SBE39: 39TH MEETING OF THE BRAZILIAN ECONOMETRIC SOCIETY
PROGRAM FOR FRIDAY, DECEMBER 15TH
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08:30-10:15 Session 17A: Education II
Chair:
Cristine Pinto (FGV/EESP, Brazil)
08:30
Beatriz Velho (PUC-Rio, Brazil)
Eduardo Zilberman (PUC-Rio, Brazil)
Carlos Viana (PUC-Rio, Brazil)
Negative Role Model Effects on Education: The Impact of Successful Soccer Players on Brazilian Schools’ Performance
SPEAKER: Beatriz Velho

ABSTRACT. We examine the effects of negative role models on two educational outcomes: dropout rates and performance on a standardized test. As negative role models, we use Brazilian soccer players, who, through no fault of their own, are well succeed references unrelated to educational achievement. Through a differences-in-differences estimation, we find that soccer players’ success temporarily increases male dropout rates, but doesn’t seem to have significant economic effects on the standardized test’s grades. The effects are stronger and more statistically significant among public and urban schools.

09:00
Elena Arias Ortiz (BID, United States)
Joao Marcelo Borges (BID, Brazil)
Daniel Santos (FEA-RP/USP, Brazil)
Developing socioemotional skills in secondary school: Short term impacts from a randomized experiment in Ceará, Brazil
SPEAKER: Daniel Santos

ABSTRACT. We evaluate the impact of an innovative social and emotional curriculum for high school implemented in 36 schools of Ceara, randomly selected from a pool of 72 schools that voluntarily opt to participate (N=4438). We found significant positive effects for Emotional Resilience (+0,16σ), Kindness (+0,14σ) and Engagement with Others (+0,15σ) as measured by the SENNA assessment (Primi et al, 2016), precisely the priority dimensions worked during the first year of the intervention. Effect sizes are in line with what is found for Positive Youth Development programs in the literature. Impacts are bigger for vulnerable individuals, such as those with previous records of grade repetition, boys and with low scores in cognitive tests. These results indicate that social and emotional skills are malleable during teenage, and can be manipulated in large scale by an intervention.

09:30
Cristine Pinto (FGV/EESP, Brazil)
The Building Blocks of Skill Development

ABSTRACT. The recent literature on human capital formation has emphasized the dynamic process of skills formation throughout the lifecycle. In particular, the importance of developing these skills early in life has been widely observed. According to Cunha and Heckman (2010), deficiencies in building these skills early in life make it difficult to catch up in later years. In this article, we evaluate the impact of a building block program on the development of cognitive and socio-emotional skills. Building block programs have been advertised as an investment that boosts intelligence. Using a randomized control trial in Brazil, we find a positive impact of the building block program on cognitive skills in the short run on younger students (seven to eight years old). We did not find any robust effect of the program on older kids(ten to twelve years old). In addition, we find complementaries between socio-emotional skills and the development of cognitives skills. Children that had higher socio-emotional skills beforehand have higher benefits from the investment (building blocks program). This result suggests that the development of socio-emotional skills can increase the window of opportunity in which the program can affect cognitive skills.

08:30-10:15 Session 17B: Economics and Politics II
Chair:
Location: Ametista
08:30
Danilo Souza (FEA/USP, Brazil)
Marcos Nakaguma (FEA/USP, Brazil)
Determinants and Effects of Negative Advertising in Politics
SPEAKER: Danilo Souza

ABSTRACT. This paper assesses the determinants of negative advertising between candidates in electoral races ruled by majority vote, and also the effects of this type of advertising in the voter's behavior. We evaluate, for example, how the number of candidates and how electoral rules (single-ballot versus runoff election) affects the negativity level of campaigns. We use data from Brazil's Judiciary system for 2012 mayors election, which allows us to assess how these determinants affect differently the decision of going negative when attacker-attacked candidates were 1st-2nd or 2nd-3rd, for example, in the final vote share.

09:00
Guilherme Oliveira (BCB, Brazil)
Benjamin Tabak (UCB, Brazil)
Daniel Cajueiro (UnB, Brazil)
Bank Lending and Politics

ABSTRACT. We analyze the lending behavior of the commercial banks in the credit market at the local level by localities in Brazil for the period from 2005 to 2013. We use a high-frequency database from Brazil Central Bank of the main items of balance sheets of commercial banks and multiple banks with commercial portfolio. We used fixed-effects panel and non-additive fixed-effect quantile panel for a universe of 2,601 localities. We find evidence of poor credit allocation by state-owned banks after the 2008-2009 financial crisis for the non-earmarked credit market segment. The larger credit expansion, the deteriorating loan quality and the political targeted bank lending seem to be main determinants of such poor allocation.

