FGV EPGE - Ensaios Econômicos

A série de working papers da EPGE, conhecida como Ensaios Econômicos, é composta de artigos em fase de revisão para publicação. Os autores destes artigos buscam críticas, comentários e exposição visando o aperfeiçoamento do trabalho.

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    Reassessing the efficiency-equity trade-off: progressivity’s impact on growth
    Costa, Carlos Eugênio da; Rodrigues, Artur
    We revisit the efficiency-equity trade-off of optimal tax theory by emphasizing the consequences of increased progressivity on growth. We use an endogenous growth framework that considers both the decision to become a researcher and the effort established entrepreneurs make to improve their products. We find that the optimal level or progressivity is lower than the current one but that welfare gains are moderate – CEV ≈ 0.5%. However, if one disregards the growth impact one would prescribe a substantially higher level of progressivity at significant welfare cost – CEV ≈ −9%.
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    Social security reforms, retirement and sectoral decisions
    (Escola de Pós-Graduação em Economia da FGV) Delalibera, Bruno Ricardo; Ferreira, Pedro Cavalcanti; Parente, Rafael Machado
    In many countries, the regulations governing public and private pension systems, hiring procedures, and job contracts differ. Public sector employees tend to have longer tenures and higher wages compared to workers in the private sector. As such, social security reforms can affect both retirement decisions and sectoral choices. We study the effects of social security reforms on retirement and sectoral behavior in an economy with multiple pension systems. We develop a life-cycle model with three sectors - private formal, private informal and public - and endogenous retirement. In a model calibrated to Brazil, we quantitatively assess the long-run effects of reforms being discussed and implemented across countries. Among them, we study the unification of pension systems and increasing the minimum retirement age. We find that these reforms affect the decision to apply to a public job, the profile of savings over the life cycle, and informality. In the long run, these reforms lead to higher output and capital, reduced informality, and average welfare gains. They also drastically reduce the social security deficit.
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    A multiple contracts version of the SACRE
    (Escola de Pós-Graduação em Economia da FGV, 2023-05) Faro, Clovis de; Lachtermacher, Gerson
    Taking into consideration that the SACRE (system of increasing amortization in real terms), as originally instituted by Caixa Econômica Federal, is not financially consistent,can exact procedure, denoted as SACRE*, was proposed in de Faro and Lachtermacherc (2012). The present paper submits a multiple contract version of SACRE*. It is shown that, taking into due account the financial institution cost of capital, it is always better to implement the multiple contracts approach.
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    SAC e SACRE no regime de juros simples: duas versões financeiramente consistentes
    (Escola de Pós-Graduação em Economia da FGV, 2023-04) Lachtermacher, Gerson; Faro, Clovis de
    Introduzindo os conceitos de componentes capitalizáveis e não-capitalizáveis, Forger (2009), com fulcro no regime de juros simples, apresentou procedimentos tanto para o caso de financiamentos segundo o sistema de prestações constantes (SPC), como para o caso de financiamentos de acordo com o sistema de amortizações constantes (SAC). Posteriormente, Forger (2010), também para a eventualidade de adoção do regime de juros simples, estendeu sua análise para o caso do emprego do sistema de amortizações crescentes (SACRE). Neste ponto, é imperativo observar, a sugestão do emprego do regime de juros simples, em oposição à consagrada adoção do regime de juros compostos, deve-se à uma citação do clássico tratado de Richard Price (1771). A partir da qual Forger (2009), explicitamente, declara: “Este regime de juros compostos quebra qualquer um; é só uma questão de tempo!” Entretanto, do mesmo modo como em Nogueira (2008), que abordou o caso do SPC, e em Rovina (2009), que se referiu ao caso do SAC, somente foi considerada a hipótese de equivalência financeira ao final do prazo do financiamento. O que, como observado em De-Losso, Santos e Cavalcante Filho (2020), conflita com o que prescreve a Lei 4.380/64. Segundo a qual, a data de equivalência financeira entre o valor do financiamento,aqui denominada de data ou ponto focal, e o da sequência de prestações, deve ser a de concessão do débito. O objetivo do presente artigo é o de, contemplando as duas datas focais mais usuais, respectivamente a do início do prazo do financiamento e a do final do prazo, estender aos casos do SAC e do SACRE, a análise apresentada em de Faro e Lachtermacher (2022), para o caso do SPC.
