Marco Bonomo - Academia.edu (original) (raw)

Papers by Marco Bonomo

The macroeconomic e¤ects of shocks in models of nominal rigidity depend crucially on the degree o... more The macroeconomic e¤ects of shocks in models of nominal rigidity depend crucially on the degree of strategic complementarity among price setters. However, the empirical evidence on its magnitude is indirect and ambiguous: the one based on macroeconomic data suggest strong strategic complementarities in price-setting, which seems to be contradicted by some recent studies based on micro data. In this paper we estimate directly the degree of strategic complementarity based on individual price data underlying the CPI-FGV from Brazil for the 1996-2006 period, bene…ting from large amount of macroeconomic variation in Brazilian sample during this period. Our identi…cation strategy is to infer the degree of strategic complementarity from the relation between the frictionless optimal price and macroeconomic variables that results from a microfounded model. However, since we observe price changes, and not the change in the frictionless optimal price, in order to estimate the model we assume t...

Economics and Politics, 2005

Foundation, UFRJ, UnB and CIRANO for comments and discussion, and Ivana Dall 'Agnol for research ... more Foundation, UFRJ, UnB and CIRANO for comments and discussion, and Ivana Dall 'Agnol for research assistance. We also acknowledge research fellowships from CNPq and financial support from PRONEX. 1 Bonomo and Terra (1999) use a Markov Switching Model to characterize statistically the exchange rate regimes in Brazil, defined as overvalued or undervalued real exchange rates, and the influence of political economy variables on regime changes. They found an election cycle: the probability of having an overvalued exchange rate is higher in the months preceding elections, while the probability of having a undervalued exchange rate is higher in the months succeeding elections.

SSRN Electronic Journal

We propose a price-setting model which helps to reconcile micro evidence of relatively frequent p... more We propose a price-setting model which helps to reconcile micro evidence of relatively frequent price adjustments with macroeconomic persistent e¤ects of aggregate shocks. In our model, both price adjustments and the gathering of some types of information are costly, requiring the payment of a lump-sum cost. Additional relevant information ‡ows continuously, and can be factored into pricing decisions costlessly. We estimate three versions of the model by a Simulated Method of Moments, including a special case in which all information is costly. When idiosyncratic information is free and aggregate information is costly, our estimated model is able to match individual price-setting statistics for the U.S. and, at the same time, produce persistent monetary non-neutrality.

SSRN Electronic Journal, 2000

Restrictions on short-selling may impede market participants from fully expressing their opinions... more Restrictions on short-selling may impede market participants from fully expressing their opinions about an asset, causing departures from price eciency (Miller (1977)). Measuring the impact of short-selling restriction on returns has been elusive because the decision to sell short reects expectations on returns. We measure the causal impact of short-selling restrictions on returns by taking advantage of an unique dataset and an unique source of exogenous variation in rental fees. In Brazil during the 2010-2013 period rental transaction from individual investors to mutual funds carried an implicit tax discount on days of distribution of Interest on Net Equity (IoNE). The possibility of tax arbitrage produces an exogenous spike in rental fees and short interest during the days surrounding IoNE distribution, making it prohibitively expensive to short-sell for speculative reasons. Our data con-* Insper-SP † EPGE-FGV/Rio tains all rental transaction and the identity of the parts, thus allowing us identify transactions for tax arbitrage. We nd that the variation of rental fees induced by the tax arbitrage operations has a large impact on abnormal returns, corroborating Miller's hypothesis.

¤ An earlier draft of the paper circulated under the title "Optimal State-Dependent Rules, Credib... more ¤ An earlier draft of the paper circulated under the title "Optimal State-Dependent Rules, Credibility and the Cost of Disin ‡ation " (Almeida and Bonomo, 1996). We thank Ricardo Caballero and an anonymous referee for useful suggestions. We also received valuable comments from Ilan Goldfajn, audiences at the

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.

, dois pareceristas anônimos e aos participantes dos seminários da EPGE/FGV, Ibmec e BACEN pelas ... more , dois pareceristas anônimos e aos participantes dos seminários da EPGE/FGV, Ibmec e BACEN pelas discussões e comentários. ** EPGE/FGV. Este autor agradece o apoioà pesquisa do PRONEX e do CNPq e a bolsa de pesquisa do CNPq.

We study how price setting responds to changes in the macroeconomic environment. We use a unique ... more We study how price setting responds to changes in the macroeconomic environment. We use a unique data base from the Brazilian CPI index of Fundação Getulio Vargas, ranging from April 1996 to December 2008. During this period a number of important events produced substantial macroeconomic variability: two emerging market crisis, a change of exchange rate and monetary policy regime, an election crisis, and a regular disinflation. As a consequence, inflation, macroeconomic uncertainty, exchange rates, output, and interest rates exhibit important variation in our sample. Our data consists of a panel of store-level prices for a wide variety of products for the 1996-2008 period. The long price quote lines in our sample allow us to construct time series of price-setting statistics and relate them to macroeconomic variables.

A large number of microeconomic decision variables such as investments, prices, inventories or em... more A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules depends crucially on the continuous observation of the relevant state, an assumption which is far from being fulfilled in practice. We propose an alternative model, where at least part of information about the relevant state variable is infrequent. We study several alternatives. We start with the special case where innovations are infrequent, but are readily observed. Only in this case are optimal rules state-dependent. We then explore the common case of infrequent and delayed information. It may arrive at deterministic times, like periodic macroeconomic statistics, or stochastically, when some events trigger announcements. Part of the relevant information may be continuously observed, while t...

