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Essays on Empirical Asset Pricing, Employment Dynamics, and Labor Income.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Essays on Empirical Asset Pricing, Employment Dynamics, and Labor Income./
Author:	Saurin, Rodrigo Kappel.
Published:	Ann Arbor : ProQuest Dissertations & Theses, : 2020,
Description:	112 p.
Notes:	Source: Dissertations Abstracts International, Volume: 81-12, Section: A.
Contained By:	Dissertations Abstracts International81-12A.
Subject:	Labor economics. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=27743885
ISBN:	9798645487690

Essays on Empirical Asset Pricing, Employment Dynamics, and Labor Income.
Saurin, Rodrigo Kappel.

Essays on Empirical Asset Pricing, Employment Dynamics, and Labor Income. - Ann Arbor : ProQuest Dissertations & Theses, 2020 - 112 p.

Source: Dissertations Abstracts International, Volume: 81-12, Section: A.

Thesis (Ph.D.)--University of Georgia, 2020.

This item must not be sold to any third party vendors.

Using employee-employer matched data and stock market returns at monthly frequencies, the first chapter investigates the interplay of labor productivity, relative prices, and stock market risk in determining the dynamics of labor across tradable and non-tradable sectors in Brazil. Aggregate stock market risk and discounting risk were found to have no relationship with both non-tradable and tradable sector employment, indicating that Tirskikh's (2019) mechanism could not explain the dynamics of employment across sectors in Brazil. In addition, I document evidence of the relative price mechanism argued in Bodestein et al (2018). During the commodity price boom episode, the fall in relative prices caused tradable employment to shrink in Brazil. Among firms in the non-tradable sector, the real exchange rate appreciation entailed expansion of employment. Labor productivity was found to impact employment expansion only in the tradable sector.In the second chapter, I investigate properties of the income process of workers in distinct economic sectors using Brazilian Relacao Anual de Informacoes Sociais (RAIS). Applying Cubas and Silos (2017) framework, I find the same type of risk-return trade-offs of the US labor market in Brazil. Whereas the variance of the transitory component of incomes is responsible for driving a wedge on earnings across different Brazilian economic sectors, the variance of the permanent component of labor income had no explanatory power on driving wage inequality across sectors.At last, using employee-employer matched data linked to financial information of publicly traded firms, the third chapter investigates the existence of rent-sharing and holdup issues in Brazil. Using Card et al (2014) framework, I report mixed evidence of rent-sharing in the Brazilian labor market. I also find mixed evidence of investment holdup in Brazil. Conclusions related to rent-sharing and holdup are contingent on model specification. I instrument rents on one and two period lags of firm revenues per worker. Holdup issues persist on 2SLS regressions, and some degree of rent-sharing is unveiled. Rent elasticities in Brazil range from 7-16% similar to studies worldwide.

ISBN: 9798645487690Subjects--Topical Terms:

642730
Labor economics.
Subjects--Index Terms:

Asset pricing

Essays on Empirical Asset Pricing, Employment Dynamics, and Labor Income.
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300 $a 112 p.
500 $a Source: Dissertations Abstracts International, Volume: 81-12, Section: A.
500 $a Advisor: Schmutte, Ian M.
502 $a Thesis (Ph.D.)--University of Georgia, 2020.
506 $a This item must not be sold to any third party vendors.
520 $a Using employee-employer matched data and stock market returns at monthly frequencies, the first chapter investigates the interplay of labor productivity, relative prices, and stock market risk in determining the dynamics of labor across tradable and non-tradable sectors in Brazil. Aggregate stock market risk and discounting risk were found to have no relationship with both non-tradable and tradable sector employment, indicating that Tirskikh's (2019) mechanism could not explain the dynamics of employment across sectors in Brazil. In addition, I document evidence of the relative price mechanism argued in Bodestein et al (2018). During the commodity price boom episode, the fall in relative prices caused tradable employment to shrink in Brazil. Among firms in the non-tradable sector, the real exchange rate appreciation entailed expansion of employment. Labor productivity was found to impact employment expansion only in the tradable sector.In the second chapter, I investigate properties of the income process of workers in distinct economic sectors using Brazilian Relacao Anual de Informacoes Sociais (RAIS). Applying Cubas and Silos (2017) framework, I find the same type of risk-return trade-offs of the US labor market in Brazil. Whereas the variance of the transitory component of incomes is responsible for driving a wedge on earnings across different Brazilian economic sectors, the variance of the permanent component of labor income had no explanatory power on driving wage inequality across sectors.At last, using employee-employer matched data linked to financial information of publicly traded firms, the third chapter investigates the existence of rent-sharing and holdup issues in Brazil. Using Card et al (2014) framework, I report mixed evidence of rent-sharing in the Brazilian labor market. I also find mixed evidence of investment holdup in Brazil. Conclusions related to rent-sharing and holdup are contingent on model specification. I instrument rents on one and two period lags of firm revenues per worker. Holdup issues persist on 2SLS regressions, and some degree of rent-sharing is unveiled. Rent elasticities in Brazil range from 7-16% similar to studies worldwide.
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653 $a Income dynamics
653 $a Income risk
653 $a Rent-sharing
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