Destaques
Comunidades no Repositório
Selecione uma comunidade para navegar por suas coleções
Submissões Recentes
Private ownership of water and wastewater systems: Assessing health impacts
(2025) Chaves, Rodrigo França; ADRIANO BORGES FERREIRA DA COSTA
This study examines the impact of private ownership of water and wastewater systems on disease reduction linked to sanitation in Brazil from 1998 to 2021. It updates Saiani and de Azevedo (2018), which analyzed the period 1995–2008, by incorporating over a decade of additional data, key policy changes such as the 2020 Sanitation Law, and employing the Callaway–Sant’Anna Staggered DID methodology to address heterogeneity in treatment effects. Our findings reveal mixed results: while some municipalities achieved reductions in morbidity rates, others showed no change or increases, underscoring the context-dependent nature of privatization outcomes. A notable example is the case of Tocantins, where transitioning from a hybrid private-state model to full private ownership led to a significant decrease in disease morbidity, particularly among the most affected age groups. These advancements provide a robust, updated perspective on the privatization debate, offering valuable implications for policy and practice.
Anuario de la Vivienda en América Latina y el Caribe CAF — banco de desarrollo de América Latina y el Caribe — y Lincoln Institute of Land Policy
(2024) Eloy, Claudia Magalhães (coord.); Kerr, Iván; Rouco, Federico Jorge González; Leite, Flavia; ADRIANO BORGES FERREIRA DA COSTA; Burgos, Slaven Razmilic; Eberhard, Maria Cristina Rojas; Hoyos, Luisa Mariana Palomino; Rojas, Minor Rodríguez; Loria, Alexander Sandoval; Cazco, Jessenia; Pineda, Edgar Alexander Renderos; Topelson, Sara; Téllez, Adán; Treuherz, Alessandra; Boutin, Gabriela Irene Kinkead; Benza, Álvaro Espinoza; Cortés, Carlos Ariel; López, Alba Mizoocky Mota; Gonzalez, Ana Maria Fernandez; Camacho, Omar Aquiles Herrera; Fourment, José Freitas; Sosa, Lucía Vázquez; Santamarina, Lucía Anzalone; Recoba, Andrés Cabrera
Unconditional Quantile Selection Models with a Gender Wage Gap Application
(2023) Sunao, Stefanie Sayuri
We propose constructing a consistent estimator that addresses the problem of sample
selection in unconditional quantile models. The proposed approach is based on three
steps: (i) estimation of a control function using a logistic distribution regression; (ii) construction
of a counterfactual distribution of the latent dependent variable conditional on
the previously estimated control function; (iii) application of the recentered influence function
(RIF) on the estimated counterfactual distribution and, finally, we run an ordinary
least square regression. Besides this theoretical contribution, we propose an empirical
application to measure the impact of maternity on the gender wage gap using Danish
data.
Essays in Financial Economics
(2023) Baglioni, Tommaso
This dissertation studies topics in financial economics and contributes to the literature on
equity return dynamics around scheduled Federal Open Market Committee (FOMC) announcements
by highlighting new facts and presenting stronger empirical results than many articles in
the international literature. This thesis is composed by three closely related papers, which are
reported in this essay as chapters. These articles use U.S. intraday data and could be extended
to other contexts, in accordance to data availability. The main variables of interest, which are
constructed using intraday data on E-Mini S&P 500 futures at one-minute frequency, are the pre-
FOMC announcement return and the post-FOMC announcement return, i.e., the 24-hour return
in advance of the FOMC announcement and the return from the minute of the announcement
until the end of the trading day, respectively.
All articles relate to the anticipation and reaction of the stock market to monetary policy
announcements and contribute empirically to a better understanding of the behavior of the stock
market around monetary policy decisions. In particular, the three papers add to the empirical understanding
of the facts described by Lucca and Moench (2015), who document a large average
excess returns in U.S. equities before scheduled FOMC announcements, a phenomenon that they
term “pre-FOMC announcement drift.” They show that half of the excess return in U.S. equities
over the period 1980 – 2011 accrues in the 24 hours before scheduled FOMC announcements,
whereas the average post-announcement return is approximately zero. They conclude that this
unconditional excess return is not directly related to the actual FOMC monetary policy decision,
highlighting a puzzle that is difficult to explain with standard asset pricing theory.
Following Lucca and Moench (2015), a vast literature that explores the impact of FOMC
announcements on financial markets began studying the pre-FOMC announcement drift and
other related patterns around monetary policy announcements. In contrast with the previous
literature, which focuses mainly on the pre-FOMC announcement drift and on the daily stock
market return of the FOMC announcement day, this thesis focuses on the time series variation in both pre- and post-announcement return and highlights new interesting patterns related to the
post-announcement return as well. In fact, only a handful of papers document patterns related
to the stock market behaviour from the monetary policy announcement (or just before) until the
end of the trading day. While those few papers focus on the immediate reaction of the stock
market to the announcement, conditioned thus on the type of monetary policy news, the first
two chapters of this thesis focus on the predictability of the post-announcement return (given
the information publicly available before the announcement). The focus of the third article is
on the predictability of the pre-announcement return.
The first chapter, a joint work with Ruy Monteiro Ribeiro, is entitled “The FOMC Announcement
Reversal.” This paper shows that part of the stock market reaction after the FOMC
announcement is predictable, as the market tends to overreact in advance of the announcement
and to correct afterward. In particular, there is a negative relationship between pre-FOMC announcement
returns and post-FOMC announcement returns, independent of the level of uncertainty
and sample period. To exploit this finding, this paper proposes and tests a reversal strategy
consisting in buying (selling) E-Mini S&P 500 just before the announcement, if the pre-FOMC
announcement return is negative (positive), and closing the position at the end of the trading day.
Over the period 1997 – 2020, considering 180 scheduled FOMC announcements, this strategy
generates Sharpe ratios about 2.5 times greater than the pre-FOMC announcement drift puzzle
of Lucca and Moench.
The second chapter, entitled “Liquidity Premium Around FOMC Announcements,” is a
joint work with Alessandro Giannozzi, Ruy Monteiro Ribeiro, and Oliviero Roggi. This paper
explores the relationship between stock market liquidity and stock market return around scheduled
FOMC meetings and highlights the importance of liquidity in the predictability of returns
that follow the monetary policy decision. This article shows that the classic liquidity measure
proposed by Amihud (2002) is empirically relevant to predict the stock market behavior, despite
the fact that we are analyzing the most liquid market in the world. The main finding is that the
post-FOMC announcement interval is characterized by a conditional liquidity premium, suggesting
that market liquidity is an important determinant of the FOMC premium. In contrast,
the unconditional liquidity premium is not statistically significant.
The third chapter, which is a joint work with Ruy Monteiro Ribeiro, is entitled “Corporate
Bonds Distress and FOMC Announcement Returns.” This paper documents that the ex-ante
level of the corporate bond market distress is a good predictor for the pre-FOMC announcement equity market return, which tends to be positive (negative) when distress on the week before
the announcement is high (low). Distress subsumes the relevant information of equity market
uncertainty, highlighted by the previous literature as a good predictor for the pre-FOMC announcement
return. This article also shows that, on FOMC announcement days, the effect of
distress is heterogeneous across industries, as it is much more pronounced on the return of the
industries that are more sensitive to credit, suggesting that distress is part of the credit channel
of monetary policy transmission.