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    Sistemas de amortização no regime de juros simples: uma metodologia geral
    (Escola de Pós-Graduação em Economia da FGV, 2022-11) Lachtermacher, Gerson; Faro, Clovis de
    No sistema Financeiro de Habitação, as modalidades de financiamento mais empregadas são a Tabela Price, o Sistemas de Amortizações Constantes e, mais recentemente, tendo sido introduzido pela Caixa Econômica Federal, o Sistema de Amortizações Crescentes (SACRE). Entretanto, por serem fundamentados no regime de juros compostos, tem sido corrente decisões judiciais determinando suas respectivas substituições segundo os ditames do regime de juros simples. Contemplando tais eventualidades, desenvolve-se uma metodologia geral que possibilita, em cada caso, a determinação numérica da correspondente evolução do plano de financiamento.
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    Consistência financeira no regime de juros simples
    (Escola de Pós-Graduação em Economia da FGV, 2023-01) Lachtermacher, Gerson; Faro, Clovis de
    Ainda nos dias de hoje, cf. Jusbrasil (2023), continua presente o controverso entendimento, com fulcro no que se caracteriza como sendo anatocismo, cobrança de juros devidos a juros, de que o regime de juros compostos, mormente no que concerne a financiamentos habitacionais, deva ser substituído por sistemas de amortização que se fundamentam no regime de juros simples. Não obstante o fato de que, em nossa opinião, o mais correto seja a manutenção do regime de juros compostos, o intuito do presente estudo é o de que, na eventualidade da ocorrência de determinação judicial que estipule a adoção do regime de juros simples, que seja devidamente levado em conta o que se entende como o princípio de consistência financeira. Pois que, de outro modo, particularmente na eventualidade de liquidação antecipada dos débitos, poderão ocorrer inconsistências quando da apuração dos saldos devedores. Assim, em sendo estipulada a adoção do regime de juros simples, propõem-se, aqui, que se faça uso do ferramental desenvolvido por Forger (2009 e 2010). O qual contempla tanto o sistema de prestações constantes, como o de amortizações constantes e o de amortizações crescentes (SACRE). Entretanto, cumpre observar, que a metodologia utilizada por Forger (2009 e 2010), considera tão somente a hipótese de que a data tomada como a de comparação, denominada de data ou ponto focal, para a determinação da equivalência financeira entre o valor do empréstimo e o da sequência de prestações, seja a do término do prazo do financiamento. O que, como salientado em De-Losso, Santos e Cavalcante Filho (2020), conflita com o prescrito no primeiro parágrafo do artigo 15-B da Lei 4.380/64: “O valor presente do fluxo futuro das prestações, compostas de amortização e juros [...] deve ser calculado com a utilização da taxa de juros pactuada no contrato, não podendo resultar em valor diferente ao do empréstimo ou financiamento concedido”. Sendo que, explicitamente, tanto para o caso do sistema de prestações constantes, como em Nogueira (2013), como no do sistema de amortizações constantes, como em Rovina (2009), também só é considerada a hipótese de data focal no final do prazo do financiamento. Nosso propósito, contemplando tanto o caso de data focal no início como o de data focal no final do prazo, será o de estender a metodologia proposta por Forger (2009 e 2010), de modo a satisfazer o que, segundo de Faro (2014), caracteriza o conceito de consistência financeira.
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    Network and general equilibrium effects of carbon taxes and deforestation
    (Escola de Pós-Graduação em Economia da FGV, 2023-01) Fernandes, Bernardo de Barros; Ferreira, Pedro Cavalcanti
    We develop a multi-sector general equilibrium model, with intersectorial input–output linkages and CO2 emissions, to investigate the economic impacts of the implementation of a carbon taxation policy in an economy permeated by preexisting distorting taxes. The model is calibrated to Brazil and the carbon price is set so that the economy meets its annual global greenhouse gases emissions pledge for 2030 based on the Paris Agreement. In the presence of production networks, the initially concentrated tax shocks propagate throughout the economy, provoking widespread relative input price variations. Depending on the deforestation scenario, GDP losses range between 5.71% and 0.25%, the latter corresponding to the record low deforestation levels of 2012. Sectors are heterogeneously affected. As expected, those sectors more reliant on taxed pollutant resources (e.g., Energy and Transport) suffer sizable decreases in production. But a significant part of the impacts on sectorial production comes indirectly through network effects, even in the absence of new taxes levied on the sector’s product or its direct inputs. When Agriculture & Livestock are also taxed, GDP losses are considerably smaller.
