Identification and estimation of interventions using changes in inequality measures

This paper presents semiparametric estimators of changes in inequality measures of a dependent variable distribution taking into account the possible changes on the distributions of covariates. When we do not impose parametric assumptions on the conditional distribution of the dependent variable given covariates, this problem becomes equivalent to estimation of distributional impacts of interventions (treatment) when selection to the program is based on observable characteristics. The distributional impacts of a treatment will be calculated as differences in inequality measures of the potential outcomes of receiving and not receiving the treatment. These differences are called here Inequality Treatment Effects (ITE). The estimation procedure involves a first non-parametric step in which the probability of receiving treatment given covariates, the propensity-score, is estimated. Using the inverse probability weighting method to estimate parameters of the marginal distribution of potential outcomes, in the second step weighted sample versions of inequality measures are computed. Root-N consistency, asymptotic normality and semiparametric efficiency are shown for the semiparametric estimators proposed. A Monte Carlo exercise is performed to investigate the behavior in finite samples of the estimator derived in the paper. We also apply our method to the evaluation of a job training program.

Time-dependent or state-dependent pricing? : evidence from a large currency devaluation episode

Duas classes de modelos buscam explicar o padrão de ajustamento de preço das firmas: modelos tempo-dependente e estado-dependente. O objetivo deste trabalho é levantar algumas evidencias empíricas de modo a distinguir os modelos, ou seja, identificar de que maneira as firmas realmente precificam. Para isso, escolheu-se a grande desvalorização cambial de 1999 como principal ferramenta e ambiente de análise. A hipótese fundamental é que o choque cambial impacta significativamente o custo de algumas indústrias, em alguns casos induzindo-as a alterarem seus preço após o choque. A partir de uma imensa base de micro dados formada por preços que compõem o CPI, algumas estimações importantes como a probabilidade e a magnitude média das trocas foram levantadas. A magnitude é dada por uma média simples, enquanto a probabilidade é estimada pelo método da máxima verossimilhança. Os resultados indicam um comportamento de precificação similar ao proposto por modelos estado-dependente.

Imperfectly credible disinflation under endogenous time-dependent pricing

The real effects of an imperfectly credible disinflation depend critically on the extent of price rigidity. Therefore, the study of how policymakers’ credibility affects the outcome of an announced disinflation should not be dissociated from the analysis of the determinants of the frequency of price adjustments. In this paper we examine how the policymaker’s credibility affects the outcome of an announced disinflation in a model with endogenous time-dependent pricing rules. Both the initial degree of price ridigity, calculated optimally, and, more notably, the changes in contract length during disinflation play an important role in the explanation of the effects of imperfect credibility. We initially evalute the costs of disinflation in a setup where credibility is exogenous, and then allow agents to update beliefs about the “type” of monetary authority that they face. We show that, in both cases, the interaction between the endogeneity of time-dependent rules and imperfect credibility increases the output costs of disinflation.

Time-dependent or state-dependent pricing? Evidence from a large devaluation episode

State-dependent and time-dependent price setting models yield distinct implications for how frequency and magnitude of price changes react to shocks. This note studies pricing behavior in Brazil following the large devaluation of the Brazilian Real in 1999 to distinguish between models. The results are consistent with state-dependent pricing

Time-dependent or state-dependent pricing? Evidence from firms’ response to inflation shocks

This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring a large discrepancy between realized and expected inflation in 2002-3, we obtain a strong relation between expected inflation and duration of price spells, but little effect of inflation shocks on the frequency of price adjustment. The results thus support models with timedependent pricing, where the timing for following changes is optimally chosen whenever firms adjust prices