VictorJuiz/thesis huggingface dataset:
Essays in financial economics
Keywords: Business.

This thesis investigates the role of financial intermediaries in asset markets from two complementary angles. In the first chapter, I study imperfect competition among intermediaries in a key funding market, and demonstrate the importance of intermediaries in monetary policy implementation. In the second chapter, I examine how the constraints faced by intermediaries affect prices across asset classes. This chapter is coauthored with Wenxin Du and Benjamin Hebert. In Chapter 1, I model and structurally estimate the equilibrium rates and volumes on the Triparty repo market to study how imperfect competition affects monetary policy implementation. Even in this systemically important market, where seemingly homogeneous repos trade, I document persistent rate differences paid by dealers. I therefore characterize the Triparty market as cash-lenders allocating their portfolios among differentiated dealers who set repo rates. I find that cash-lenders' aversion to concentrated portfolios gives dealers substantial market power: dealers borrow at rates that are 21 bps lower than their marginal benefit from intermediating borrowed funds, inserting a considerable wedge in wholesale funding rates. I show through counterfactual analyses the effect of the Federal Reserve's Reverse Repo Facility (RRP). Compared to its absence, the RRP raised the Triparty repo rate by 15 bps and tightened dealers' markdowns by 8 bps between 2014 and 2017; these effects were amplified by the Money Market Fund Reform. In Chapter 2, we explore the implication of intermediary constraints by noticing that violations of no-arbitrage conditions measure the shadow cost of intermediary constraints. Intermediary asset pricing and intertemporal hedging together imply that the risk of these constraints tightening is priced. We describe a ''forward CIP trading strategy'' that bets on CIP violations shrinking and show that its returns help identify the price of this risk. This strategy yields the highest returns for currency pairs associated with the carry trade. The strategy's risk contributes substantially to the volatility of the stochastic discount factor, is correlated with both other near-arbitrages and intermediary wealth measures, and appears to be priced consistently across various asset classes
Essays in household finance
Keywords: Business.

This thesis contributes to two significant recent advances in the field of household finance. The increased access to large datasets that has expanded researchers ability to test household behavior at the micro-level and the greater recognition of deviations of household behavior from the benchmark household decision making framework. The first chapter introduces the literature and ties in the two main works of this thesis. The second chapter studies the household consumption-savings problem in the context of unexpected automobile expenses. By making use of high-frequency household transaction level banking data, I document the size and frequency of large out-of-pocket automobile expenses. I estimate the consumption-smoothing costs to households and show that households that I identify as low in liquid wealth struggle to finance these expenses directly. Furthermore, I suggest that the observed consumption-smoothing response to automobile expense shocks is unlikely to be generated by the standard benchmark consumption-smoothing model without several augmentations. In particular, low liquid wealth households undersave relative to levels of risk aversion and discount rates typically assumed in the literature. As a result, low liquid wealth households fail to self-insure against an important category of household expense shocks. The third chapter introduces a framework for behavioral household decision making and demonstrates the equilibrium impacts on prices, as well as important distributional state variables such as wealth. We offer a computational and behavioral framework that studies the impact of limited household ability to predict equilibrium prices. We primarily focus on the ability of households to reconcile a long run stationary forecast of prices with the ability to forecast equilibrium prices over a short run finite horizon that is conditional on future aggregate histories (we call this foresight). We are able to offer a degree of computational tractability because of the nature of household optimization that requires only a finite horizon knowledge of equilibrium prices. In particular, we note that the degree of foresight on equilibrium prices can vastly change prices in equilibrium, especially when the degree of foresight is limited to a few periods
Essays in industrial organization
Keywords: Economics.