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    Tax Reforms and Network Effects
    (Escola de Pós-Graduação em Economia da FGV, 2023-01) Delalibera, Bruno Ricardo; Ferreira, Pedro Cavalcanti; Gomes, Diego Braz Pereira; Soares, Johann Rodrigues de Souza
    This paper investigates the effects of a tax reform that eliminates tax rate heterogeneity and cumulative taxation using a general equilibrium model that includes multiple sectors with market power. Industries are connected through input-output linkages, and changes in tax costs are not confined within industries. The tax reform shocks propagate through the production network, which may amplify or mitigate their results. We calibrate the model to Brazil, a country with a highly distorted tax system. The revenue-neutral tax reform generates gains of 7.8% of GDP and 1.9% of welfare. Just eliminating Value-Added Tax (VAT) rate dispersion leads to a 5.9% increase in GDP. As expected, sectors that were heavily taxed prior to the reform, as well as their suppliers, benefit the most. Yet, due to propagation effects, in 10 sectors direct taxes increased but output and profits did not fall. The reason is that their costs were reduced as a result of lower taxes on their suppliers and/or increased demand. Moreover, tax distortions were leading to a shorter and inefficient production chain as the reform significantly changed the linkage structure of the economy.
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    Sistema de prestações constantes no regime de juros simples: duas versões financeiramente consistentes
    (Escola de Pós-Graduação em Economia da FGV, 2022) Faro, Clovis de; Lachtermacher, Gerson
    No sistema Financeiro de Habitação (SFH), que tem como principal agente a Caixa Econômica Federal (CEF), o sistema de amortização mais comumente empregado é o da chamada Tabela Price (TP). Todavia, recorrentemente, tem sido judicialmente estipulada a substituição da TP, que se fundamenta no regime de juros compostos, pelo o que tem sido denominado de “método de Gauss”. Que faz uso do regime de juros simples. Iremos aqui analisar duas possíveis versões, que se baseiam em Forger (2009), que contemplou apenas a data focal no final do financiamento, o que contraria legislação ainda vigente. Evidenciou-se que o princípio de consistência financeira, que postula que os resultados respectivamente obtidos segundo os métodos retrospectivo, prospectivo e de recorrência, para apuração do saldo devedor, sejam coincidentes, foi observado em ambas as datas focais consideradas.
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    Tax reforms and network effects
    (Escola de Pós-Graduação em Economia da FGV, 2022-10-07) Ferreira, Pedro Cavalcanti; Delalibera, Bruno Ricardo; Gomes, Diego Braz Pereira; Soares, Johann Rodrigues de Souza
    This paper investigates the effects of a tax reform that eliminates tax rate heterogeneity and cumulative taxation using a general equilibrium model calibrated to Brazil that includes multiple sectors with market power. Industries are connected through input-output linkages and changes in tax costs are not confined within industries. The tax reform shocks propagate through the production network, which may amplify or mitigate their results. The revenue-neutral tax reform generates gains of 7.8% of GDP and 1.9% of welfare. Just eliminating VAT rate dispersion leads to a 5.9% increase in GDP. As expected, sectors that were heavily taxed prior to the reform, as well as their suppliers, benefit the most. Yet, due to propagation effects, in 10 sectors direct taxes increased but output and profits did not fall. This is because their costs were reduced as a result of lower taxes on their suppliers and/or increased demand. Moreover, tax distortions were leading to a shorter and inefficient production chain as the reform significantly changed the linkage structure of the economy.
