Taxa de câmbio e poupança: um ensaio sobre o efeito Harberger-Laursen-Metzler

Este trabalho tem dois objetivos. O primeiro, que será apresentado na Seção 2, consiste numa dedução rigorosa das condições em que o efeito HLM é válido no modelo tradicional de renda-despesa, das curvas IS/LM do livro texto. O segundo objetivo, que será tratado na Seção 3, consiste na análise do efeito HLM num modelo de otimização intertemporal, de uma economia aberta que não afeta os preços dos bens e serviços que importa, mas paga um prêmio de risco nos empréstimos que obtém no mercado de capitais internacional. A Seção 4 contém um sumário com as conclusões do trabalho.

The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)

Despite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data “features.” W e use exhaustive M onte-Carlo simulations toinvestigate theimportance ofrestrictions implied by common-cyclicalfeatures for estimates and forecasts based on vectorautoregressive and errorcorrection models. First, weshowthatthe“best” empiricalmodeldevelopedwithoutcommoncycles restrictions neednotnestthe“best” modeldevelopedwiththoserestrictions, duetothe use ofinformation criteria forchoosingthe lagorderofthe twoalternative models. Second, weshowthatthecosts ofignoringcommon-cyclicalfeatures inV A R analysis may be high in terms offorecastingaccuracy and e¢ciency ofestimates ofvariance decomposition coe¢cients. A lthough these costs are more pronounced when the lag orderofV A R modelsareknown, theyarealsonon-trivialwhenitis selectedusingthe conventionaltoolsavailabletoappliedresearchers. T hird, we…ndthatifthedatahave common-cyclicalfeatures andtheresearcherwants touseaninformationcriterium to selectthelaglength, theH annan-Q uinn criterium is themostappropriate, sincethe A kaike and theSchwarz criteriahave atendency toover- and under-predictthe lag lengthrespectivelyinoursimulations.

Evidence of eligibility manipulation for conditional cash transfer programs

This paper assesses whether eligibility for conditional cash transfer programs have been manipulated, as well as the impact of this phenomenon on time allocation within households. To perform this analysis, we use data from the 2006 PNAD (Brazilian national household survey) and investigate the eligibility manipulation for the Bolsa Família (Family Stipend) program during this time period. The program assists families with a monthly per capita income of around R$120.00 (US$60.00). By applying the tests developed by McCrary (2008), we find suggestive evidence that individuals manipulate their income by voluntarily reducing their labor supply in order to become eligible to the program. Moreover, the reduction in labor supply is greater among women, especially single or divorced mothers. This evidence raises some concern about the unintended consequences related to the eligibility criteria utilized by Bolsa Família, as well as the program’s impact on individuals living in extreme poverty.