Research

Publications 

·  Abrupt Monetary Policy Change and Unanchoring of Inflation Expectations with Carlos Carvalho, Stefano Eusepi, Marina Perrupato, Daniel Adib, João Ayres and  Sílvia Matos, November 2023 (pdf), forthcoming at the Journal of Monetary Economics.

· Multi-Product Pricing: Theory and Evidence from Large Retailers, with Carlos Carvalho, Oleksiy Kryvtsov, Sigal Ribon, and Rodolfo Rigato, The Economic Journal, Volume 133, Issue 651, April 2023, Pages 905–927 (paper).

.Persistent Monetary Non-neutrality in an Estimated Model with Menu Costs and Partially Costly Information, 

with Carlos Carvalho, Rene Garcia , Vivian Malta, and Rodolfo Rigato, (paper). AEJ: Macroeconomics, Volume 15, no. 2, April 2023, pp. 466-505. 

.The after crisis government-driven credit expansion in Brazil: A firm level analysis, 

with Ricardo Brito and Bruno Martins. The Journal of International Money and Finance 55, pp; 11-34, 2015. (pdf)

· The Long and the Short of the Risk-Return Trade-off 

with Rene Garcia, Nour Meddahi and Roméo Tédongap. The Journal of Econometrics 187, pp. 580-592. 2015(pdf)  

· Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices

with Rene Garcia, Nour Meddahi and Roméo Tédongap. Review of Financial Studies vol. 24, no. 1, pp. 82-122, 2011. (pdf)

· Imperfectly Credible Disinflation under Endogenous Time-Dependent Pricing

with Carlos Carvalho.  Journal of Money, Credit and Banking, vol. 42, no. 5, pp. 799-831, 2010. (pdf) 

· Electoral Cycles through Lobbying

with Cristina Terra. Economics and Politics, vol. 22, no. 3, pp. 446-470, 2010. (pdf)

· Elections and Exchange Rate Policy Cycles

with Cristina Terra. Economics and Politics, vol. 17, no. 2, pp. 151-176, 2005. (pdf) 

· Endogenous Time-Dependent Rules and Inflation Inertia

with Carlos Carvalho. Journal of Money, Credit and Banking, vol. 36, no. 6, pp. 1015-1041, 2004. (pdf)

· Debt Composition and Exchange Rate Balance Sheet Effect in Brazil: A Firm Level Analysis

with Betina Martins and Rodrigo Pinto. Emerging Markets Review, vol.4, pp.368-396, 2003. (pdf)

·  Optimal State-Dependent Rules, Credibility, and Inflation Inertia

with Heitor Almeida. Journal of Monetary Economics, vol. 49, pp. 1317-1336, 2002

· The Macroeconomic Effects of Infrequent Information with Adjustment Costs

with René Garcia. Canadian Journal of Economics, vol. 34, pp. 18-35, 2001

· Tests of Conditional Asset Pricing Models in the Brazilian Stock Market

with René Garcia. Journal of International Money and Finance, vol. 20, pp. 71-90, 2001

· Consumption and Equilibrium Asset Pricing: An Empirical Assessment

with René Garcia. Journal of Empirical Finance, vol. 3, pp. 239-265, 1996

· Can a Well-Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?

with René Garcia. Journal of Applied Econometrics, vol. 9, pp. 19-29, 1994

·  Indexation, Staggering and Disinflation

with René Garcia. Journal of Development Economics, vol. 43, pp. 39-58, 1994

·  Search and Inflation: A Survey of the Recent Literature

Estudios de Economia, vol. 20, pp. 385-397, 1993

  Working Papers



 · Short-Selling Restrictions and Returns: a Natural Experiment with Fernando Barbosa, João M. P. De Mello and Lira Mota, October 2019, revised version (paper). 

· The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what can we learn from firm-level data? with Bruno Martins, 2018, (old version pdf)


Work in Progress

. Fiscal Shocks or Fiscal News? Evidence from High Frequency Fiscal Expectations

with Miguel Bandeira, Carlos Carvalho and Marcos Mendes. 

· Price Setting when Expectations are Unanchored, 

with Daniel Adib, João Ayres, Carlos Carvalho, Stefano Eusepi, Sílvia Matos and Marina Perrupato (slides)

. Fiscal Unanchoring

with Miguel Bandeira, Carlos Carvalho and Fernanda Nechio. 

.Labor Market Effects of a Credit Crunch, 

with Cecília Machado, Bruno Martins and Bernardo Ricca.

