Brazilian Review of Econometrics

Journal Information
ISSN : 19802447
Current Publisher: Fundacao Getulio Vargas (10.12660)
Total articles ≅ 406
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Jaime Orrillo, Jolive De Santana Filho Filho
Brazilian Review of Econometrics, Volume 39, pp 327-346; doi:10.12660/bre.v39n22019.78570

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 plans\footnote{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.
André Portela Souza, Eduardo Zylberstajn
Brazilian Review of Econometrics, Volume 39, pp 217-242; doi:10.12660/bre.v39n22019.69538

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.
Marcelo Fernandes, Jose Gil Vieira Filho
Brazilian Review of Econometrics, Volume 39, pp 303-326; doi:10.12660/bre.v39n22019.79007

Abstract:
We propose a novel estimator for the amount of international risk sharing that depends exclusively on asset returns data. In particular, our estimator has a nonparametric flavor in that it makes no parametric assumption on preferences and on the stochastic process that governs the dynamics of asset returns. This is in contrast with the existing estimators in the literature that either assume a specific utility function or that asset returns follow a geometric Brownian motion (GBM). Our estimates reveal there is less risk sharing between UK and US than one would find under the GBM assumption, though much more than what consumption data might suggest. Moreover, a simple calibration analysis shows that market incompleteness alone is enough to explain the difference between the consumption-based estimate of the risk-sharing index and ours.
Joao Paulo Pessoa, Francisco J M Costa
Brazilian Review of Econometrics, Volume 39, pp 185-216; doi:10.12660/bre.v39n22019.80268

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.
Enlinson Mattos, Cristine Pinto, Lucas Iten Teixeira, Luis Meloni
Brazilian Review of Econometrics, Volume 39, pp 269-302; doi:10.12660/bre.v39n22019.78963

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Magno Rogério Gomes, Solange De Cássia Inforzato De Souza, Gabriela Gomes Mantovani, Vanessa Fortunato De Paiva
Brazilian Review of Econometrics, Volume 39, pp 243-267; doi:10.12660/bre.v39n22019.75416

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Margaret Leighton, Priscila Souza, Straub Stephane
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.78513

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Caio Almeida, Diego Brandao
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.77132

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Carlos Eduardo De Freitas, Nelson Leitão Paes
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.75504

Cezar Santos, Mariana Weiss, Guilherme Zimmermann
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.76943

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