In Chapter 1, I study whether merchants impose surcharges for credit card transactions and how consumers respond after merchants have been allowed to impose surcharges. Before 2013, merchants were prohibited from imposing credit-card surcharges, but they were allowed to do so after a settlement between credit card companies and retailers and several court cases challenging state-level regulations. Using a consumer panel of shopping trips from 2013 to 2019, I construct a proxy for surcharges at the shopping trip level and examine how the distribution and mean value of the proxy change when merchants are allowed to impose surcharges. Due to noises in the underlying data, I am unable to provide evidence for or against an increase in the incidence of surcharges. Taking advantage of the settlement and court cases in four states afterward, I employ two research designs, a differences-in-differences design and a border design, to evaluate jointly whether merchants impose surcharges and whether consumers respond in the presence of surcharges. Overall, there are no large changes in the overall consumer usage of credit cards, but I find some evidence that consumers' usage of credit card has decreased for shopping trips with high spending. In Chapter 2, I study how the advertising of one product affects the sales of another product under the same brand name. Specifically, I examine how large the advertising spillover effect is using body wash and body lotion for a selected brand as a case study. Adopting a border strategy that takes advantage of the discontinuity in advertising across Designated Market Areas (DMA) borders and restricting the sample to border markets that only constitute a small part of the corresponding DMA, I find that the advertising spillover effect is positive but insignificant. I discuss possible reasons for the neutral results. In Chapter 3, I study the role of factors related to competition and market information in review manipulation. Using online reviews for restaurants in Santa Cruz County on Yelp, I examine how the number of negative filtered reviews that a restaurant receives per month varies with competition-related events (entry and exit, competitor experiencing a drop in rounded rating, and competitor receiving negative filtered review) and the degree that a restaurant may serve tourists using a panel data design. I find suggestive evidence that a restaurant may be more likely to receive negative fake reviews if it is more likely to serve tourists, experiences entries and exits of competitors, or its competitors receive a negative filtered review recently
Essays in machine learning in finance
Keywords: Management Science and Engineering.

The bond market is one of the largest financial markets, with $52.9 trillion of debt outstanding for the US market as of 2021. The implied interest rate for borrowing at different horizons is the fundamental object for this market. However, a complete set of interest is not observed and must be estimated from the noisy market data. In two papers, we develop machine learning methods to precisely estimate the term structure of interest rates and to understand and manage interest-rate related risks. In the first paper, we introduce a robust, flexible and easy-to-implement method for estimating the yield curve from Treasury securities. This method is non-parametric and optimally learns basis functions in reproducing Hilbert spaces with an economically motivated smoothness reward. We provide a closed-form solution of our machine learning estimator as a simple kernel ridge regression, which is straightforward and fast to implement. We show in an extensive empirical study on U.S. Treasury securities, that our method strongly dominates all parametric and non-parametric benchmarks, which positions our method as the new standard for yield curve estimation. In the second paper, we develop a sparse factor model for bond returns, that unifies non- parametric term structure estimation with cross-sectional factor modeling. Building on the modeling framework of the first paper, we estimate an optimal set of sparse basis functions, which maps into a cross-sectional conditional factor model. Our estimated factors are investable portfolios of traded assets, that replicate the full term structure and are sufficient to hedge against interest rate changes. In an extensive empirical study on U.S. Treasury securities, we show that the term structure of excess returns is well explained by four factors. We introduce a new measure for the time-varying complexity of bond markets based on the exposure to higher-order factors
Essays in microeconomics
Keywords: Economics.

This dissertation consists of three chapters that explore topics in behavioral economics and gender economics. In chapter 1, I study how motivated reasoning distorts the inference process about the signaling sources. In the experiment, two signal sources differ in terms of their stringency. Specifically, each source applies a different standard in deciding whether to send a favorable signal about an agent's task performance. Participants were more likely to guess that their favorable signals came from the stringent source relative to a Bayesian. Moreover, the bias is only present when the signal is ego-relevant, suggesting the role the bias plays in confidence management. A second experiment investigates the long-term implications of this bias. In Chapter 2 (joint work with Sarah Eichmeyer, Muriel Niederle, and David Yang), we evaluate the causal effects of gender portrayals in primary school textbooks on female education and labor market outcomes. In the context of China, we study a curriculum reform that reduced the use of gender stereotypes and induced a more equal representation of male and female characters in textbooks used in primary school grades 1-6. For identification, we exploit the staggered roll-out of the new textbooks across counties in the early 2000s, in combination with sharp changes in exposure to the new textbooks across cohorts. In Chapter 3 (joint work with Muriel Niederle, Markus Mobius and Emanuel Vespa), we study who comes to mind when agents have to rely on their memories to recommend candidates. We hypothesize that candidates that show up more frequently are more easily recalled than others. This sheds light on a new mechanism that can give rise to the `missing candidate' problem and homophily in hiring practices, distinct from statistical or taste-based discrimination against out-groups. We also vary whether the objective criteria are known to the agent before or after seeing the candidates. We expect to see better quality of recommended candidates in the former which may allow for more efficient memory encoding and retrieval. Lastly, we also vary how many candidates the agent needs to recommend. The hypothesis is that the requiring agents to recommend more people will force them to recall more candidates who would otherwise not be as easily recalled, leveling the playing field
Essays in political economy and development
Keywords: Economics.