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    A unified view on the optimal solutions to the threemoments portfolio problem
    (Escola de Pós-Graduação em Economia da FGV, 2022-09) Athayde, Gustavo M. de; Flôres Junior, Renato Galvão
    This paper brings new results and deeper insights in characterizing the set of solutions to the portfolio selection problem for n risky assets and a riskless one, considering the three first moments and allowing short sales. We examine the three versions associated with this model and find a synthetic equation valid for all of them. With the help of the duality condition linking the optimization problems involved, we are able to introduce the idea of the fundamental equation. This unifying approach sheds light on the understanding of a global efficient frontier in the three-moments model and opens the door to further developments.
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    O SACRE no regime de juros compostos
    (Escola de Pós-Graduação em Economia da FGV, 2022-05) Faro, Clovis de; Lachtermacher, Gerson
    Desde sua criação, em 1964, o Sistema Financeiro de Habitação (SFH), inicialmente sob a gestão do Banco Nacional de Habitação (BNH) e, posteriormente, em 1986, com o gerenciamento da Caixa Econômica Federal (CEF), tem sido pródigo em apresentar uma sucessão de diferentes sistemas de amortização de empréstimos habitacionais.
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    SACRE e suas inconsistências financeiras
    (Escola de Pós-Graduação em Economia da FGV, 2022-05) Faro, Clovis de
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    Redistribution with labor market frictions
    (Escola de Pós-Graduação em Economia da FGV, 2021-10-12) Costa, Carlos Eugênio da; Maestri, Lucas Jóver; Santos, Marcelo Rodrigues dos
    How should search frictions in the labor market affect distributive policies? Can we assess current real-world policies? After building a framework for answering these questions we show that any constrained efficient allocation must satisfy the following set of testable restrictions: i) earnings and employment probability must be co-monotone, ii) wedges on taxable income and employment probability must have the same sign; and; iii) wedges at the bottom of the distribution of income should be positive. Labor income tax schedules and unemployment benefits are shown not to suffice for implementing constrained efficient allocations. Firms can nonetheless be provided incentives to generate the efficient supply of vacancies using informationally feasible tax instruments. We devise a method for the quantitative assessment of inefficiency, calibrate our model to the U.S. economy, and find that it is possible to increase government revenues by 3.48% while preserving everyone’s utility
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    Intrahousehold inequality and the joint taxation of household earnings
    (Escola de Pós-Graduação em Economia da FGV, 2021-07-01) Alves, Cassiano Breno Machado; Costa, Carlos Eugênio da; Moreira, Humberto Ataíde
    We study the optimal design of nonlinear labor income tax for multiperson households. Each household consists of two workers with different productivity levels and unequal access to the family’s economic resources. We show how intrahousehold inequality, together with individual-oriented utilitarianism, generally leads to a misalignment between the household’s and government’s objectives, a state known as dissonance. We handle the multidimensionality that plagues the Mirrlees model by restricting preferences to be identical and iso-elastic and by focusing on taxes characterized by incomesplitting. This approach allows us to provide a complete solution for the screening problem, incorporate different degrees of assortative matching, and assess the role of dissonance in shaping the optimal tax schedule. We also investigate the welfare gains from gender-based policies.
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    Managers’productivity and recruitment in the public sector: the case of school principals
    (Escola de Pós-Graduação em Economia da FGV, 2021-04) Muñoz, Pablo; Prem, Mounu
    We study whether differences in management can explain variation in productivity and how more effective managers can be recruited in absence of high-powered incentives. To investigate this, we first extend the canonical teacher value-added model to account for school principals, and we document substantial variation in their ability to improve students’ learning. Teachers’ survey responses and quasi-experimental designs based on changes in school management validate our measure of principal effectiveness. Then, we leverage the timing of adoption of a civil service reform and show that despite having relatively rigid wages, public schools were able to attract more effective managers after increasing the competitiveness and transparency of their personnel selection process.
