in labor market outcomes due to parenthood.

Maria Oaquim de Medeiros.


Orientador: Gustavo Gonzaga.

Co-orientador: Claudio Ferraz.

Banca: Cecilia Machado. Camille Landais.

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Spillover effects of full-day schools: Evidence from São Paulo State

Lengthening school time is an attractive policy that middle-income countries have been adopting. However, regardless of an increasing number of works analyzing the impact of increasing instructional time on students’ achievement, little is known about the spillover that this kind of policy generates, despite its high cost for poor students from developing countries. Therefore, we evaluate the impact of full-day schools on regular public schools (part-time). To do so, we analyze the Programa de Ensino Integral (PEI) of São Paulo state for secondary education in a dataset with schools geolocations. We use a dynamic difference-in-differences strategy to show that full-day schools change students and teachers composition of nearby regular schools and negatively affect their achievement and drop-out. Furthermore, we estimate PEI’ impact on treated schools removing spillover bias and confirm that the spillovers are relatively small compared with the program’s gains.

Gabriel de Campos Gonçalves dos Santos.


Orientador: Juliano Assunção.

Banca: Leonardo Rosa. Ursula Mello.

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Informal housing, spatial spillovers, and labor market access in Brazil

In this work, I study the supply and demand for housing in the São Paulo Metropolitan Area, a major city in Brazil. Using detailed commuting data, I estimate a quantitative spatial model, in which agents make decisions on residence and workplace based on local rents, wages, commuting costs, and amenities. I propose an extension of the usual framework with a formal housing supply sector to include a competing informal one, an important institutional characteristic present in many developing countries. I quantify the spatial spillovers of this informal housing, and investigate its role in providing residents with improved access to the local labor market.

André Nascimento Alcântara Pereira.


Orientador: Thierry Verdier.

Banca: Juliano Assunção. Gabriel Lopes de Ulyssea.

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Returns and Hazard Mitigation: Evidence from Tropical Cyclones

In this paper, we provide evidence that information about hazard mitigation infrastructure in the United States (U.S.) during an indirect exposure to tropical cyclones and the indirect exposure to tropical cyclones per se generate anomalies in returns after considering the 5 Fama-French factors and momentum. We formulate two possible hypotheses to explain these anomalies: local investor and general market hypotheses. Both hypotheses assume that hazard mitigation investments are lower than the ideal. Their difference is based on how investors interpret the hazard mitigation programs. We focus on local investors’ perceptions about them in the local investor hypothesis. More significant investments in these programs mean more local investors will acknowledge them and their flaws. On the other hand, we focus on general investors’ associations between hazard mitigation investment level and disaster risk in the general market hypothesis. In the end, we give some evidence of the local investors’ hypothesis, but we cannot guarantee that this is the only possible explanation. The whole point depends on how much investors know about hazard mitigation programs. Beyond that, we give evidence that an information channel is the probable path in which the anomalies are generated. Thus, in this dissertation, we shed some light on the uncertainty generated by natural disasters that prices assets, a topic that gets more attention in a warming world.

Marcelo Costa Marques.


Orientador: Marcelo Medeiros.

Banca: Ruy Monteiro Ribeiro. Walter Novaes.

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The Market for Internet News Distribution

This paper studies the role of aggregators as intermediaries in the online news industry. I propose a model where firms must appeal to consumers with differentiated tastes, trading off between a vertical dimension of quality and a horizontal dimension of relevance. In this context, depending on the relative strength of these forces, the presence of the news aggregator may either increase quality and welfare or decrease quality with an ambiguous effect on welfare. I argue that while the first scenario is more in line with the existing theoretical literature on news aggregators, the second seems to be more strongly supported by the empirical evidence. The impact of aggregators in this second scenario may substantiate concerns over the quality of news provision on the internet.

Victor Aliende da Matta.


Orientador: Timo Hiller.

Co-orientador: Leonardo Rezende.

Banca: Vinicius Nascimento Carrasco. Lucas Jover Maestri.

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