This dissertation contains three separate papers in the fields of political economy and development. The three papers are, however, all connected by their focus on media—whether print newspapers, news websites, or social media. The first chapter in the dissertation is from a paper titled "Journalist Ideology and the Production of News: Evidence from Movers, " which is joint work with Jacob Conway and is still a work-in-progress. In this paper, we examine the role journalists play in determining the political slant of the news they produce. The second chapter in the dissertation is from a paper titled "Slanted Images: Measuring Nonverbal Media Bias During the 2016 Election, " which is sole-authored and is conditionally accepted at Political Science Research and Methods. In this paper, I use nearly one million images from the front page of news websites during the 2016 election period, I show how computer vision techniques can identify the faces of politicians across the images and measure the nonverbal emotional content expressed on each face. The third chapter in the dissertation is from a paper titled "Taxing Dissent: The Impact of a Social Media Tax in Uganda, " which is joint work with Zachary Steinert-Threlkeld and is published in World Development. In this paper, we examine the impact of a new tool for digital repression--a daily tax on social media use in Uganda
Essays in quantitative marketing
Keywords: Business.

The first chapter explores the effect of personalized recommendations on consumer behavior. Personalized recommendations are known for their ability to navigate shoppers to the most relevant products first, saving their time. However, the hidden cost is that shoppers are less likely to find other desirable products along the search process serendipitously. Such a potential cost casts doubts on whether websites should adopt personalized recommendations. I suggest a positive spillover effect of gained efficiency from personalized recommendations: consumers explore more because increased search efficiency countervails an increasing opportunity cost of time. In addition, total shopping time is expected to decrease because the new equilibrium marginal benefit of exploration is lower. I examine these hypotheses empirically using field experiment data from one of China's biggest grocery delivery platforms. My findings are consistent with these hypotheses: consumers reduce search, spend more time exploring other categories and make more purchases while lowering their total shopping time. These findings are important because they show consumers active explorations under time pressure and they demonstrate a demand increasing mechanism of increasing search efficiency through personalized recommendations. The second chapter is joint work with Mingxi Zhu. This chapter studies information disclosure in auctions. Bidding in search advertising is commonplace today. However, determining a bid can be challenging in light of the complexity of the auction process. By designing the mechanism and aggregating the information of many bidders, the advertiser platform can assist less sophisticated advertisers. We analyze data from a platform that initiated a bid recommendation system and find that some advertisers may simply adopt the platform's suggestion instead of constructing their own bids. We discover that these less sophisticated advertisers were lower-rated and uncertain about ad effectiveness before the platform began offering information through the recommended bids. We characterize an equilibrium model of bidding in the Generalized Second Price (GSP) auction and show that following the platform's bid suggestion is theoretically sub-optimal. We then identify sophisticated and less sophisticated advertisers' private values using observed bids and the disclosed information. Counterfactual results suggest that the ad platform can increase revenue and the total surplus when it shares more information. Furthermore, the hybrid of auto-bidding with manual bidding could be a more efficient mechanism as we substitute less sophisticated bidding behavior for algorithmic bidding. These results shed light on the importance of exploring interactions between sophisticated and less sophisticated players when designing a market
Essays on behavioral economics and social networks
Keywords: Economics.

This dissertation contains three essays relating to behavioral economics and social networks. In the first chapter, I experimentally investigate third-party preferences for compensation and punishment after one party financially harms another for their own benefit. I find that demand for both compensation and punishment extends beyond pure distributional concerns, reflecting preferences for (what I term) compensatory and retributive justice, respectively. In the second chapter, I develop a simple model of friendship formation that provides insight into three key empirical patterns regarding homophily, our tendency to form connections with those most similar to us. In the model, agents have homophilic preferences along two dimensions, but homophily is only measured along a single dimension. Via simulations, I show that introducing this second dimension (qualitatively) generates all three noted patterns. In the final chapter, I and co-authors develop a dynamic theory of endogenous preference formation in which people adopt worldviews that shape their judgments about their experiences. The theory generates rich behavioral dynamics, illuminating a wide range of applications and providing potential explanations for a variety of observed phenomena
Essays on education policy in Latin America
Keywords: Economics.

This dissertation is a collection of three essays on education policy in Latin America. The first chapter delves into understanding the consequences of affirmative action as a tool to increase the participation of marginalized students in selective public colleges in Brazil. The second chapter studies the optimal design of student loans as a lever to foster the inclusion of poor students in private colleges in Brazil. Finally, the third chapter explores the interplay between private and public actors by studying a large increase in the number of public primary and secondary schools in the Dominican Republic
Essays on financial intermediation
Keywords: Business.

