Publications
"Sovereign Default: The Role of Expectations," with Gaston Navarro, Juan Pablo Nicolini, and Pedro Teles.
Journal of Economic Theory, vol. 175, pp. 803-812, 2018.
[published version] [working paper] [slides] [codes]
Abstract: We study a variation of the standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), and show that this variation is consistent with multiple interest rate equilibria. Some of those equilibria correspond to the ones identified by Calvo (1988), where default is likely because rates are high, and rates are high because default is likely. The model is used to simulate equilibrium movements in sovereign bond spreads that resemble sovereign debt crises. It is also used to discuss lending policies similar to the ones announced by the European Central Bank in 2012.
Working Papers
"Real Exchange Rates and Primary Commodity Prices," with Constantino Hevia and Juan Pablo Nicolini.
revise and resubmit at Journal of International Economics.
[working paper] [slides]
Abstract: In this paper, we show that a substantial fraction of the volatility of real exchange rates between developed economies such as Germany, Japan, and the United Kingdom against the US dollar can be accounted for by shocks that affect the prices of primary commodities such as oil, aluminum, maize, or copper. Our analysis implies that existing models used to analyze real exchange rates between large economies that mostly focus on trade between differentiated final goods could benefit, in terms of matching the behavior of real exchange rates, by also considering trade in primary commodities.
"Firm Knowledge and International Real Business Cycles," (job market paper)
[paper] new version coming soon
* previously circulated under the title "Knowledge Flows and Dark Matter".
Abstract: I quantify the flow of knowledge within U.S. multinational corporations in the United States and European Union. I use a general equilibrium model of knowledge flows within multinationals and compute the parameter values related to knowledge production such that, in steady state, the model matches the observed factor share differentials between the operations of U.S. multinationals in the United States and European Union. The main assumptions are: i) U.S. multinationals produce knowledge in the United States; ii) this knowledge is used by its subsidiaries in the European Union; and iii) investment in knowledge is either unobserved or expensed in corporate accounts. Under these assumptions, the model predicts that the observed labor share of U.S. multinational operations in the United States must be higher than the labor share of their subsidiaries in the European Union, whereas the ratio of capital expenditures to compensation of employees must be the same, both patterns found in the data. The results show that (a) the calibrated model matches the observed differentials in the rates of return of U.S. multinational investments in the U.S. and in the European Union, (b) investment in knowledge is 1.4 times larger than investment in physical capital. Furthermore, I show that the model calibrated with these parameter values has quantitative implications for international real business cycles. Accounting for the corporate sector GDP correlation, the model with knowledge flows reduces the distance between the standard international real business cycle model and data by 48%.
Work in Progress
"Self-Fulfilling Debt Crises with Long Stagnations," with Gaston Navarro, Juan Pablo Nicolini, and Pedro Teles.
"The Fiscal and Monetary History of Brazil: 1960-2016," with Marcio Garcia and Diogo Guillén.
"The Firm Dynamics of Business Cycles," with Gajendran Raveendranathan.
"Price Setting in a Variable Macroeconomic Environment: Evidence from Brazilian CPI," with Rebecca Barros, Marco Bonomo, Carlos Carvalho, and Silvia Matos.
"Sales and the Macroeconomy," with Rebecca Barros, Marco Bonomo, and Carlos Carvalho.
"Yet More Heterogeneity in Price Stickiness, Yet Larger Monetary Non-Neutralities," with Carlos Carvalho.
"Sovereign Default: The Role of Expectations," with Gaston Navarro, Juan Pablo Nicolini, and Pedro Teles.
Journal of Economic Theory, vol. 175, pp. 803-812, 2018.
[published version] [working paper] [slides] [codes]
Abstract: We study a variation of the standard model of sovereign default, as in Aguiar and Gopinath (2006) or Arellano (2008), and show that this variation is consistent with multiple interest rate equilibria. Some of those equilibria correspond to the ones identified by Calvo (1988), where default is likely because rates are high, and rates are high because default is likely. The model is used to simulate equilibrium movements in sovereign bond spreads that resemble sovereign debt crises. It is also used to discuss lending policies similar to the ones announced by the European Central Bank in 2012.
Working Papers
"Real Exchange Rates and Primary Commodity Prices," with Constantino Hevia and Juan Pablo Nicolini.
revise and resubmit at Journal of International Economics.
[working paper] [slides]
Abstract: In this paper, we show that a substantial fraction of the volatility of real exchange rates between developed economies such as Germany, Japan, and the United Kingdom against the US dollar can be accounted for by shocks that affect the prices of primary commodities such as oil, aluminum, maize, or copper. Our analysis implies that existing models used to analyze real exchange rates between large economies that mostly focus on trade between differentiated final goods could benefit, in terms of matching the behavior of real exchange rates, by also considering trade in primary commodities.
"Firm Knowledge and International Real Business Cycles," (job market paper)
[paper] new version coming soon
* previously circulated under the title "Knowledge Flows and Dark Matter".
Abstract: I quantify the flow of knowledge within U.S. multinational corporations in the United States and European Union. I use a general equilibrium model of knowledge flows within multinationals and compute the parameter values related to knowledge production such that, in steady state, the model matches the observed factor share differentials between the operations of U.S. multinationals in the United States and European Union. The main assumptions are: i) U.S. multinationals produce knowledge in the United States; ii) this knowledge is used by its subsidiaries in the European Union; and iii) investment in knowledge is either unobserved or expensed in corporate accounts. Under these assumptions, the model predicts that the observed labor share of U.S. multinational operations in the United States must be higher than the labor share of their subsidiaries in the European Union, whereas the ratio of capital expenditures to compensation of employees must be the same, both patterns found in the data. The results show that (a) the calibrated model matches the observed differentials in the rates of return of U.S. multinational investments in the U.S. and in the European Union, (b) investment in knowledge is 1.4 times larger than investment in physical capital. Furthermore, I show that the model calibrated with these parameter values has quantitative implications for international real business cycles. Accounting for the corporate sector GDP correlation, the model with knowledge flows reduces the distance between the standard international real business cycle model and data by 48%.
Work in Progress
"Self-Fulfilling Debt Crises with Long Stagnations," with Gaston Navarro, Juan Pablo Nicolini, and Pedro Teles.
"The Fiscal and Monetary History of Brazil: 1960-2016," with Marcio Garcia and Diogo Guillén.
"The Firm Dynamics of Business Cycles," with Gajendran Raveendranathan.
"Price Setting in a Variable Macroeconomic Environment: Evidence from Brazilian CPI," with Rebecca Barros, Marco Bonomo, Carlos Carvalho, and Silvia Matos.
"Sales and the Macroeconomy," with Rebecca Barros, Marco Bonomo, and Carlos Carvalho.
"Yet More Heterogeneity in Price Stickiness, Yet Larger Monetary Non-Neutralities," with Carlos Carvalho.