09:30
Efeitos da comunicação oficial e extra-oficial do Banco Central do Brasil sobre a curva de juros

ABSTRACT. Com o intuito de fornecer maior transparência em suas opiniões e decisões, os bancos centrais ao redor do mundo utilizam tanto seus canais oficiais quanto a mídia especializada para se comunicar com o público geral. Utilizando-se de um banco de notícias inédito com frequência intradiária, este artigo encontra evidências que a volatilidade da ponta longa da curva de juros no Brasil é maior em dias de publicações oficiais no site do Banco Central do Brasil e que a ponta curta é afetada em dias nos quais o presidente ou algum diretor da instituição são citados na mídia especializada. Os efeitos são maiores a partir de 2014.

08:30-10:15 Session 17C: Forecasting and Risk
Chair:
Marcio Laurini (FEA-RP/USP, Brazil)
Location: Topázio
08:30
Fábio Gomes (FEA-RP/USP, Brazil)
Preferências CRRA e recursivas são equivalentes? Estimando a elasticidade de substituição intertemporal
SPEAKER: Fábio Gomes

09:00
Gabriel Vasconcelos (PUC-Rio, Brazil)
Marcelo Medeiros (PUC-Rio, Brazil)
Alvaro Veiga (PUC-Rio, Brazil)
Forecasting US inflation in a data-rich environment: The benefits of machine learning methods - Job Market Paper

ABSTRACT. In this paper we used several Machine Learning Methods to forecast the US inflation in data-rich environments. We show that ML models are more accurate than the benchmarks for several forecasting horizons both in the 1990s and the 2000s. The ML method that deserves more attention is the Random Forest, which dominated all other models in several cases. We tried to give an economic justification for the errors by looking at importance measures and variable selection of some models. The good performance of the Random Walk suggests a nonlinearity between past employment measures and inflation.

09:30
Pedro Henrique Engel (FGV/EPGE, Brazil)
Joao Paulo Valente (FGV/EPGE, Brazil)
Caio Almeida (FGV/EPGE, Brazil)
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries

ABSTRACT. We analyze a panel data composed by Emerging Markets (EM) and Advanced Economies (AE) and show that a reasonable level of model misspecification helps to explain the equity premium present in these markets. As expected, we also show that fear for model misspecification is higher for EM than it is for AE in general, when considered the same time span. The degree of heterogeneity between the countries' estimates is smaller than when considering CRRA preference. We also compute the cost of uncertainty and risk alone for these economies in terms of present consumption.

10:00
Marcio Laurini (FEA-RP/USP, Brazil)
A continuous spatio-temporal approach to estimate climate change

ABSTRACT. We introduce a method for decomposition of trend, cycle and seasonal components in spatio-temporal models and apply it to investigate the existence of climate changes in temperature and rainfall series. The method incorporates critical features in the analysis of climatic problems - the importance of spatial heterogeneity, information from a large number of weather stations, and the presence of missing data. The spatial component is based on continuous projections of spatial covariance functions, allowing modeling the complex patterns of dependence observed in climatic data. We apply this method to study climate changes in the Northeast region of Brazil, characterized by a great wealth of climates and large amplitudes of temperatures and rainfall. The results show the presence of a tendency for temperature increases, indicating changes in the climatic patterns in this region.

08:30-10:15 Session 17D: Minicurso SBE - Aula 2
Location: Água Marinha
08:30
Amanda Arabage (FGV/EESP Clear, Brazil)
Juliana Camargo (FGV/EESP Clear, Brazil)
Introdução à Avaliação Quantitativa de Impacto

ABSTRACT. O minicurso "Introdução à Avaliação Quantitativa de Impacto" tem como objetivo apresentar as finalidades dessa abordagem de avaliação e introduzir os principais conceitos relacionados, como causalidade, contrafactual e definições de grupos de tratamento e controle. Serão abordados o método experimental e os principais métodos não-experimentais, destacando a aplicabilidade, vantagens e limitações de cada um.