The macroeconomic e¤ects of shocks in models of nominal rigidity depend crucially on the degree o... more The macroeconomic e¤ects of shocks in models of nominal rigidity depend crucially on the degree of strategic complementarity among price setters. However, the empirical evidence on its magnitude is indirect and ambiguous: the one based on macroeconomic data suggest strong strategic complementarities in price-setting, which seems to be contradicted by some recent studies based on micro data. In this paper we estimate directly the degree of strategic complementarity based on individual price data underlying the CPI-FGV from Brazil for the 1996-2006 period, bene…ting from large amount of macroeconomic variation in Brazilian sample during this period. Our identi…cation strategy is to infer the degree of strategic complementarity from the relation between the frictionless optimal price and macroeconomic variables that results from a microfounded model. However, since we observe price changes, and not the change in the frictionless optimal price, in order to estimate the model we assume t...

Economics and Politics, 2005

Foundation, UFRJ, UnB and CIRANO for comments and discussion, and Ivana Dall 'Agnol for research ... more Foundation, UFRJ, UnB and CIRANO for comments and discussion, and Ivana Dall 'Agnol for research assistance. We also acknowledge research fellowships from CNPq and financial support from PRONEX. 1 Bonomo and Terra (1999) use a Markov Switching Model to characterize statistically the exchange rate regimes in Brazil, defined as overvalued or undervalued real exchange rates, and the influence of political economy variables on regime changes. They found an election cycle: the probability of having an overvalued exchange rate is higher in the months preceding elections, while the probability of having a undervalued exchange rate is higher in the months succeeding elections.

SSRN Electronic Journal

We propose a price-setting model which helps to reconcile micro evidence of relatively frequent p... more We propose a price-setting model which helps to reconcile micro evidence of relatively frequent price adjustments with macroeconomic persistent e¤ects of aggregate shocks. In our model, both price adjustments and the gathering of some types of information are costly, requiring the payment of a lump-sum cost. Additional relevant information ‡ows continuously, and can be factored into pricing decisions costlessly. We estimate three versions of the model by a Simulated Method of Moments, including a special case in which all information is costly. When idiosyncratic information is free and aggregate information is costly, our estimated model is able to match individual price-setting statistics for the U.S. and, at the same time, produce persistent monetary non-neutrality.

SSRN Electronic Journal, 2000

Restrictions on short-selling may impede market participants from fully expressing their opinions... more Restrictions on short-selling may impede market participants from fully expressing their opinions about an asset, causing departures from price eciency (Miller (1977)). Measuring the impact of short-selling restriction on returns has been elusive because the decision to sell short reects expectations on returns. We measure the causal impact of short-selling restrictions on returns by taking advantage of an unique dataset and an unique source of exogenous variation in rental fees. In Brazil during the 2010-2013 period rental transaction from individual investors to mutual funds carried an implicit tax discount on days of distribution of Interest on Net Equity (IoNE). The possibility of tax arbitrage produces an exogenous spike in rental fees and short interest during the days surrounding IoNE distribution, making it prohibitively expensive to short-sell for speculative reasons. Our data con-* Insper-SP † EPGE-FGV/Rio tains all rental transaction and the identity of the parts, thus allowing us identify transactions for tax arbitrage. We nd that the variation of rental fees induced by the tax arbitrage operations has a large impact on abnormal returns, corroborating Miller's hypothesis.

¤ An earlier draft of the paper circulated under the title "Optimal State-Dependent Rules, Credib... more ¤ An earlier draft of the paper circulated under the title "Optimal State-Dependent Rules, Credibility and the Cost of Disin ‡ation " (Almeida and Bonomo, 1996). We thank Ricardo Caballero and an anonymous referee for useful suggestions. We also received valuable comments from Ilan Goldfajn, audiences at the

Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch ge... more Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden. Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen. Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte.

, dois pareceristas anônimos e aos participantes dos seminários da EPGE/FGV, Ibmec e BACEN pelas ... more , dois pareceristas anônimos e aos participantes dos seminários da EPGE/FGV, Ibmec e BACEN pelas discussões e comentários. ** EPGE/FGV. Este autor agradece o apoioà pesquisa do PRONEX e do CNPq e a bolsa de pesquisa do CNPq.

We study how price setting responds to changes in the macroeconomic environment. We use a unique ... more We study how price setting responds to changes in the macroeconomic environment. We use a unique data base from the Brazilian CPI index of Fundação Getulio Vargas, ranging from April 1996 to December 2008. During this period a number of important events produced substantial macroeconomic variability: two emerging market crisis, a change of exchange rate and monetary policy regime, an election crisis, and a regular disinflation. As a consequence, inflation, macroeconomic uncertainty, exchange rates, output, and interest rates exhibit important variation in our sample. Our data consists of a panel of store-level prices for a wide variety of products for the 1996-2008 period. The long price quote lines in our sample allow us to construct time series of price-setting statistics and relate them to macroeconomic variables.

A large number of microeconomic decision variables such as investments, prices, inventories or em... more A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules depends crucially on the continuous observation of the relevant state, an assumption which is far from being fulfilled in practice. We propose an alternative model, where at least part of information about the relevant state variable is infrequent. We study several alternatives. We start with the special case where innovations are infrequent, but are readily observed. Only in this case are optimal rules state-dependent. We then explore the common case of infrequent and delayed information. It may arrive at deterministic times, like periodic macroeconomic statistics, or stochastically, when some events trigger announcements. Part of the relevant information may be continuously observed, while t...