Disaggregated impacts of macroeconomic shocks on the labor market in Brazil: an analysis using a FAVAR identified via heteroskedasticity

The increase in longevity and the gradual and accelerated aging of the world population are trends that highlight the needto pay attention to the peculiarities inherent to elderly citizens. The return or permanence of the elderly in the labor market often conditions them to a marginal job position, that is, retired still active or self-employed, since when the elderly is absorbed by the formal market, it is common that he accepts reduced wages and no work records, a fact that justifies the option of many elderly workers to work on their own in informality. On the other hand, the best opportunities to keep a job after retirement or re-entering the labor market belong to the more qualified elderly, with a higher level of education and, above all, to those who do not have manual labor activities. Thus, the objective of this research is to analyze the dynamics of performance of the elderly in the formal labor market, from the perspective of the level of education. Therefore, the methodological procedures used in the research will be of a qualitative and quantitative approach, from the point of view of the objectives, it is presented as an exploratory and descriptive research, as technical procedures it is presented as bibliographical, from the data collection of the Continuous PNAD, in the period between 2012 and 2020. This study hopes to understand the different aspects of the elderly in the Brazilian labor market, in addition to raising theoretical data that may allow the formulation of public policy proposals and the participation of public and private initiatives in projects for the insertion of the elderly into the labor market

Purpose This paper deals with the insertion of workers aged 50 years or more in the Brazilian labor market. Considering this question, the purpose of this paper is to raise evidence about the existence of ageism – prejudice against that age range. The paper identifies the characteristics of participation by workers age 50 or older in Brazil’s formal labor market. The paper also identifies whether and how the specific issues of these workers are handled in the individual employment contract, with the human resources management (HRM) policies and practices of a group of companies. Design/methodology/approach The study applied a quantitative approach in an analysis of the older population in the Brazilian labor market (Annual Social Information Report (RAIS) database and “MEPT” survey database – 2011/2016). The RAIS data are collected annually by the Ministério do Trabalho e Emprego – MTE, coming from all establishments with or without formal employees, whether statutory (public servants) or private organizations. MEPT survey is an annual study focused on quality of the organizational environment and HRM practices (organizations participate voluntarily). A qualitative approach was applied also in a document content analysis on information about HRM policies and practices based on MEPT companies’ research evidence reports. Findings There is evidence of ageism among private companies in Brazil with better HRM. These companies hire proportionally less old workers than the market and their HRM policies and practices scarcely handle with employees. The workers age 50 and over among the workers employed (private and mixed capital companies) have growing participation in the labor market. The profile of these workers is predominantly male, higher level education considering the market average, and working under longer lasting formal contracts comparing all workers combined. People involved in the individual hiring of workers from this age group do not even give this subject much attention. Research limitations/implications The specific objective of verifying if and how the specific issues that workers of 50 years and older are dealing; in the individual hiring for work, encountered limitations based on the restricted character of the data presented. In particular, the information related to the best companies (MEPT) is representative only of its own group and thus is restricted to the private sector. Although this cannot be generalized, they offer support for reflections on the subject. Practical implications This paper shows how companies with advanced HRM handle with older workers in their policies and practices. Social implications This work points out that that the aging of workers will be a problem to be discussed by the companies HRM in the future. Originality/value This paper identifies the need to study how companies will deal with the increasing number of older workers.

ABSTRACTGDP forecasting remains a challenge for a small open developing economy. Faced with insufficient and low-frequency data, central bank forecasters cannot project GDP reliably for the purpose of monetary policy decision-making. An attempt is made to forecast GDP using a factor-augmented vector autoregressive (FAVAR) model for a small open developing economy. The forecasting accuracy of the FAVAR model is examined through sequential forecasts and benchmarked against a Bayesian vector autoregressive (BVAR) model. The main finding of this study is that a FAVAR model can generate consistent GDP projections for a small open developing economy despite data inadequacy.

The factor-augmented vector autoregressive (FAVAR) model, first proposed by Bernanke, Bovin, and Eliasz (2005, QJE), is now widely used in macroeconomics and finance. In this model, observable and unobservable factors jointly follow a vector autoregressive process, which further drives the comovement of a large number of observable variables. We study the identification restrictions in the presence of observable factors. We propose a likelihood-based two-step method to estimate the FAVAR model that explicitly accounts for factors being partially observed. We then provide an inferential theory for the estimated factors, factor loadings and the dynamic parameters in the VAR process. We show how and why the limiting distributions are different from the existing results.

