The Local Multiplier: Theory and Evidence. I show that 1) the policy-relevant "global multiplier" can be written as the sum of a spending component and a taxation component, all scaled up by spillover effects, 2) the "local multiplier" is exactly the spending com- ponent, and 3) if trade is anonymous, the local effects of a shock to federal government purchases in a county will be identical to the effects of a shock to consumer demand for the exports of that locality. I estimate a bound for the local multiplier and consider spillover effects to contiguous counties. I find that a shock of $48,000 creates at least one job-year locally. Analysis at a monthly frequency suggests that these jobs are more persistent than previously estimated. Evidence of higher multipliers in recessions is mixed. / Economics

[pt] O presente trabalho busca analisar se um choque de notícia falsa que afetou os preços das ações da construtora europeia Vinci S.A., em novembro de 2016, teve algum componente de persistência na dissipação. Para tal, são construídos três modelos contrafactuais para traçar as trajetórias alternativas de preço que as ações da Vinci teriam percorrido na ausência do choque. A premissa básica do presente estudo é que os preços das ações são compostos por fundamento e por ruído (noise), sendo um choque de notícia falsa uma espécie de fenômeno natural em finanças, que torna possível separar o ruído dos fundamentos que definem o preço. Quando a informação falsa é absorvida como verdadeira, todos os agentes se tornam propagadores de ruído, ao passo que quando o ruído é revelado, o mercado deveria voltar a operar apenas com base nos fundamentos. Os resultados aqui encontrados apontam para uma rigidez temporária na trajetória de retorno do preço das ações ao seu preço fundamental após o choque, o que contraria a hipótese da incorporação imediata da informação ao preço proposta por algumas teorias de mercados eficientes. Os modelos aqui propostos mostraram-se bem especificados e as suas conclusões se corroboraram, conferindo robustez ao resultado. / [en] The present paper seeks to analyze if a fake news shock that affected the stock prices of the European construction company Vinci S.A., in November 2016, had any component of persistence in its dissipation. The paper constructs three contractual models to trace alternative trajectories for the price that Vinci stocks would have followed in the absence of the shock.The basic premise of this paper is that asset prices are composed both by noise and fundamental, and a fake news shock is a sort of natural phenomena in finance that makes it possible to identify the noise and the fundamental that compose prices. When false information is taken as true, all agents become temporally noise traders and when the noise is revealed, the market comes back to operate based on fundamental. The models point to a temporary stickiness of noise during the return of the prices to their fundamentals after the shock, contradicting the assumption of immediate incorporation of information to the price proposed by some Efficient Market Theories. The models have demonstrated to be well specified and they all have pointed to the same conclusions, conferring robustness to the results.

The aim of this study is to gather insights into market efficiency and mechanisms that work in the financial markets. It provides a framework with an emphasis on liquidity and the failure of arbitrage that deepens our understanding of various financial crises. Described mechanisms are particularly relevant for the last financial crises - including 2007-2009, LTCM, and dot-com bubble. In the first chapter the concept of efficient markets is introduced. In the second chapter it is challenged from the point of view of noise trader theory and limits of arbitrage. The third chapter deals with market microstructure and liquidity. Last chapter shows importance and adverse effects of externalities, particularly of those causing liquidity spirals.