This thesis studies several topical areas in financial intermediation research. In the first chapter, I focus on the roles of financial intermediaries in monetary policy transmission to answer the question of reserve sufficiency. I construct a model linking interbank intraday payment timing with monetary policy implementation. In the second chapter, which is joint work with Darrell Duffie and Adam Copeland, we empirically identify the ten largest repo-active dealer banks as financial intermediaries crucial to the well-functioning of the repo market. We document that repo rates rose above efficient-market levels when the total reserve balances of the ten largest dealer banks declined, and that repo rate spikes are strongly associated with delayed intraday payments of reserves to these large banks. In the third chapter, which is joint work with Anirudha Balasubramanian, we study a trading game with agents who face a high-dimensional estimation problem. Our model addresses the situation faced by key financial intermediaries whose trading strategies involve big data and computational problems
Essays on law and economics
Keywords: Economics.

This dissertation consists of three essays pertaining to policy for enforcement of law. The first essay discusses the optimal policy under the assumption that detection affects the harm caused by a violation and the gain obtained by a violator. The second essay compares the private and public modes of enforcement in a setting where the policy is determined by a democratic vote. The third essay analyzes the desirability of policies that reward prisoners for good behavior under the assumption that individuals may be time inconsistent
Essays on market structure and policy in higher education
Keywords: Economics.

This dissertation contains three essays discussing government policy in higher education, the effects of online social networks during college on students after graduating, and how to use search data as a tool to recover characteristics of both products and customers to estimate demand. In the first chapter, co-authored with Shengmao Cao, we study the equilibrium impact of student aid in the United States market for sub-baccalaureate higher education and consider the implications of alternative aid policies. We estimate a structural model of supply and demand in this market. We then derive an optimal voucher policy that maximizes educational quality, measured as the value-added in earnings generated by each sub-baccalaureate college. Our optimal voucher policy highlights the fact that for-profit colleges, despite being lower quality on average, are more effective at increasing enrollment than public community colleges. Consequently, these schools play an important role in improving the educational outcomes of students. In the second chapter, using quasi-random variation from Facebook's entry to college campuses, I exploit a natural experiment to estimate the effect of online social network access on future earnings. My estimates imply that access to Facebook for an additional year in college causes a .61 percentile increase in a cohort's average earnings, translating to an average wage increase of around \ 70 in 2014. My results also suggest that Facebook access decreases income inequality within a cohort. I provide evidence that wage increases comes through the channel of increased social ties to former classmates, which leads to strengthened employment networks between college alumni. In the third chapter of this dissertation, co-authored with Greg Lewis and Giorgos Zervas, we extend a machine learning approach (Bayesian Personalized Ranking) that allows us to jointly learn latent product characteristics and consumer preferences relevant for consumer demand from search data. We show how search data, summarized through these latent parameters, can be combined with existing demand estimation approaches to better predict demand. Our application is to the hotel market, where we combine two datasets: consumers' web browsing histories, and hotel prices and occupancy rates. Using an event study design, we show that closeness in latent characteristic space predicts competition: hotels that are close to new entrants lose the most market share post-entry. We take a more structural approach to the 2016 merger of Marriott and Starwood, demonstrating that by using latent characteristics and consumer preferences learned from search data, we can substantially improve post-merger predictions of demand relative to standard baselines
Essays on obesity in low- and middle-income countries
Keywords: Health Policy.

This dissertation investigates the trends and causes of obesity in low- and middle-income countries. The first chapter (with Tiago Cravo Oliveira Hashiguchi, Blake Thomson, Joseph Dieleman, and Eran Bendavid) investigates the phenomenon that obesity prevalence is highest among wealthier population strata in poorer countries, but the burden of obesity shifts to poorer population strata as national wealth increases. While the flipped wealth gradients of obesity in poor and rich countries are documented, no research shows how this shift happens or where it occurs along the range of economic development. We collated 182 Demographic and Health Surveys and World Health Surveys [n = 2.24 million respondents] from 103 countries with information on respondent height, weight, personal wealth, and country wealth. We estimated the relationship of personal wealth with overweight and obesity, and examined how that relationship varies with country wealth. The transition is driven by increasing obesity among the poor without appreciable decreasing obesity among the wealthy. At a gross domestic product (GDP) per capita of $8,000, the prevalence of obesity is no longer the highest among those in the top wealth decile ($10,000 for overweight), and at $30,000, obesity prevalence among those in the poorest decile is higher than among the wealthiest (