I investigate how motherhood impacts women in the Brazilian labor market. Social norms that regard women's role as more "family-oriented," unequal division of non-market work, and the lack of accessible free childcare for all working mothers could impact their labor supply, wages, and career path. Using an administrative linked employer-employee dataset, I estimate children's impact on several labor market outcomes through an event-study methodology comparing mothers and non-mothers. While a child's birth is associated with a decline in the mother's earnings, participation in the formal labor market, and the probability of holding a managerial position, it is also associated with an increase in participation in the public sector and part-time jobs. In addition, I found that employment penalties are reduced if women are wealthier, college-graduated, and public sector employees. Further, I use household survey data to investigate short-run gender differences in child penalties. I find a decrease in motherswages, employment, and an increase in the probability of holding an informal job after the stability period in the formal labor market. Men do not present changes in labor market outcomes due to parenthood.

We study the trajectory of the gender gap over time and over the life cycle, using a matched employer-employee data from the formal labour market in Brazil. We document the evolution of participation and earnings for both males and females during the period 1994-2015 and the gender earnings gap throughout the life cycle for different birth cohorts. We focus on the cohort of workers (male and female) born between 1967 and 1974, who were working in 1994, in order to understand the roles that occupation/industry and establishment play on the gender gap pattern throughout the life cycle and for different education levels. We find that the gender earnings gap increases with the educational level. For instance, at 40 years of age, women without high school degrees earned on average 28.8 per cent less than men with the same level of education and for the group with high school and college degrees, this difference was 32.6 and 47.4 per cent, respectively. After controlling for the occupation/industry and firm's characteristics, we observe a remaining gender earnings gap lower than 20 per cent and greater than 10 per cent over the entire career and independent of the educational level.

PurposeThis paper investigates the impact of a monetary policy shock on the production of a sample of 312 industries in manufacturing, mining and utilities in the United States using a factor-augmented vector autoregression (FAVAR) model.Design/methodology/approachThe authors use a FAVAR model that builds on Bernanke et al. (2005) and Boivin et al. (2009). The main assumption in this model is that the dynamics of a large set of macro variables are captured by some observed and unobserved common factors. The unobserved factors are extracted from a large set of macroeconomic data. The key advantage of using this model is that it allows extracting the impulse responses of a wide range of macroeconomic variables to structural shocks in the federal funds rate.FindingsThe results indicate that industries exhibit differential responses to an unanticipated monetary policy tightening. In general, manufacturing industries appear to be more sensitive compared to mining, and utility industries and durable manufacturing industries are found to be more sensitive than those within nondurable and other manufacturing industries to a monetary policy shock. While all industries respond to the policy shock, most of the responses are reversed between 12 and 22 months.Research limitations/implicationsThe implication of our results is that monetary policy can be used to impact most US industries for four years and beyond. The existence of disparate responses across industries underscores the difficulty of implementing a monetary policy that will generate the same impact across industries. As the effects of the policy are distinct, policymakers may want to attend to the unique impacts and implement industry-specific policy.Practical implicationsThe study is important in the context of the current challenges in the US economy caused by the spread of coronavirus. For example, to tackle the current pandemic, the researchers are trying to come up with cures for COVID-19. A considerable response of the chemical industry that provides materials to pharmaceutical and medicine manufacturing to the monetary policy shock implies that an expansionary monetary policy may facilitate an invention and adequate supply of the cure later on. The same policy may not effectively stimulate production in apparel or leather product industries that are being hard hit by the pandemic.Originality/valueThe study contributes to the literature in broadly two aspects. First, to the best of our knowledge, this is the first paper that investigates the impact of a monetary policy shock on a sample of 312 industries in manufacturing, mining and utilities in the US. Second, to identify structural shocks and investigate the effects of monetary policy shocks on economic activity, the authors diverge from the literature's traditional approach, i.e. the vector autoregression (VAR) method and use a FAVAR method. The FAVAR provides a comprehensive description of the impact of a monetary policy innovation on different industries.

