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Fiscal Multipliers in Bad Times: Does the Nature of a Recession Matter? 不景气时期的财政乘数:经济衰退的性质重要吗?
Brazilian Review of Econometrics Pub Date : 2020-08-17 DOI: 10.12660/BRE.V40N12020.75017
N. Borsoi, V. Teles
{"title":"Fiscal Multipliers in Bad Times: Does the Nature of a Recession Matter?","authors":"N. Borsoi, V. Teles","doi":"10.12660/BRE.V40N12020.75017","DOIUrl":"https://doi.org/10.12660/BRE.V40N12020.75017","url":null,"abstract":"The literature measuring the magnitude of the fiscal multiplier has a considerable consensus that the stimulative effects of fiscal instruments depends on the current state of economic activity, whether it is expanding or facing a recession. However, none of the previous works studied how the nature of an economic downturn, if the economy is facing an adverse supply/demand shock, affects the effectiveness of fiscal expansions. We introduce in a simple New Keynesian model with a rich description of fiscal policy, the assumption of imperfectly informed policymakers (fiscal and monetary) to approach the question. Our results point out the existence of disparate effects of fiscal policy depending on whether the economy is facing a demand or a supply recession. Yet, we find out that cuts in taxes are an effective tool to counter the effects of adverse shocks on economic activity and aggregate consumption.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122597683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Effects of asset frequency components on value-at-risk in emerging and developed markets 新兴市场和发达市场资产频率成分对风险价值的影响
Brazilian Review of Econometrics Pub Date : 2020-08-17 DOI: 10.12660/bre.v40n12020.77437
M. Biage, Pierre Joseph Nelcide
{"title":"Effects of asset frequency components on value-at-risk in emerging and developed markets","authors":"M. Biage, Pierre Joseph Nelcide","doi":"10.12660/bre.v40n12020.77437","DOIUrl":"https://doi.org/10.12660/bre.v40n12020.77437","url":null,"abstract":"Value-at-Risk was estimated using the technique of wavelet decomposition with goal to analyze the frequency components' impacts on variances of daily stock returns, and on  forecasts. Daily returns of twenty-one shares of the Ibovespa and daily returns of twenty-two shares of the DJIA were used. The  model was applied to the reconstructed returns to model and establish the prediction of conditional variance, applying the rolling window technique. The Value-at-Risk was then estimated, and the results showed that the DJIA shares showed more efficient market behavior than those of Ibovespa. The differences in behavior induces to affirm that VaRs, used in the analysis of financial assets from different markets with different governance premises, should be estimated by series of returns reconstructed by aggregations of components of different frequencies. A set of back-testing was applied to confront the estimated , which demonstrated that the estimation of  models are consistent.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122890811","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A note on the estimation of minimum tracking error portfolios 关于最小跟踪误差组合估计的注释
Brazilian Review of Econometrics Pub Date : 2020-08-17 DOI: 10.12660/BRE.V40N12020.79437
Paulo Ferreira Naibert, J. Caldeira, A. P. Santos
{"title":"A note on the estimation of minimum tracking error portfolios","authors":"Paulo Ferreira Naibert, J. Caldeira, A. P. Santos","doi":"10.12660/BRE.V40N12020.79437","DOIUrl":"https://doi.org/10.12660/BRE.V40N12020.79437","url":null,"abstract":"Minimum tracking error portfolios are often implemented by portfolio managers in order to track the performance of a benchmark asset in terms of risk and return. This note provides an analytical derivation of the minimum tracking error portfolios of excess returns on a benchmark by relying on the regression-based approach to portfolio weights proposed in Kempf and Memmel (2006). This approach allows estimating the weights of the minimum tracking error portfolios by means of a simple OLS regression.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"96 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115683421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Incentives in Brazilian Bolsa Família CCT Program: Adverse selection, moral hazard, improving mechanisms and simulations 巴西Bolsa Família有条件现金转移支付计划的激励机制:逆向选择、道德风险、改进机制和模拟
Brazilian Review of Econometrics Pub Date : 2020-08-17 DOI: 10.12660/bre.v40n12020.79098
M. Bugarin, Sérgio Gadelha, A. Santos, J. Duarte, João B. Amaral, J. A. Neves, Plínio Portela de Oliveira, R. Regatieri
