ABSTRACT. Este artigo investiga a demanda do consumidor industrial de energia elétrica no Brasil. Uma complexidade que se apresenta em relação ao consumidor residencial é que a distribuidora cobra pelo consumo de energia elétrica e pela potência máxima disponibilizada dos consumidores atendidos em níveis de média e alta tensão. O modelo desse estudo resolve o problema de maximização da utilidade gerada pelo uso da energia elétrica descontada o custo faturado pela distribuidora. O resultado indica que o consumidor escolhe o consumo e a potência máxima com base na média dos preços. Desta forma, a elasticidade preço do consumo de eletricidade no mercado cativo para a classe industrial é estimada utilizando a tarifa média, combinação da tarifa da energia e da potência máxima. Além disso, alguns consumidores industriais podem escolher seu fornecedor de energia no mercado livre. A opção de migrar para esse mercado torna a demanda do consumidor industrial no mercado cativo mais sensível ao preço médio de fornecimento de energia elétrica.

ABSTRACT. This paper considers a quantile signal framework for fi…rst-price auction. Under the independent private value paradigm, a key stability property is that a linear speci…cation for the private value conditional quantile function generates a linear speci…cation for the bids one, from which it can be easily identified. This applies in particular for standard quantile regression models but also to more ‡flexible additive sieve specification which are not affected by the curse of dimensionality. A combination of local polynomial and sieve methods allows to estimate the private value quantile function with a fast optimal rate and for all quantile levels in [0,1] without boundary effects. The choice of the smoothing parameters is also discussed. Extensions to interdependent values including bidder specific variables are also possible under some functional restrictions, which tie up the bidder covariate and signal as in an auction with resale example.

ABSTRACT. I study a scoring auctions implemented in Brazil to sell oil exploration rights. Differently from most sales of this kind, bidders had to submit a multi-dimensional bid that included a bonus and an exploratory program. A non-linear scoring rule determined the winner. I develop and implement a methodology to estimate the underlying primitive distribution of tract values and exploration commitment costs. Estimating the distribution of those primitives allows the evaluation of counterfactual revenues in alternative bidding schemes. I find that a first price auction would imply a 9.7% higher revenue from the sales examined, an increase in government revenue of 10.3 million U.S. dollars.

ABSTRACT. O objetivo deste trabalho é investigar se a probabilidade dos trabalhadores do mercado formal serem demitidos aumenta quando esses são elegíveis ao recebimento do seguro-desemprego. Utilizando a Pesquisa Mensal de Emprego (PME), a alteração na elegibilidade ao auxílio promovida pela MP665/2014 permitiu uma estimação de diferenças em diferenças a fim de identificar esse efeito. O resultado encontrado aponta um aumento de 6,8\% na probabilidade dos trabalhadores elegíveis no mês anterior à mudança, em comparação com os não-elegíveis.

ABSTRACT. Does social promotion perpetuate shortfalls in student achievement, or can low-achieving students catch up with their peers when they are pushed ahead? Using data from Brazilian primary schools, this paper presents evidence of substantial catch up among socially promoted students. After documenting sorting across schools in response to the policy, in particular away from gated-promotion private schools, we show that social promotion cycles has no significant effect on municipality enrollment figures or on the percentage of students dropping out mid-year. Cohorts of students exposed to episodes of social promotion display higher rates of age-appropriate study than their peers who faced the threat of repetition each year: by age eleven, 5.6 fewer students out of 100 have fallen behind in their studies, while 5.1 fewer students out of 100 are two or more years delayed. These gains, which arise mechanically during the period of social promotion, are highly persistent over time – even through educational stages which are typically high-stakes. This evidence suggests that, absent the social promotion policy, retention rates in Brazilian primary schools are inefficiently high: many promoted students successfully pass gateway exams after being pushed ahead, and go on to complete junior primary school on time.

ABSTRACT. Esse artigo estima o impacto de uma política pública federal que oferece atividades no contraturno escolar, o Programa Mais Educação, em indicadores educacionais, nas escolas urbanas de ensino fundamental em 2012. A correta identificação econométrica reside no critério descontínuo de elegibilidade em escolas que possuíam mais de 50% de seus alunos como beneficiários do Programa Bolsa Família. Apesar de tal priorização ter indicado maiores chances de seleção, não são encontradas melhorias no aprendizado (português e matemática) e nas taxas de rendimento (abandono, aprovação e reprovação) tanto nos anos iniciais como nos anos finais do ensino fundamental. Os resultados se mantiveram estáveis ao se considerar efeitos heterogêneos por percentual de alunos participantes e por atividades de acompanhamento pedagógico.

