Surfing the Black Wave: Assessing Oil Prices and Macroeconomic Tail Risk (pdf version)

Abstract: I characterize the effect of oil price fluctuations in the full conditional distribution of economic growth using the quantile regression framework. I propose a model that includes oil price fluctuations, financial information, and current economic output, I show that this model can forecast the lowest quantiles of future GDP growth (growth-at-risk) more accurately by 23%. In addition, I find that oil price fluctuations can increase the left-tail area in the conditional GDP growth distribution for specific periods, meaning that there is an augmented recession probability that can be explained by oil price information. 

E-Commerce Thresholds and Market Outcomes 

Following a Supreme Court decision in 2018, states rapidly adopted economic nexus policies amid rising e-commerce activity. Economic nexus rules require remote sellers to collect sales tax once they exceed certain sales or transaction thresholds in a state. I examine the consequences of these state-specific economic nexus thresholds using two-way fixed effects models to analyze impacts on business formation, employment, and tax collections.

House Speeches and Government Expenditure

Following Brazil's re-democratization in 1984 and inflation control in the early 1990s, government budget control became a primary legislative responsibility. However, Brazil has experienced rising indebtedness in recent decades. I conduct textual analysis of Brazilian House representative speeches over the past 30 years to investigate whether contractionary and fiscal control terms have become less frequent in congressional discourse, and evaluate the relationship between changing speech patterns and actual fiscal policy outcomes.

Trade Openness and Non-Linearities in Brazilian Monetary Policy  - São Paulo University Periodic Journal (2023) - (link here)

(with Elano Arruda and Roberto Tatiwa)

Abstract: We investigate the existence of asymmetries in monetary policy in Brazil, considering distinct levels of trade openness. Using monthly data between 2003 and 2020, we estimate a non-linear Taylor rule with threshold effect and endogenous regressors. The results show that in the higher trade openness regime, the response to deviations of inflation expectations from its target is statistically null. In addition, there is a smoothing process in the conduct of Brazilian monetary policy and a response to the output gap in both regimes, with a greater response in the lower openness trade regime.