10:30-12:15 Session 18A: Theory III
Chair:
Rodrigo Moita (Insper, Brazil)
Location: Mezanino Bossa Nova
10:30
Optimal procurement with sequential cost information

ABSTRACT. This paper studies optimal procurement policies under dynamic adverse selection. We present a model set up in Laffont and Tirole's (1986) canonical procurement environment, with two periods. In the first period, when the contract is signed, the contractor (agent) has prior uncertainty about his efficiency parameter. In the second period, the agent learns his efficiency and chooses effort. The optimal mechanism allows the procuring agency (principal) to sequentially screen the agent's types so as to achieve lower total procurement costs compared to the static mechanism. The contract is implemented by a sequence of transfers, consisting of a fixed advance payment based on an endogenous cost estimate, and an ex-post compensation linear in cost performance.

11:00
Carlos Eugênio Da Costa (FGV/EPGE, Brazil)
Humberto Moreira (FGV/EPGE, Brazil)
Felipe Lobel (FGV/EPGE, Brazil)
Cassiano Alves (Northwestern University, United States)
Optimal Non-Linear Joint Income Taxation
SPEAKER: Felipe Lobel

ABSTRACT. We derive the optimal taxation of household earnings. By restricting the tax schedules to depend only on household income and the number of earners we are able to allow for general preferences and choice sets, to different degrees of associative mating, to heterogeneity in bargaining power of spouses and to participation decisions by spouses. In all our exercises it is each persons' utility not household welfare that the planner takes into account. Such approach potentially leads to dissonance, which consequence for optimal taxation are apparent in our formulae.

11:30
Jefferson Bertolai (FEA-RP/USP, Brazil)
Ricardo Cavalcanti (FGV/EPGE, Brazil)
Paulo Klinger Monteiro (FGV/EPGE, Brazil)
Bank runs with many small banks and mutual guarantees at the terminal stage

ABSTRACT. In this paper, we study the consequences of financial integration with many small banks that can provide insurance against excessive withdrawals of deposits. We ask the old question of what happens when weak economies need not rescue their own banks, from the perspective of the theory of financial fragility of Diamond and Dybvig (1983), with special attention to sequential-service constraints. Surprisingly, although guarantees at the terminal stage are used as an optimal contract, they also increase the provision of liquidity in such a way that even the disclosure device proposed by Green and Lin (2003) cannot remove bank-run equilibria.

12:00
Rodrigo Moita (Insper, Brazil)
Daniel Monte (FGV/EESP, Brazil)
SPEAKER: Rodrigo Moita

ABSTRACT. Hydroelectric generation is the main source of energy production in many countries. When firms operate in the same river, or in cascades, the output of an upstream firm is the input of its downstream rival. We build a dynamic stochastic duopoly model of competition in cascades and show that the decentralized market is efficient at the critical times when rain is infrequent, but inefficient when rain is more frequent. Market power is an issue when peak prices are sufficiently higher than off-peak prices: Upstream firms delay production in off-peak times, limiting their rival downstream generators' production in peak times.

10:30-12:15 Session 18B: Environment
Chair:
Claudio Lucinda (FEA-RP/USP, Brazil)
10:30
Arthur Braganca (PUC-Rio, Brazil)
The Effects of Crop-to-Beef Relative Prices on Deforestation: Evidence from the Tapajós Basin

ABSTRACT. This paper examines the impact of changes in agricultural land use on deforestation at the local level in the Tapajós Basin in the Brazilian Amazon. It uses exogenous variation in crop-to-beef relative prices to investigate the effects of pasture-to-cropland conversion on deforestation. The findings indicate that increases in crop-to-beef relative prices increase the rate of pasture-to-cropland conversion and reduce the rate of deforestation. The magnitude of the effects implies that land conversion reduced deforestation at the local level in 5,300 square kilometers from 2002 to 2012. This reduction is the equivalent of almost 15% of the total deforestation observed in the region during this period. These results are consistent with a land use model in which cattle ranching and crop cultivation have different input-intensities and there is imperfect mobility of productive factors between municipalities. This model highlights that changes in relative prices affect deforestation through its effect on input prices.