ABSTRACT. This paper provides evidence on a large-scale teacher incentive program in the state of Sao Paulo, Brazil, which awarded group bonuses to teachers and school staff conditional on improvements in student performance. By using a difference-in-differences and triple-differences framework, I show that the program had overall positive effects on student achievement, although improvements vary across grades and subjects. The robustness of the results is assessed through the use of a series of alternative counterfactuals. I also investigate whether initial school characteristics affect the impact of the program. Although it could be expected that free-riding effects increase with the number of teachers in schools, therefore limiting the impact of the program, this does not seem to be the case. More sizeable differences are found according to school’s previous performance. Initially low-performing schools improved much more than the average, suggesting there may be considerable differences in the ability of schools to respond to this type of policy.

ABSTRACT. We estimate the direct effect of a federal grant to Brazilian cities, the Municipalities' Participation Fund (FPM), on the main local health outcomes, together with the indirect effects due to bordering cities also receiving the FPM. We estimate Regressions in Discontinuity Design exploring the FPM distribution law according to population brackets to identify the both effects, considering a sample of neighboring towns near different thresholds. The quasi-experimental estimates show that the FPM spillovers improve local health indicators, but reduce the provision of public goods, specially when the neighboring municipality receiving the additional transfer is small. Overall, the results show that decentralization of health services could lead to an under provision of health services, as the number of doctors (-0.35\% and -0.87\%, respectively, for cities with fewer population), specially general practitioners and surgeons (-1.84\% and -2.45\%, for the most populous cities in our sample). At the same time, the direct effect is positive as expected, particularly in Family Health Program, the main preventive program in small towns, where there are an increase in PSF visits (1.59\%) and in PSF visits with a doctor (1.8\%) or a nurse (2\%). We also find positive effects on hospitalization and complex services in the major cities of the sample and reductions in infant mortality rate (-0.18\%) and morbidity rate (-0.41\%). The direct impacts are reduced when we control for neighbors' FPM, which shows that spillover effects and spatial interactions are important to explain the FPM effect on health outcomes. We test if the negative spillovers are caused by the lack of policy coordination among neighboring cities, besides the reduction in regional demand for health services. We find that spillover effects are stronger when there is more competition in mayoral elections and when neighboring mayors are not from the same party, which shows that political incentives are important to explain the observed spillovers.

ABSTRACT. This work estimates the effect of downturns in local labor markets on Pentecostal growth in Brazil, in the period from 1991 to 2000. We observe how impoverishment in the form of expected earnings losses affects Pentecostal affiliation in local labor markets. In order to handle endogeneity in the relationship between local earnings and Pentecostal affiliation, we explore 1990's trade liberalization in Brazil, using tariff reductions as an instrument for earnings changes. We find that a 10 percentage decrease in expected earnings led approximately to 1.5 percent increase, on average, in the share of Pentecostal individuals in Brazilian micro-regions. Increasing Pentecostal share was accompanied by a decreasing Catholic share. We find no evidence corroborating the standard secularization hypothesis - changes in expected earnings had no impact on the share of religious population in general.

ABSTRACT. We exploit the natural experiment induced by Daylight Saving Time (DST) to assess the impact of short-term sleep deprivation as a risk factor for diabetes mellitus using data from Brazil. Applying non-parametric regression discontinuity techniques, we provide credible evidence that transition to DST causes hospital admissions for diabetes to increase in around 6% to 8% in states that adopt DST policy. Decomposition by age and gender shows that this effect is mostly evident in the male population above sixty years of age. Additionally, health care expenses for diabetes treatment and mortality also respond to the policy and increase in around 18.9% and 8.5%, respectively. None of these changes are observed in states that do not adopt DST policy. Our estimates imply DST increases health care expenses by around $3 million, and cause a total of 155 deaths at a social cost of $.62-1.55 billion over the 5 year sample period we analyze.