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    Housing supply in the presence of informality
    (Escola de Pós-Graduação em Economia da FGV, 2021-03-19) Sant'Anna, Marcelo Castello Branco; Iachan, Felipe Saraiva; Guedes, Ricardo Brito
    We study housing supply in markets where informal housing is common. Using a combination of census and satellite data, we estimate housing supply for more than 90 metropolitan areas in Brazil. We find that widespread informal housing increases the housing supply elasticity, partially offsetting the downward pressure of geographical constraints. Our empirical approach is guided by a monocentric city model that includes informal housing. Our identification strategy relies on the use of two novel instruments, combining demographic data and public land ownership. As an illustration of the approach, we use the supply elasticity estimates to forecast the response of future housing prices to natural population growth
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    Optimal notional defined contributions
    (Escola de Pós-Graduação em Economia da FGV, 2021-03-17) Costa, Carlos Eugênio da; Santos, Marcelo Rodrigues dos
    Notional Defined Contributions (NDC) systems mimic the incentive structure of fully funded social security while preserving the Pay-as-you-go nature of most current systems. We study size-preserving social reforms which replace the current US system with alternative NDCs with many alternative contribution rules and deficit/GDP ratios. If one retains the current mandatory age-independent contribution rules we find change to an NDC to reduce welfare: the sacrifices in distributive and insurance properties are not compensated by the efficiency gains. NDCs are, however, flexible enough to allow for alternative contribution rules which increase welfare while preserving actuarial fairness. Contributions ought to be age-dependent and concentrated later on a worker’s career. The incentive structure induces an increase in capital accumulation that results, through general equilibrium effects, in welfare gains which are larger for low productivity workers, despite the increase in income inequality as captured by the Gini coefficient.
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    Universal Basic Income in Developing Countries: Pitfalls and Alternatives
    (Escola de Pós-Graduação em Economia da FGV, 2021-02-23) Ferreira, Pedro Cavalcanti; Peruffo, Marcel Cortes; Cordeiro Valério, André
    This article studies the short -and long-term effects of Universal Basic Income programs - a uniform transfer to every individual in society - in the context of a developing economy and compares this policy with other schemes that condition the transfer on household characteristics such as income and education. We construct a dynastic heterogeneous-agent model, featuring uninsurable idiosyncratic risk, investment in physical and human capital, and choice of labor effort. We calibrate the model to Brazilian data and introduce a UBI transfer equivalent to roughly 4.5% of average household income. We find that, over the short run, this policy alleviates poverty and increases welfare, especially for the poor. Over time, however, income falls and poverty and inequality increase as fewer people stay in school, labor supply decreases, and savings fall. We then explore the consequences of an equivalent transfer that is both subject to means testing and requires recipients to enroll their children in school. This policy outperforms the UBI in several dimensions, increasing overall income, reducing poverty and inequality, and improving welfare. This result is robust to varying the magnitude of the cash transfer. We then investigate which aspects of the CCT make it so effective, and find that the schooling conditionality is crucial in ensuring its long- and even short- run success.
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    Social distancing, temperature, BCG and the evolution of COVID-19: a panel-model analysis
    (Escola de Pós-Graduação em Economia da FGV, 2020-10) Campos, Eduardo Lima; Cysne, Rubens Penha; Madureira, Alexandre L.
    Background: This work presents results concerning the impact of some variables mentioned in the literature on the daily variation rate of cases (per million inhabitants) of COVID-19, based on a large sample of countries and an empirical model with appropriate control factors. We also propose indicators for measuring social distancing and BCG (Bacilo Calmette-Guérin) vaccine immunization. Methods: A statistical panel-model was applied to daily data for 165 countries from January 22 to July 31, 2020. Besides, two indicators are constructed for each country in the sample. The first of them measures social distancing, based on percentage of people circulating on transport stations, as a proportion of the circulation in a period before pandemic. The second indicator proposed estimates the current percentage of people immunized by BCG vaccine, based on the historical coverage and demographic factors. Results: We estimate that a strict social distancing may be associated with a reduction of around 6 percentage points in the daily variation rate of cases per million of COVID-19. Besides, the effects of temperature and BCG immunization proved to be statistically significant at the usual levels, indicating that lower temperatures and a low (or a lack of) BCG immunization may be related to increases in the daily variation rate of cases (per million inhabitants) of COVID-19. Conclusions: The analysis made clear the role of social distancing to control the pandemic. In addition, the method used did not allow to exclude the hypothesis that the evolution of COVID- 19 may be positively associated with lower temperatures and a low (or a lack of) BCG immunization.