.Timing Matters: Exploring the Relationship Between Cash Transfer Disbursement and the Financial Health of Impoverished Households

with Filipe Correa and Felipe Tomkowski

.Debt Accumulation of CCT Beneficiary Households

with Felipe Tomkowski and Lucas Teixeira

·  Loan Fee Dispersion and the Cross-Section of Returns

    with Fernando Barbosa and Lira Mota (slides)

· Price Setting in a Variable Macroeconomic Environment: Evidence from Brazilian CPI

    with João Ayres, Rebecca Barros, Carlos Carvalho and Silvia Matos.

· Effects of sharing positive information on the credit market.

with Claudia Bruschi and Ricardo Schechetman

.From Poor to Rich: Assessing the Wealth Redistribution through Trading in the Stock and Derivatives Market 

with Guilherme Paiva and Ruy Ribeiro.

.Does Loan Portability Promote Bank Competition?

with Tiago Cavalcanti, Fernando Chertman and Amanda Fantinatti

.Consumer Loans, Heterogeneous Interest Rates and Inequality

with Tiago Cavalcanti, Fernando Chertman, Amanda Fantinatti, Andrew Hannon Cezar Santos

Older Working Papers

· Time- and State-Dependent Pricing: A Unified Framework , with Carlos Carvalho, Rene Garcia, September 2011 (earlier version: State-Dependent Pricing under Infrequent Information: A Unified Framework,FRBNY Staff Reports #455)

·  Estimating Strategic Complementarity in a State-Dependent Pricing Model,  with Arnildo Correa and Marcelo Medeiros, 2018  (old version pdf)

· Deindustralization and Economic Diversification, with Tiago Berriel and  Carlos Carvalho., February 2014 (pdf)

·  Debt Composition and Balance Sheet Effects of Exchange and Interest Rate Volatility

 with Betina Martins and Rodrigo Pinto, October 2003. (pdf)          

Publications in Brazilian Journals

· Retornos Anormais e Estratégias Contrárias

with Ivana Dall'Agnol. Revista Brasileira de Finanças, vol. 1, no. 2, pp. 165-215, 2003

·Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias

with Vinícius Carrasco and Humberto Moreira. Revista Brasileira de Economia, vol. 57, no. 4, pp. 663-681, 2003

·  Regras Monetárias e Dinâmica Macroeconômica no Brasil: Uma Abordagem de Expectativas Racionais

with Ricardo Brito. Revista Brasileira de Economia, vol. 56, pp. 551-589, 2002.

· A Aleatoriedade do Passeio na Bovespa: Testando a Eficiência do Mercado Acionário Brasileiro

with Cristiano Fernandes and Ricardo Torres. Revista Brasileira de Economia, vol. 56, pp. 199-247, 2002.

· Arbitrage Pricing Theory e Variáveis Macroeconômicas: Um Estudo sobre o Mercado Acionário Brasileiro

with Adriana Schor and Pedro Valls Pereira. Revista de Economia e Administração, vol. 1, pp. 38-63, 2002

· Are One-Sided S,s Rules Useful Proxies for Optimal Pricing Rules?

Brazilian Review of Econometrics, vol. 20, pp. 55-87, 2000

· The Political Economy of Exchange Rate Policy in Brazil: An Empirical Assessment

with Maria Cristina Terra. Revista Brasileira de Economia, vol. 53, pp. 411-432, 1999

· Busca e Inflação

Revista de Economia Política, vol. 13, no. 51, pp. 122-129, 1993

· Taxa de Juros e Depósitos em Moeda Estrangeira: um Comentário

            with Ricardo Cicchelli Veloso. Revista Brasileira de Economia, vol. 40, pp. 177-183, 1986

        

     Book (in Portuguese)

Finanças Aplicadas ao Brasil (org.) FGV, Rio de Janeiro, 2002

      

        Book Chapters

  · Crédito Direcionado e seus Efeitos sobre a Transmissão da Política Monetária, com Bruno Martins, Bruno Perdigão e Carlos Viana de Carvalho, in Marcos Mendes (org.) Para não esquecer: Políticas públicas que empobrecem o Brasil, 2022.

  · Informação, Nível de Inflação e Dinâmica Inflacionária , in De Belíndia ao Real: Ensaios em Homenagem a Edmar Bacha, Civilização Brasileira 2018. (pdf).

  · Crédito Direcionado e o Financiamento do Desenvolvimento, with Ricardo Brito and Sérgio Lazzarini, in Desafios da Nação, IPEA, 2018.