ABSTRACT. We extend the Cole and Kehoe model by adding a Rubinstein bargaining game between creditors and debtor country to determine the share of debt repayment in a sovereign debt crisis. Ex-post, the possibility of partial repayment avoids the costly case of total default, as seen recently in Greece. Ex-ante, the eFFects are to increase the sovereign debt cap and delay the fiscal adjustment. In other words, expectations of a haircut in times of crisis relax leverage restrictions implied by …nancial markets and make government more lenient, suggesting caution with haircut adoption, especially when risk-free interest rates are low.

ABSTRACT. Several papers have studied the problem of optimal taxation of capital income in both infinitely lived household and overlapping generations economies. However, most of them have only considered one-sector models. In this paper I investigate whether it is optimal or not to tax capital income in a many-sector economy with an infinitely lived household. I show that the steady-state optimal tax on capital income is zero even if the only other tax the planner can select is the one on the payroll of the firm that produces the capital good. This result does not depend on whether the planner can select or not the other several tax rates.

ABSTRACT. This paper analysis the Lucas tree model with a benevolent central planner implementing a fiscal policy. I show that there exists a recursive equilibrium with a minimal state space. The latter implements a restricted Pareto optimal sequential equilibrium in which all agents have intertemporal consistency. Moreover in contrast to (chamley1986), I exhibit an example with optimal taxation on dividends and on the consumption good in which the former does not vanish in the long run.

ABSTRACT. O objetivo desse artigo é avaliar o efeito causal do ensino técnico de nível médio sobre o rendimento dos indivíduos, separando os impactos nos salários relacionados às habilidades técnicas específicas obtidas nos cursos técnicos daqueles relacionados às habilidades gerais dos indivíduos (cognitivas ou não). Para isso utilizamos duas fontes de dados ainda não exploradas para esse fim, os microdados do ENEM (Exame Nacional do Ensino Médio) entre os anos de 2004 e 2006 e os dados da RAIS (Relação Anual de Informações Sociais) de 2009 a 2012 identificados por indivíduo (CPF). A primeira base nos informa sobre o tipo de ensino médio concluído (técnico ou o geral) e traz as notas dos jovens obtidas no exame ao final do curso. Utilizamos a estratégia de duplas diferenças e encontramos resultados positivos e estatisticamente significantes, entre 8,4% e 13,5%, nos salários anuais dos jovens que pararam os estudos no ensino médio, a depender do grupo de controle utilizado. Os efeitos também são significantes entre 5,2% e 10% na renda dos que concluíram no mínimo o ensino superior. Os efeitos são robustos à inclusão de covariadas no modelo principal. Verificamos a existência de heterogeneidade do efeito por região do país e nos quartis de distribuição de notas médias por escola no ENEM, indicando que os efeitos são crescentes com a qualidade oferecida pelas escolas.

ABSTRACT. We estimated peer effects in undergraduate students’ academic performance at a Brazilian university. Our empirical evidence comes from a micro data set containing information of 1550 undergraduate students enrolled in 27 courses at the Federal University of Cear´a. In light of this great courses availability, we assign each course into one of four categories depending on its admited students’ results at the entrance exam. Then, we proceed the estimation exercise using a multi-treatment effect model. In this fashion, using IRA as a measure of academic performance, we obtain a negative effect (-0.19) for being in a first semester class, which means a 2% smaller IRA for firt semester students, vis-a-vis members of second semester classes. Moreover, we found non-linearities in this effect, since, for example, it ranges between 0.5 to -0.18. This results are in accordance with Sacerdote (2001) and Zimmerman (2003), also finding non-linearities in “peer effects”.

ABSTRACT. A inserção de Políticas de Ação Afirmativa no ensino superior tem como objetivo proporcionar oportunidades às minorias e classes menos favorecidas economicamente, servindo como mecanismo para viabilizar a mobilidade social às camadas menos privilegiadas da população. Este artigo lança luz sobre o efeito da política de cotas no ensino superior nos afetados pela política após a graduação. Utilizando dados de candidatos ao vestibular de Direito da UERJ, a primeira universidade brasileira a adotar reserva de vagas para candidatos autodeclarados negros ou oriundos da rede pública de ensino, combinados com os resultados do Exame de Ordem da Ordem de Advogados do Brasil, este artigo analisa em que medida a possibilidade de obter um diploma universitário impulsiona os alunos beneficiários da política de cotas e se estes conseguem "alcançar" os níveis de sucesso (acadêmico) de candidatos que não necessitam da política para obter acesso às melhores universidades do Rio de Janeiro. Os resultados preliminares indicam que a política de cotas aumenta significativamente a probabilidade de aprovação no Exame da OAB dos beneficiários dessa política. Entretanto, estes ainda apresentam taxa de aprovação inferior a de candidatos que são "displaced" pela reserva de vagas. Analisando candidatos aprovados e não aprovados no vestibular de Direito UERJ, próximos ao corte de admissão do curso, encontramos evidências de que os candidatos "displaced" não são afetados negativamente pela política em termos de aprovação no exame da OAB, enquanto os beneficiários de cotas para rede pública obtêm um aumento significativo em taxas de aprovação.