11:15
Claudio Lucinda (FEA-RP/USP, Brazil)
The Environmental Effects of a Gas Prices Holiday

ABSTRACT. Gas tax holidays have become more popular with US lawmakers and presidential candidates, especially in years of increasing gas prices. This paper uses the Brazilian experience to investigate the environmental effects of artificially repressing gasoline prices below international levels, in the period between 2008 and 2013. To compute these environmental effects, it is posed a Random Coefficient Nested Logit to estimate a demand model for new cars in Brazil. From the estimated parameters, a counterfactual scenario in which domestic gasoline prices were aligned with international ones is simulated. The demand model results point to substantial undervaluation of fuel costs, and an important role for the energy paradox'', for the median attention parameter $\gamma$ is about 0.2. That is, only 20\% of the present value of an additional BRL in fuel economy is reflected in new car prices. The counterfactuals indicate the reduction in the fuel price gap and the elimination of the Gas Price Tax Holiday'' would imply some realignment towards lower engine displacement models. Additionally, an amount between 89.7 and 130 thousand CO2 tons were emitted in this period due to the artificially low gasoline prices during this period.

10:30-12:15 Session 18C: Corporate
Chair:
Ricardo Schechtman (BCB, Brazil)
Location: Topázio
10:30
Aloisio Araujo (IMPA e FGV/EPGE, Brazil)
Rafael Ferreira (FEA/USP, Brazil)
Flavio Moraes (FGV/EPGE, Brazil)
Gustavo Araujo (BCB, Brazil)
Liquidation Values and DIP Financing: Evidence from Corporate Reorganizations in Brazil

ABSTRACT. This paper exploit exogenous variations in the liquidation value of firmsto assess whether the expected outcomes in bankruptcy liquidation pro-cedures affect reorganization outcomes and credit decisions of creditors ofdifferent priorities. We find evidence that firms with lower expected liqui-dation values are less likely to have the reorganization procedure convertedinto liquidation. This effect seems to be stronger for firms that have themajority of debt composed by secured credit.

11:00
Ruy Ribeiro (PUC-Rio, Brazil)
Leandro Gomes (Gávea Investimentos, Brazil)
Term Structure(s) of Equity Risk Premium
SPEAKER: Ruy Ribeiro

ABSTRACT. Using dividend and variance swap data simultaneously, we provide a series of novel facts on the term structure of equity risk premium. Moreover, we are also able to show how the term structure changes over time and how its shape is determined. We do so by identifying its connection to another dimension of the term structure related to investment horizon or holding period. Doing so, we also uncover new information on the level and variation of the term structure of the (physical) expectation of dividend growth. Among many facts, we show that: risk premium is always increasing and concave on maturity; risk premium is on average increasing and concave on investment horizon; most of the risk premium for any maturity depends mostly on short-horizon risk premium; dividends are highly predictable once we account for time variation in the horizon term structure; and liquidity explains the high returns of dividend contracts and the term structure puzzle. Using both dimensions jointly highlights additional challenges to asset pricing models, but, unlike previous literature, we show that all these facts are consistent, for instance, with a long-run risk model with jump risks.

11:30
Ricardo Schechtman (BCB, Brazil)
Tony Takeda (BCB, Brazil)
Capital (and earnings) incentives for loan loss provisions in Brazil: evidence from a crisis-buffering regulatory intervention

ABSTRACT. In order to provide higher incentives for loan loss provisions (LLP) of Brazilian banks when bad times were looming ahead, the discretionary excess in loan loss reserves was recognized temporarily as regulatory capital, in a sort of countercyclical policy. This study explores this regulatory change to investigate the capital management incentives of LLP of Brazilian banks. Results show that banks with less regulatory capital increased relatively more discretionary LLP during the regulatory change but not outside it, suggesting that capital management through discretionary LLP was relevant only during that period. On the other hand, banks with less earnings make less discretionary LLP throughout the sample period, suggesting earnings smoothing was relevant during the whole period. Results are robust to different realized and forward loan loss controls, different measures of capital before endogenous items, to time varying capital targets and to the recognition of possible varying effects of the global financial crisis across Brazilian banks.

10:30-12:15 Session 18D: Development Economics
Chair:
Luciene Pereira (FGV/EPGE, Brazil)
Location: Ametista
10:30
Andrés Maggi (Princeton University, United States)
The Impact of Productivity Growth in China on the Brazilian Economy
SPEAKER: Andrés Maggi

ABSTRACT. We study the impact of China’s productivity growth on the Brazilian economy. Brazil provides a particularly interesting case as it faced an increase in import competition in manufactures as well as a boost in export demand for commodities. We use a quantitative spatial general equilibrium model that features economies with multiple regions and sectors, labor mobility within countries, input-output linkages, and interregional and international trade. We find that welfare in Brazil increased 0.03% due to the change in comparative advantage, and that the predictions of the model for the reallocation of economic activity across regions and sectors are strongly correlated with the observed reallocations. We use our calibrated model to assess how the welfare effect would have changed if the government had invested in transportation infrastructure to take advantage of the new export opportunities. The model suggests that a transportation infrastructure program similar to the government’s plan for the next decades would have increased the welfare gain by 13%.

