Income inequality in a job-search model with heterogeneous discount factors: (revised version, forthcoming 2006, Revista Economia)

This paper investigates the income inequality generated by a jobsearch process when di§erent cohorts of homogeneous workers are allowed to have di§erent degrees of impatience. Using the fact the average wage under the invariant Markovian distribution is a decreasing function of the discount factor (Cysne (2004, 2006)), I show that the Lorenz curve and the between-cohort Gini coe¢ cient of income inequality can be easily derived in this case. An example with arbitrary measures regarding the wage o§ers and the distribution of time preferences among cohorts provides some insights into how much income inequality can be generated, and into how it varies as a function of the probability of unemployment and of the probability that the worker does not Önd a job o§er each period.

Income inequality in a job-search model with heterogeneous time preferences

This paper explores the use of an intertemporal job-search model in the investigation of within-cohort and between-cohort income inequality, the latter being generated by the heterogeneity of time preferences among cohorts of homogenous workers and the former by the cross-sectional turnover in the job market. It also offers an alternative explanation for the empirically-documented negative correlation between time preference and labor income. Under some speciÖc distributions regarding wage offers and time preferences, we show how the within-cohort and between-cohort Gini coe¢ cients of income distribution can be calculated, and how they vary as a function of the parameters of the model.

Estimating the stochastic discount factor without a utility function

Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin every asset return of the economy. Our estimator is a simple function of asset returns, does not depend on any parametric function representing preferences, is suitable for testing di§erent preference speciÖcations or investigating intertemporal substitution puzzles, and can be a basis to construct an estimator of the risk-free rate. For post-war data, our estimator is close to unity most of the time, yielding an average annual real discount rate of 2.46%. In formal testing, we cannot reject standard preference speciÖcations used in the literature and estimates of the relative risk-aversion coe¢ cient are between 1 and 2, and statistically equal to unity. Using our SDF estimator, we found little signs of the equity-premium puzzle for the U.S.

Inflation and income inequality: A link through the job-search process

In this paper I devise a new channel by means of which the (empirically documented) positive correlation between ináation and income inequality can be understood. Available empirical evidence reveals that ináation increases wage dispersion. For this reason, the higher the ináation rate, the higher turns out to be the beneÖt, for a worker, of making additional draws from the distribution of wages, before deciding whether to accept or reject a job o§er. Assuming that some workers have less access to information (wage o§ers) than others, I show that the Gini coe¢ cient of income distribution turns out to be an increasing function of the wage dispersion and, consequently, of the rate of ináation. Two examples are provided to illustrate the mechanism.

A Amazônia Brasileira

Rio de Janeiro

Income inequality: the role of impatience in a job-search process

This paper investigates the income inequality generated by a jobsearch process when di§erent cohorts of homogeneous workers are allowed to have di§erent degrees of impatience. Using the fact the average wage under the invariant Markovian distribution is a decreasing function of the time preference (Cysne (2004)), I show that the Lorenz curve and the between-cohort Gini coe¢ cient of income inequality can be easily derived in this case. An example with arbitrary measures regarding the wage o§ers and the distribution of time preferences among cohorts provides some quantitative insights into how much income inequality can be generated, and into how it varies as a function of the probability of unemployment and of the probability that the worker does not Önd a job o§er each period.

Ensaios em econometria aplicada

This thesis has three chapters. Chapter 1 explores literature about exchange rate pass-through, approaching both empirical and theoretical issues. In Chapter 2, we formulate an estate space model for the estimation of the exchange rate pass-through of the Brazilian Real against the US Dollar, using monthly data from August 1999 to August 2008. The state space approach allows us to verify some empirical aspects presented by economic literature, such as coe cients inconstancy. The estimates o ffer evidence that the pass-through had variation over the observed sample. The state space approach is also used to test whether some of the "determinants" of pass-through are related to the exchange rate pass-through variations observed. According to our estimates, the variance of the exchange rate pass-through, monetary policy and trade ow have infuence on the exchange rate pass-through. The third and last chapter proposes the construction of a coincident and leading indicator of economic activity in the United States of America. These indicators are built using a probit state space model to incorporate the deliberations of the NBER Dating Cycles Committee regarding the state of the economy in the construction of the indexes. The estimates o ffer evidence that the NBER Committee weighs the coincident series (employees in nonagricultural payrolls, industrial production, personal income less transferences and sales) di fferently way over time and between recessions. We also had evidence that the number of employees in nonagricultural payrolls is the most important coincident series used by the NBER to de fine the periods of recession in the United States.

Evaluating the existence of structural change in the brazilian term structure of interest: evidence based on cointegration models with structural break

This paper investigates whether there is evidence of structural change in the Brazilian term structure of interest rates. Multivariate cointegration techniques are used to verify this evidence. Two econometrics models are estimated. The rst one is a Vector Autoregressive Model with Error Correction Mechanism (VECM) with smooth transition in the deterministic coe¢ cients (Ripatti and Saikkonen [25]). The second one is a VECM with abrupt structural change formulated by Hansen [13]. Two datasets were analysed. The rst one contains a nominal interest rate with maturity up to three years. The second data set focuses on maturity up to one year. The rst data set focuses on a sample period from 1995 to 2010 and the second from 1998 to 2010. The frequency is monthly. The estimated models suggest the existence of structural change in the Brazilian term structure. It was possible to document the existence of multiple regimes using both techniques for both databases. The risk premium for di¤erent spreads varied considerably during the earliest period of both samples and seemed to converge to stable and lower values at the end of the sample period. Long-term risk premiums seemed to converge to inter-national standards, although the Brazilian term structure is still subject to liquidity problems for longer maturities.

16º aniversário da FGV

Aniversário da FGV em 25/12/1960. Presentes na fotografia da esquerda para direita: 1. Ney Coe de Oliveira (Orador). 2. Mauricio Pachco. 3. João da Motta Paes. 4. Luiz Simões Lopes 5. Emilio Mira y López. 6. Irene Estevão de Oliveira. 7. Rafael Xavier.

Formatura no curso do ISOP

Auditório na formatura dos cursos do ISOP. Presentes na fotografia da esquerda para a direita: 5. Luiz Simões Lopes. 6. João Carlos Vital. 7. Anísio Spínola Teixeira. 8. Manuel Bergström Lourenço Filho. 10. Emilio Mira y López. No auditório na 3ª fila Nei Coe de Oliveira

The equity premium puzzle: um estudo de viés de seleção dos ativos

As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lançado por Mehra and Prescott (1985)? É essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in uência desse viés em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hipótese, sejam preci cados de acordo com o fator estocástico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia será gerada via simulação de Monte Carlo, de forma que iremos construir um índice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rentáveis. Adota-se tal metodologia em paralelo à forma como os reais benchmarks são construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que são, comumente, as empresas historicamente mais rentáveis da economia. Em sequência, iremos realizar a estimação via GMM (Generalized Method of Moments) de um dos parâmetros de interesse de uma economia CCAPM: o coe ciente de aversão relativa ao risco (CRRA). Finalmente, os resultados obtidos são comparados e analisados quanto ao viés de estimação.