{"title":"Incentives in Brazilian Bolsa Família CCT Program: Adverse selection, moral hazard, improving mechanisms and simulations","authors":"M. Bugarin, Sérgio Gadelha, A. Santos, J. Duarte, João B. Amaral, J. A. Neves, Plínio Portela de Oliveira, R. Regatieri","doi":"10.12660/bre.v40n12020.79098","DOIUrl":"https://doi.org/10.12660/bre.v40n12020.79098","url":null,"abstract":"The Bolsa Familia CCT Program (BFP) has successfully reduced poverty in Brazil. However, the theoretical literature on associated economic incentives is scarce. A mechanism-design analysis identifies problems of adverse selection and moral hazard in the BFP. The paper proposes simple improving incentive-mechanisms. The Citizens’ Contribution Mechanism (CCM) requires beneficiaries to devote time to the PBF encouraging recipients with higher income to leave. The Graduation Mechanism (GM) offers financial incentives to ensure sustainable emancipation of qualified beneficiaries. The Human Capital Incentive Mechanism (HCM) increases transfers to efficient municipalities. We show that the CCM solves the adverse selection problem, the GM solves the moral hazard problem of beneficiaries and the HCM solves a moral hazard problem of local managers. A simulation based on 2010 census data shows that the mechanisms allow, within 6 years, significant increases in the reach and precision of the PBF and yields cost reductions of over R$4.6 billion.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"66 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-08-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133208256","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Evidence on search costs under hyperinflation in Brazil: The effect of Plano Real 恶性通货膨胀下巴西搜索成本的证据:Plano Real的影响
Brazilian Review of Econometrics Pub Date : 2020-06-26 DOI: 10.12660/bre.v40n12020.80912
J. Araújo, Mauro Rodrigues
{"title":"Evidence on search costs under hyperinflation in Brazil: The effect of Plano Real","authors":"J. Araújo, Mauro Rodrigues","doi":"10.12660/bre.v40n12020.80912","DOIUrl":"https://doi.org/10.12660/bre.v40n12020.80912","url":null,"abstract":"Plano Real put an end to hyperinflation in 1994 and significantly altered price-setting behavior in Brazil. This paper investigates the impact of Plano Real on search frictions. We estimate a nonsequential search model for homogeneous goods to structurally retrieve consumers' search costs. The dataset comprises 11,673 store-level price quotes collected from 1993 to 1995 by FIPE to calculate the Consumer Price Index (CPI) in the city of São Paulo. The strategy consists of using Plano Real as a structural breakpoint in the data. We estimate the model splitting the data into before (Jan-93 to Jun-94) and after (Aug-94 to Dec-95) the plan, and we find evidence on first-order stochastic dominance of the search-cost distribution of the former into the latter; that is, search costs are higher during hyperinflation. The majority of consumers search only once or twice before buying an item, but this share is marginally higher during hyperinflation (84% vs 79%). In addition, after Plano Real, a larger share of consumers are willing to quote prices in all stores before committing to a purchase. We also document evidence of the effect of the plan on shrinking price-cost margins. When searching is less costly, stores lose market power.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"24 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117158362","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Existence and Non-Triviality of Equilibria in Economies with Default and Government 违约与政府经济均衡的存在性与非平凡性
Brazilian Review of Econometrics Pub Date : 2020-03-25 DOI: 10.12660/bre.v39n22019.78570
J. Orrillo, Jolive de Santana Filho Filho
{"title":"Existence and Non-Triviality of Equilibria in Economies with Default and Government","authors":"J. Orrillo, Jolive de Santana Filho Filho","doi":"10.12660/bre.v39n22019.78570","DOIUrl":"https://doi.org/10.12660/bre.v39n22019.78570","url":null,"abstract":"This paper attempts  to accommodate the government into  Dubey, Geanakoplos and Shubik (2005) framework  in an explicit way, and proves that a non-trivial equilibrium  exists. By non-trivial equilibrium, we mean an equilibrium where there exists trading in the financial markets and some private borrower defaults. The government,  characterised by its spending and tax  plansfootnote{Both are assumed to be exogenous like in Gale (1990).},  enters our economic model  by trading financial assets  in order to balance  its budget. Proof of existence  is made by considering a generalised  game `a la Debreu (1952)footnote{Already well  known  in the GEI literature.}, and its  non-triviality  is obtained by using  the non-differentiable optimisation theory.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122902096","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Sanitation and Health: Empirical evidence for Brazilian Municipalities 卫生和健康:巴西市政当局的经验证据
Brazilian Review of Econometrics Pub Date : 2020-03-25 DOI: 10.12660/BRE.V39N22019.78963
Enlinson Mattos, Cristine Pinto, L. Teixeira
{"title":"Sanitation and Health: Empirical evidence for Brazilian Municipalities","authors":"Enlinson Mattos, Cristine Pinto, L. Teixeira","doi":"10.12660/BRE.V39N22019.78963","DOIUrl":"https://doi.org/10.12660/BRE.V39N22019.78963","url":null,"abstract":"Despite the fact of being the largest economy in Latin America, piped water service coverage and sewage collection is not universal in Brazil. The relationship between access to water/sanitation and health was the objective of many studies recently. The majority of the existing work focuses on the impact of access to water and sewage, not investigating the effects of water quality and treatment. Moreover, the existing literature usually focuses on infant mortality and life expectancy indicators. Although these measures are important, they may not capture all the relevant public costs associated with health and related to hospitalizations. This paper aims at filling this gap by identifying the effects of sanitation policies on children morbidity rates by certain diseases in Brazilian municipalities.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115495161","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Estimating the returns to education using a parametric control function approach: evidences for a developing country 用参数控制函数方法估计教育收益:发展中国家的证据
