Banca de DEFESA: Carlos Alexandre Piccioni

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : Carlos Alexandre Piccioni
DATE: 16/02/2024
TIME: 19:00
LOCAL: A defesa será realizada por vídeoconferência
TITLE:

Three Essays on Economics in Big Data Scenarios

KEY WORDS:

Big Data. Companies’ Returns. Dictionary of ESG Terms. ESG News. Textual Analysis. Exchange Rates Forecasting. Machine Learning. Consumption Inequality. Electronic Payment Methods. Economic Complexity Index (ECI).

PAGES: 133
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

This work comprises three studies on economics in big data contexts. The rst analyzes the impact of ESG (Environmental, Social, and Governance) news on the stock returns of leading Brazilian companies, using an unprecedented Dictionary of ESG Terms specically developed for this study to select and classify news according to the standards of the Sustainability Accounting Standards Board (SASB). The research indicates that only news with content that is nancially material to investors inuences stock returns. In other words, investors do not react for reputational or non-pecuniary reasons. The second study explores the high-frequency predictability of the Brazilian exchange rate (at the 1, 5, and 15-minute frequencies), employing both machine learning techniques and traditional linear regression for forecasting. Two types of exercises are conducted: one with contemporary predictors and another using out-of-sample data. We show that it is possible to beat the benchmark, the Random Walk, over a horizon of up to four minutes at a frequency of 1 minute. We also show that the most important predictors are those that carry local information, as well as the exchange rates of the BRICS or countries with economies similar to Brazil’s. When the rates from B3’s foreign exchange futures contracts are considered as predictors, we can beat the Random Walk over a horizon of up to 6 minutes. The third study measures consumption inequality at the municipal level using data from electronic payment methods, specically data from credit card and Pix payments. Furthermore, as an application, we examine the relationship between inequality and economic complexity. We demonstrate that greater economic complexity is associated with lower consumption inequality, marking the rst assessment of this kind for Brazilian municipalities.

COMMITTEE MEMBERS:
Interno - 1196877 - BERNARDO PINHEIRO MACHADO MUELLER
Interno - 1642911 - DANIEL OLIVEIRA CAJUEIRO
Externo à Instituição - JOSÉ LUIZ ROSSI JÚNIOR - BID
Interna - 2262223 - MARINA DELMONDES DE CARVALHO ROSSI
Externo à Instituição - SAULO BENCHIMOL BASTOS - BACEN