11:00
Alvaro Cox (PUC-Rio, Brazil)
State Capacity and Productive Development: The Peruvian Case
SPEAKER: Alvaro Cox

ABSTRACT. In this paper we expand previous studies on how state capacity affects the economy by explicitly modeling the interaction between firms and state capacity. We model state capacity on a network framework where the provision of public goods and services boost productive decisions of entrepreneurs located in each municipality. This static model explicitly model the interaction between productive agents and state in a network framework of municipalities. Applied to the Peruvian case, by estimation of the reduced form model, we obtain a large and positive effect of state capacity on several indicators of productive development on the firm level like the number of formal firms, percentage of non-microfirms, median lifecycle of the firm and the median size of the firms.

11:30
Pedro Cavalcanti Ferreira (FGV/EPGE, Brazil)
Alex Monge-Naranjo (FED St Louis, United States)
Luciene Pereira (FGV/EPGE, Brazil)
Of Cities and Slums - Job Market Paper

ABSTRACT. The emergence of slums is a common feature in a country's path towards urbanization, structural transformation and development. Based on salient micro and macro evidence of Brazilian labor, housing and education markets, we construct a simple model to examine the conditions for slums to emerge. We then use the model to examine whether slums are barriers or stepping stones for lower skilled households and for the development of the country as a whole. We calibrate our model to explore the dynamic interaction between skill formation, income inequality and structural transformation with the rise (and potential fall) of slums in Brazil. We then conduct policy counterfactuals. For instance, we find that cracking down on slums could slow down the acquisition of human capital, the growth of cities (outside slums) and non-agricultural employment. The impact of reducing housing barriers to entry into cities and of different forms of school integration between the city and the slums is also explored.

10:30-12:15 Session 18E: Applied Microeconomics
Chair:
Ciro Biderman (FGV/EESP, Brazil)
Location: Água Marinha
10:30
Valdemar Pinho Neto (FGV/EPGE, Brazil)
Christiane Szerman (Princeton University, Brazil)
Youth Responses to Cash Transfers: Evidence from Brazil

ABSTRACT. Identifying successful interventions for disadvantaged youth has recently proven challenging. This paper examines the effectiveness of cash assistance targeted to this group. We exploit an exogenous variation in the provision of cash transfers in Brazil to credibly identify how an additional year of exposure at the critical age of 18 impacts on educational, labor market, and economic self-sufficiency outcomes. We use individual-level administrative data of the largest conditional cash transfer program in the world and link them to educational and formal labor market records. We do not find any evidence of significant effects of additional exposure to the program on educational attainment or an increase in economic self-sufficiency. We alternatively find evidence of behavioral responses in formal labor supply. We find a 2.1-4.4 percentage points decrease in the probability of work in the formal sector. However, this negative effect tends to fade away over time. Overall, our findings support the skepticism about the effectiveness of interventions for disadvantaged youth.

11:15
Ciro Biderman (FGV/EESP, Brazil)
Martha Hiromoto (FGV/EAESP, Brazil)
Frederico Ramos (FGV/EAESP, Brazil)
Social Housing and Sprawl: The Minha Casa Minha Vida Case
SPEAKER: Ciro Biderman

ABSTRACT. The Brazilian Housing Subsidy Program “Programa Minha Casa Minha Vida” (PMCMV) was created in 2009 and has been the largest housing program ever implemented in Brazil. It has expand around US\$100 billion building 4,4 million housing units (HU) from 2009 up to 2016. This is the same amount built from 1964 to 1986 by the previous housing subsidy program (SFH). We claim in this paper that there is a bad political equilibrium in this public policy. The incentives for all participants are to maximize the quantity of housing instead of the quality. Consequently, they might be located in the outskirts with few public services where land is cheaper. This might impose a cost to the whole city since (potentially) there will be more congestion and less open space. Also, social housing in the periphery is usually over dense implying in welfare loss. In this paper we estimate if the PMCMV induce more sprawl even leapfrogging the settlements or reducing the demand for land inside the urban footprint. We conclude that PMCMV settlements have not leapfrogged more than other settlements but it has indeed reduced the demand for infill in the municipalities where the investment was higher. The conclusion is that the program is loosing opportunities inside the urban footprint partially because of its institutional characteristic.