ABSTRACT. This paper presents an innovative data set of judicial indicators in Brazil, based on the contents of court digital diaries (Diario da Justica Eletronico) for the state of Sao Paulo. These daily, well-structured text records allow computing aggregate, high frequency court data for new cases, resolved cases and case-activity in general, as well as case type-level data, for a broad range of legal subjects including eviction, foreclosures, debt instruments, bankruptcy, dissolution of partnership, tax, indemnities, alimony, search and seizure in fiduciary liens, among others. The dataset also includes business starts, extracted from the commercial registry diary. Text records also allow monitoring litigation activity of the financial sector, which is related to credit market conditions. Ease of computation and timeliness makes this dataset attractive as potential leading or coincident indicators of economic activity and therefore, suitable for nowcasting. The first part of the paper presents the methodology of this novel panel dataset. The second part presents, based on standard time-series methods, an assessment of the predictive power of proposed judicial indicators in anticipating the path of a vector of business cycle variables. Results suggest that the novel set of judicial indicators improves forecasting in the short-run up to three months, relatively to benchmark models as well as relatively to “market” forecasts of the “present”. Relationships between judicial and economic indicators are discussed, particularly in the case of the credit market-related indicators.

ABSTRACT. We find evidence that Brazil's 7-1 humiliating defeat to Germany in the 2014 World Cup was perceived as a political shock against the incumbent in power. To do so, we show that the cross-sectional variation of returns in the stock market after the 7-1 event was similar to the cross-sectional variation after an arguably unexpected political shock. In particular, the first round election revealed that the difference between Dilma Rousseff (the incumbent and front-runner) and Aécio Neves (the runner-up) was far smaller than predicted by the polls. This shock serves as a metric to measure the political content in the cross-sectional variation of stock returns in a given day. Among the many events that happened along the convoluted 2014 presidential election, the events associated with the 7-1 match were among those perceived to have a high political impact. We propose two, perhaps complementary, explanations based on negative effects on mood and national pride triggered by the 7-1 match.

ABSTRACT. In her first term as Brazilian president, Ms. Dilma Rousseff took several measures that negatively impacted the value of Petrobras for its shareholders. She was reelected president in 2014. This paper uses stock options to estimate the effect of the 2014 Brazilian election on the asset value of Petrobras. Results show that Petrobras shares would be worth 65−78% more if the opposition candidate had won the election. While the literature has emphasized the importance of slow-moving institutional factors for the rights of minority shareholders, this paper highlights the importance of mundane election-driven changes.

ABSTRACT. Kurmann and Otrok (2013) show that the effects on economic activity from news on future productivity growth are similar to the effects from unexpected changes in the slope of the yield curve. This comment shows that these results do not hold in the light of a recent update in the utilization-adjusted total factor productivity series produced by Fernald (2014).

ABSTRACT. In this paper we discuss the impact of family management, control, and ownership structure on the firm’s payout policy. We show that family ownership and family management reduces the likelihood of positive payout, while only family management is likely to affect the payouts’ magnitude once the firm decides to pay. In terms of how earnings are distributed back to investors, family management implies less interest on equity and repurchases, and more dividends. However, once family detains both ownership and managerial control, the effect on interest on equity is nullified. Additionally, we show that the decision to pay interest on equity or dividends is related with the legal structure of the family control and is explained by tax-efficient allocation. When a family owns the firm through a holding firm there is a preference for dividends, because in this case the interest on equity suffers double taxation. On the other hand, when family control is through members’ direct interest over the firm, there is preference for interest on equity, since in this case it is tax-efficient.

