Research

Published Papers

In English

Flexible Markov-Switching Models With Evolving Regime-Specific Parameters: An Application To Brazilian Business Cycles (with Lívia Melo and Fábio Gomes, 2024 - AE)

[Text] - [WP version] - [Online Appendix] - [Matlab Codes]

A Panel Threshold VAR With Stochastic Volatility-In-Mean Model: An Application To The Effects Of Financial And Uncertainty Shocks In Emerging Economies (2023 - AE).

[Text], [WP Version], [Matlab Codes]

Geopolitical Risk Shocks and the Brazilian Economy (with Fernando Barros Jr. and Fábio Gomes, 2023 - AEL).

[Text], [Online Appendix], [Matlab Codes]

Government Spending Multipliers in Good Times and Bad Times: The Case of Emerging Markets (with Fabio Gomes and Sergio Sakurai, 2022, MD).

[Text], [Matlab Codes]

The Role of Credit and Housing Shocks in Emerging Economies (with Fabio Gomes, 2021, AEL)

[Text], [WP version] [Online Appendix], [Matlab Codes]

Financial Conditions and the Business Cycles in Emerging Markets (2021, AEL).

[Text], [Online Appendix], [Matlab Codes]

International Drivers of Policy Uncertainty in Emerging Economies (2020, EB).

[Text], [Online Appendix], [Matlab Codes]

Convergence in income inequality: revisiting the case of Brazilian municipalities (with Fabio Gomes, 2019, EB).

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In Portuguese

Previsão do Consumo Agregado: O Papel dos Índice de Confiança do consumidor (com Patrícia Feline e Fábio Gomes, 2022, EE).

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Determinantes Robustos do Crescimento nos Estados Brasileiros: Uma Abordagem Bayesiana (com Fábio Gomes, 2021 - RBE).

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Desigualdade e Desenvolvimento: Revisitando a hipótese de Kuznets após a redução da desigualdade nos municípios brasileiros (com Fernando Barros Jr. e Fabio Gomes, 2019 - RBERU).

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Efeitos do gasto do governo sobre o consumo privado: Evidências de países desenvolvidos e em desenvolvimento (com Fabio Gomes e Sergio Sakurai, 2016, EE).

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Working Papers

In English

Financial Conditions and Endogenous Uncertainty in Emerging Markets

[Text (soon)], [Matlab Codes - empirical analysis (soon)], [Julia Codes - theoretical model (soon)]
AbstractThis paper investigates the relationship between financial conditions, macroeconomic uncertainty, and business cycles in emerging markets. For a set of 15 emerging economies, using a nonlinear VAR model that allows shocks to affect second moments, we show that macroeconomic uncertainty increases after some macroeconomic shocks under financial stress regime but not in normal times. We then show that a model for a sudden stop-prone small open economy featuring a Fisherian debt-deflation mechanism and Epstein-Zin preferences helps to rationalize the empirical findings. If the economy is in a region sufficiently close to a binding constraint, the risk of a sudden stop induces a deterioration in the forecast accuracy, endogenously increasing macroeconomic volatility. However, when the economy is sufficiently far from a binding constraint, macroeconomic volatility is mainly driven by exogenous shocks.

Selected policy functions from the theoretical model can be found here.
Here are some plots from the empirical model showing the linkage between financial stress and uncertainty in EMs.
And here are the responses of macroeconomic uncertainty to selected shocks.

Debt-Dependent Fiscal Rules in a Small Open-Economy with Endogenous Financial Crises (Under Revision)

[Text (under revision)] - [Online Appendix]
AbstractThis paper studies the macroeconomic implications of simple debt-dependent fiscal rules in emerging countries subject to endogenous financial crises due to a collateral constraint with pecuniary externality. The analysis suggests that debt rules that account for the effects of debt accumulation on asset prices can both reduce the likelihood of financial crises and improve welfare whenever a crisis is likely to happen. Fiscal consolidations based on ad-hoc debt growth targets may be counterproductive in good times and have significant negative effects on welfare during crisis episodes. The simulations suggest that, when carefully designed, fiscal rules based on debt targets improve welfare.
Figure

Uncertainty Shocks in Emerging Markets: Heavy Tails and Threshold Effects

[Text (under revision)] - [Online Appendix] - [Matlab Codes (Soon)]
AbstractThis paper presents a generalized threshold stochastic volatility-in-mean VAR model for panel data. The model allows for fat-tailed shocks that affect the second moments of the endogenous variables. To estimate the model, we use a Bayesian algorithm with an adaptive Metropolis-Within-Gibbs scheme, combined with a particle Gibbs sampler step to handle potential jumps in the stochastic volatility processes across regimes. We apply the model to investigate the nonlinear impacts of three types of uncertainty shocks on 19 emerging economies during booms and busts: financial uncertainty, macroeconomic uncertainty, and real exchange rate uncertainty shocks. Using two widely used identification strategies, we find that all three shocks harm emerging countries in both regimes. Financial and exchange rate uncertainty shocks play a relatively more important role during good times, while macroeconomic uncertainty shocks become more prominent during bad times than the other two shocks.

Fiscal Stance and Macroeconomic Volatility: Lessons From Brazil

[Text ] - [Online Appendix] - [Fortan Codes]
AbstractDoes the fiscal stance influence macroeconomic volatility in emerging markets? We address this question through the lens of a Bayesian Vector Autoregression model in which shocks to the level of the variables might also affect the variables' volatility. We examine the impact of fiscal policy shocks on macroeconomic uncertainty in Brazil, an emerging economy that has experienced several episodes of fiscal instability in recent years. Our findings reveal that an unanticipated deterioration in the government's primary fiscal balance is negatively related to industrial production, investment, and stock market performance, while being positively correlated with sovereign spreads. Notably, these shocks result in increased volatility across all examined variables, suggesting that a worsening fiscal stance leads to heightened macroeconomic uncertainty in Brazil. Our findings highlight the crucial role played by fiscal management in emerging economies.

In Portuguese

Impactos das Políticas Fiscais Federal e Estadual nas Regiões Brasileiras. (2017, Encontro Nacional de Economia - Anpec).

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Choques Fiscais e Instabilidade Financeira no Brasil: uma abordagem TVAR. (2014, Encontro Nacional de Economia - Anpec).

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Uma análise da relação de longo prazo entre o consumo privado e os gastos do governo: evidências de países desenvolvidos e em desenvolvimento (com Sergio Sakurai, 2012, Série de Textos para Discussão - Ministério da Fazenda)

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Projects / Work in Progress

In English

The heterogeneous impact of inflation uncertainty, with Leonardo Ferreira
Heterogeneous Panel VAR with stochastic volatility-in-mean, with Leonardo Ferreira
Fiscal shocks and macroeconomic uncertainty: evidence from advanced and emerging countries
The impacts of fiscal shocks on prices: A cross-country assessment, with Fabio Gomes
Debt-financed fiscal stimuli in advanced and emerging economies
The transmission of US fiscal uncertainty across countries
Financial Conditions and Uncertainty: Lessons from a large dataset.

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