We introduce a time-varying (TV) factor-augmented vector autoregressive (FAVAR) model to capture the TV behavior in the factor loadings and the VAR coefficients. To consistently estimate the TV parameters, we first obtain the unobserved common factors via the local principal component analysis (PCA) and then estimate the TV-FAVAR model via a local smoothing approach. The limiting distribution of the proposed estimators is established. To gauge possible sources of TV features in the FAVAR model, we propose three L 2 -distance-based test statistics and study their asymptotic properties under the null and local alternatives. Simulation studies demonstrate the excellent finite sample performance of the proposed estimators and tests. In an empirical application to the U.S. macroeconomic dataset, we document overwhelming evidence of structural changes in the FAVAR model and show that the TV-FAVAR model outperforms the conventional time-invariant FAVAR model in predicting certain key macroeconomic series.

Modeling How Macroeconomic Shocks Affect Regional Employment: Analyzing the Brazilian Formal Labor Market Using the Global VAR Approach

Environmental policy in the European Union is a frequent topic when speaking about a strategic development of national economies, their sectors, or companies. This paper is focused on transmissions between the European carbon market and the Czech steel industry. This relationship is worth exploring for two main reasons – first, iron and steel industry is responsible for a substantial part of CO2 pollution covered by the European Union emissions trading system (EU ETS) and, second, this sector is a traditional and vital industry in the Czech Republic. We use the dynamic Factor Augmented Vector Autoregression (FAVAR) model and Granger causality analysis to identify and assess the interactions between the factors of the EU ETS (prices of emission allowances and grandfathering), and factors of the steel industry like prices and amounts of production. To the best of our knowledge, this is the first application of the FAVAR model to analyse an industrial sector, and it is also the first analysis of the given topic where so many influencing factors are involved (this is allowed by the FAVAR model). The main results show that steel companies in the Czech Republic pass through the emission costs to customers.

This article analyses the labour market inclusion of young Brazilians, especially poor ones, by measuring the impact of the Bolsa Família programme on the process. Using data from the 2015 National Household Survey (PNAD), an exploratory analysis was conducted and the propensity score matching technique applied. Young people were found to have particular difficulty in entering the labour market, while poor young people were even more excluded, suffering high rates of unemployment and informality and receiving the lowest wages. The study also found that the Bolsa Família programme had no effect on the inclusion of young beneficiaries in the formal labour market, while there was a negative impact on participants’ incomes. However, no “sloth effect” was observed.

Commodity index trading in futures markets is a relatively new investment strategy whose consequences are not fully understood. This paper tests the hypothesis that long-only, passive index trading in agricultural futures markets influences futures prices. Vector Autoregressive (VAR) models are a common empirical research approach for analyzing index trading. Factor-Augmented Vector Autoregression (FAVAR) models are a new approach to analyzing index trading. FAVAR models can incorporate a large data set into the traditional VAR framework. Using a FAVAR model improves the analysis by including additional market factors relevant to futures price formation. Models were estimated for 13 agricultural commodities (corn, soybean, soybean oil, soybean meal, soft red winter wheat, hard red winter wheat, cotton, cocoa, sugar, coffee, live cattle, feeder cattle, and lean hog) from January 2006 to December 2022. The results demonstrate the added value of FAVAR models in explaining the dynamics between prices and index trading. The conclusions are similar to other findings that prices lead index positions; however, adding demand-related data through a FAVAR model allows for a better understanding of market dynamics.

The increasing relevance of labor outsourcing has improved and deepened the debate on the quality of job opportunities provided by labor market intermediaries and their relationship with the job seekers in different parts of the world. This dissertation aims at contributing to this debate and has three main goals: first, reflect on the structure and recent transformations in the Brazilian labor market; second, analyze the growth and changing importance of private intermediaries in this market; third, scrutinize crosssectional and longitudinal data provided by the Brazilian Ministry of Labor (RAIS data basis) on the dynamics of formal jobs in So Paulo Metropolitan Region, during 1998 and 2007, in order to investigate if the access to temporary and/or outsourced jobs can provide the workers with a carrier in the formal labor market or instead only allows them to engage in a sequence of fragile and unstable employment contracts.

Employing Factor Augmented Vector Autoregression (FAVAR) model where factors are obtained using the principal component analysis (PCA) and the parameters of the model are estimated using Vector Autoregression framework, we analyse how changes in monetary policy variables impact inflation, output, money supply, and the financial sector in India. Our results for the period 2001:04 to 2016:03 show that the benchmark FAVAR model showed more reliable results than baseline VAR model. Benchmark FAVAR model shows the existence of weak ‘liquidity puzzle’ in India. The impulse responses from the FAVAR approach reveal that monetary policy is more efficient in explaining the variations in inflation rather than stimulating output indicating its effectiveness in attaining the objective of price stability.

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