ABSTRACT. In this paper, we investigate whether and how firms respond to an exogenous tax variation at the investor level by examining their financial decisions following a tax reform for pension funds in Brazil. Consistent with the tax-preference theory of dividends, we find that after implementation of the new law, firms tend to distribute more tax-deductible dividends --- called Interest on Equity (IOE) --- when the largest or second largest shareholder is a pension fund rather than other types of agents. Surprisingly, control firms also increased (but less than treated firms) their tax-deductible dividend payments, probably to attract more institutional investors and to reduce their cost of capital. We also find that treated firms reduced their leverage relative to control firms after the new law, suggesting that equity tax shields and debt tax shields act as substitute financial instruments. Overall, our evidence suggests that tax is a first-order determinant of corporate financial decisions and firms adjust their policies in consideration of the interdependence among alternative financial instruments.

ABSTRACT. The estimation results in the literature on Brazilian risk premia are not robust. For instance, among the 133 market risk premium estimates reported in the literature, 41 are positive, 18 are negative, and the remainder are not significant. In this study, we investigate the grounds for this lack of consensus. First, we analyze the sensitivity of the US risk premia estimation to two relevant constraints present in the Brazilian market: the small number of assets (137 eligible stocks) and the short time-series sample available for estimation (14 years). We conclude that the second constraint, small T, has greater impact on the results. Then, we evaluate the two potential causes of problems in risk premia estimations with small T: i) small sample bias on betas, and ii) divergence between ex-post and ex-ante risk premia. Through Monte Carlo simulations, we conclude that for the T available for Brazil, the beta estimates are no longer a problem. However, it is necessary to wait until 2041 to be able to estimate ex-ante risk premia with Brazilian data.

ABSTRACT. We propose an economically motivated forecast combination strategy in which model weights are related to portfolio returns obtained by a given forecast model. An empirical application based on an optimal mean-variance bond portfolio problem is used to highlight the advantages of the proposed approach with respect to approaches based on statistical measures of forecast accuracy. We compute average net excess returns, standard deviation, and the Sharpe ratio of bond portfolios obtained with 9 alternative yield curve specifications, as well as with 12 different forecast combination strategies. Return-based forecast combination schemes clearly outperformed approaches based on statistical measures of forecast accuracy in terms of economic criteria. Moreover, return-based approaches that selects only the model with highest weight each period and discard all other models delivered even better results, evidencing the advantages of trimming forecast combinations. The results are robust to alternative levels of risk aversion.

ABSTRACT. We show that high-dimensional econometric models, such as shrinkage and com- plete subset regression, perform very well in real time forecasting of inflation in data-rich environments. We use Brazilian inflation as an application. It is an ideal example because it exhibits high short-term volatility and several agents devote extensive resources to fore- cast its short-term behavior. Therefore, precise specialist’s forecasts are available both as a benchmark and as a key predictor for the estimated models. Furthermore, we propose a new way of combining forecasts based on model confidence sets and we show that model combination can achieve superior predictive performance.

ABSTRACT. We use a new methodology to analyze the spatio-temporal evolution of ethanol/gasoline price ratio for the end consumer in Brazil. This model allows estimating the distribution of prices throughout the Brazilian territory using a continuous space model estimated by Bayesian methods. We use data from the National Agency of Petroleum, Natural Gas and Biofuels price survey system, a weekly sample of 10\% of fuel suppliers in Brazil to estimate continuous projections of the price ratio for the entire country for the 2007-2014 period. We use this model to build an indicator of ethanol advantage throughout the Brazilian territory, and show how this advantage has been reduced after 2009

ABSTRACT. In this work we consider modeling the past volatilities through an asymmetric generalised autoregressive conditional heteroskedasticity (GARCH) model with heavy tailed sampling distributions.In particular, we consider the Student-t model with unknown degrees of freedom and indicate how it may be used adequately from a Bayesian point of view in the context of smooth transition models for the variance. We adopt the full Bayesian approach for inference, prediction and hypothesis testing. We discuss problems related to the estimation of degrees of freedom in the Student-t model and propose a solution based on independent Jeffreys priors which correct problems in the likelihood function. A simulated study is presented to investigate how estimation of model parameters in the Student-t GARCH model are affected by small sample sizes, prior distributions and mispecification regarding the sampling distribution. An application to the Dow Jones stock market data illustrates the usefulness of the asymmetric GARCH model with Student-t erros. In this context, the Student-t model is preferable for prediction in the case of high volatility regimes.