Brazilian Review of Econometrics Pub Date : 2020-03-25 DOI: 10.12660/bre.v39n22019.69538
A. Souza, Eduardo Zylberstajn
{"title":"Estimating the returns to education using a parametric control function approach: evidences for a developing country","authors":"A. Souza, Eduardo Zylberstajn","doi":"10.12660/bre.v39n22019.69538","DOIUrl":"https://doi.org/10.12660/bre.v39n22019.69538","url":null,"abstract":"This paper investigates the causal effect of education on earnings in Brazil by employing a new method proposed by Klein and Vella (2010) that obtains identification on the presence of conditional heteroskedasticity. In contrast to traditionally used IV methods, this approach yields unbiased estimates in the absence of instruments. Results indicate that the average return to education in Brazil was relatively stable at around 14% from 1995 to 2003, declined afterwards reaching 10.7% in 2014, but has bounced back to 11.8% after the economic crisis in 2015. The results suggest that the OLS estimations are downward biased and we interpret this as a sign of under-education premiums that are likely to occur in environments where the more talented ones are dropped from school and moved into the labor market earlier in life.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126607155","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Winners and Losers from China's Ascension in International Trade: a Structural Approach 中国国际贸易崛起中的赢家与输家:一个结构性的视角
Brazilian Review of Econometrics Pub Date : 2020-03-25 DOI: 10.12660/BRE.V39N22019.80268
Francisco J M Costa, J. Pessoa
{"title":"Winners and Losers from China's Ascension in International Trade: a Structural Approach","authors":"Francisco J M Costa, J. Pessoa","doi":"10.12660/BRE.V39N22019.80268","DOIUrl":"https://doi.org/10.12660/BRE.V39N22019.80268","url":null,"abstract":"This paper employs a unified theoretical framework to estimate the effect of changes within China on the Brazilian and World's economy. Based on the Ricardian model of trade of Costinot et al. (2012), we perform counterfactuals exercises to analyze how industries in Brazil would have performed in the absence of the Chinese ascension. We discuss two main counterfactual exercises. First, we model productivity growth in China as the main lever by which Chinese supply and demand conditions evolve and affect economies worldwide. Second, we study how changes in composition of Chinese demand (taste) affects trade flows around the world. The two counterfactual exercises together suggest that changes in China's comparative advantage hampered manufacturing sectors abroad, in particular labor -intensive Brazilian manufacture producers. We find no support for the idea of a China taste shock driving demand towards raw materials. Our model suggests that if China triggered a commodity boom in the world, or at least in Brazil, this was driven mostly by increased income in China. And any changes in China's tastes over products contributed to moderate such boom. Specifically, our model indicates that the boom of soybeans cultivation in Brazil is due to changes in Brazilian comparative advantage paired with a level increase in demand for this product within China.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130159280","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Wage gap decomposition models: A methodological contribution 工资差距分解模型:方法上的贡献
Brazilian Review of Econometrics Pub Date : 2020-03-25 DOI: 10.12660/bre.v39n22019.75416
Magno Rogerio Gomes, Solange de Cassia Inforzato de Souza, Gabriela Gomes Mantovani, Vanessa Fortunato de Paiva
{"title":"Wage gap decomposition models: A methodological contribution","authors":"Magno Rogerio Gomes, Solange de Cassia Inforzato de Souza, Gabriela Gomes Mantovani, Vanessa Fortunato de Paiva","doi":"10.12660/bre.v39n22019.75416","DOIUrl":"https://doi.org/10.12660/bre.v39n22019.75416","url":null,"abstract":"This article aims to introduce a methodological contribution to the wage decomposition, from the traditional decomposition of Oaxaca–Blinder. Specifically, we review the usual wage decomposition models and proposes a new technique that do not choose an advantage/disadvantage group in advance, a solution to the index problem, one of the most present criticisms in the decomposition salary of Oaxaca–Blinder. It is based on the analysis of the current wages of the analyzed groups, and not on the impacts of the income that the individuals should have, as usually appears in the models of decomposition. It applies the gender wage decomposition procedures in the Brazilian labor market, under the different approaches, from the microdata of the PNAD of 2015, which confirm the wage differences and discrimination between men and women. Finally, this article contributes to the decision on empirical strategies in the field of wage inequalities and, particularly, their interpretation.","PeriodicalId":332423,"journal":{"name":"Brazilian Review of Econometrics","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-03-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133289497","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
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