Banca de DEFESA: Daniel Carvalho Cunha

Uma banca de DEFESA de DOUTORADO foi cadastrada pelo programa.
STUDENT : Daniel Carvalho Cunha
DATE: 13/02/2023
TIME: 12:30
LOCAL: Vídeo Conferência
TITLE:

 Essays on fiscal policy and public debt

KEY WORDS:

Local fiscal multiplier, cash transfers multiplier, inflation linkedbonds, sovereign green and thematic bonds

PAGES: 91
BIG AREA: Ciências Sociais Aplicadas
AREA: Economia
SUMMARY:

On the fiscal policy, we estimate the subnational employment and GDP multiplier of Brazil's 2020 federal cash transfers to vulnerable households. Using two-stage least squares regressions we estimate a formal employment multiplier and then apply an analytical transformation to recover an implied GDP multiplier in the range of 0.5-1.5. The lower bound of this range lies below most estimates in the literature, which may result from the exceptional constraints imposed by the pandemic on supply chains and consumption. Nevertheless, even using the lower end of our range implies that federal cash transfers played an important role in supporting employment and GDP. On public debt, we study role play by sovereign Inflation Linked Bonds (ILBs) and Environmental, Sustainable, and Governance (ESG) bonds. About ILBs, we formally show that government bonds’ term premia measures how much an external observer cannot learn about fundamentals from prices and the demand for public bonds will be higher if agents expect that the term premia will contract over timer and/or the variation of the term premia is low. Importantly, we analytically demonstrate that the demand for fixed rate bonds is positively impacted by the demand/ information of inflation linked bonds. Using a difference-indifferences approach, we empirically estimate the impact of the creation of a sovereign Inflation-Linked Bond (ILB) market finding that the opening leads to a significant improvement across different term premia metrics for EMs, but it is not significant for AEs. About sovereign ESG bonds, we explore a granular data base from the IDB covering 625 corporate and sovereign ESG bond issuances in the Latin America & the Caribbean region (LAC) outstanding in offshore markets to investigate how a sovereign ESG bond issuance can boost the corporate ESG bond market. Using a difference-in-differences approach, we empirically estimate the impact of sovereign issuers tapping into the external ESG debt market finding that it roughly leads to a 50 percent increase in the volume of corporate bond issuances, and 25 percent increase in the number of ESG corporate bond issuances in the external market after two years. On the mechanisms, we argue that building a sovereign ESG market provides a benchmark enhancing the price discovery process of corporate bond issuances

BANKING MEMBERS:
Externo à Instituição - FABIAN BORNHORST - FMI
Interno - 1550794 - JOSE GUILHERME DE LARA RESENDE
Externo à Instituição - JOSÉ LUIZ ROSSI JÚNIOR - BID
Presidente - 2262223 - MARINA DELMONDES DE CARVALHO ROSSI
Interno - 3230424 - TOMAS RODRIGUEZ MARTINEZ