  · Disfunções do Mercado de Crédito Brasileiro, com Bruno Martins,

            in Dodl A. and R. Troster (orgs), Sistema Financeiro Brasileiro: O Que Fazer?, Elsevier, 2017. 

 · Diversificação da Economia e Desindustrialização, with Tiago Berriel and Carlos Carvalho, 

             in Bacha E. and M. de Bole (orgs.), O Futuro da Indústria no Brasil - Desindustrialização em Debate, Civilização Brasileira, 2013.

· Estimando e Testando o CAPM Condicional com Efeitos ARCH para o Mercado Acionário Brasileiro

with René Garcia. Finanças Aplicadas ao Brasil, 2002

· APT e Variáveis Macroeconômicas: um Estudo Empírico Sobre o Mercado Acionário Brasileiro

with Adriana Schor and Pedro Valls Pereira. Finanças Aplicadas ao Brasil, 2002

· Os Puzzles Invertidos no Mercado Brasileiro de Ativos"

with Gabriela Bertol Domingues. Finanças Aplicadas ao Brasil, 2002

· A Aleatoriedade do Passeio na Bovespa: Testando a Eficiência do Mercado Acionário Brasileiro

with Ricardo De Almeida Torres, Cristiano Fernandes. Finanças Aplicadas ao Brasil, 2002

· The Dilemma of Inflation vs. Balance of Payments: Crawling Pegs in Brazil, 1964-98

with Cristina Terra, in Jeffry Frieden and Ernesto Stein (orgs.) The Currency Game - Exchange Rate Politics in Latin America, 2001 

· Busca e Inflação 

in Rosa Fontes (org.) Inflação Brasileira, 1993        

        

 Published Comments and Reviews

· Comments on "Liquidity Insurance in Financially Dollarized Economy" by Eduardo Levy Yeyati

in Sebastian Edwards and Marcio Garcia (org.) "Financial Markets Volatility and Performance in Emerging Markets”, NBER, 2008.

· Comments on "Trade Liberalization, Macroeconomic Fluctuations and Contingent Protection in Latin America" , by Pablo Sanguinetti and Eduardo Bianchi

Economia, vol 6, no. 2: 180-182, 2006.  

· Review of the Book "Indexation, Inflation, and Monetary Policy", edited by Fernando Lefort and Klaus Schmidt-Hebbel

        Journal of Economic Literature, vol. XLI, pp. 913-914, 2003

          Media Coverage of Recent Reseach

   · Nova taxa do BNDES pode reduzir dívida em R$ 100 bilhões, Folha de São Paulo, 14/08/2017, main headline in the front page, about study made by Luis Bento, Paulo Ribeiro and I calculating the present value of  subsidies in BNDES Loans.

· BNDES é o principal alvo do governo para redução de subsídios, Folha de São Paulo, 6/08/2017, mention my name associated with results from the paper “The after-crisis government-driven credit expansion in Brazil: A firm level analysis.”

          · Crédito direcionado tira força de alta de juros, diz estudo, Valor Econômico, 21/03/2016, newspaper article about the paper “The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what  can we learn from firm-level data?”

           · Alta da Selic tem efeito maior sobre pequenas empresas, mostra estudo, Folha de São Paulo, 03/21/2016, newspaper article about the paper “The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what can we learn from firm-level data?”

            · Crédito Direcionado Afeta a Política Monetária, op. Ed., O Estado de São Paulo, 03/25/2016, mentioning the paper “The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what can we learn from firm-level data?”

                  · Subsídio do BNDES impulsionou setor de energia eólica e aérea Azul, Folha de São Paulo, 03/01/2016, mention the paper “The after-crisis government-driven credit expansion in Brazil: A firm level analysis.”

                  · Broken lever, The Economist, 10/31/2015, quotes me mentioning the conclusion of my research that subsidized credit hamper the transmission of monetary policy in Brazil.

                  · Pedaladas do governo Dilma bancaram grandes empresas e produtores rurais, Folha de São Paulo, 26/10/2015, mention the paper “The after-crisis government-driven credit expansion in Brazil: A firm level analysis.”

                  · Crédito público não impulsiona retorno social, Veja,  01/25/2015, article about the paper “The after-crisis government-driven credit expansion in Brazil: A firm level analysis.”

            · Crédito oficial beneficia mais as grandes e antigas empresas, Valor Econômico, 01/07/2015, article about the paper “The after-crisis government-driven credit expansion in Brazil: A firm level analysis.”