Buscar
Mostrando ítems 31-40 de 79
Risk regulation in Brazil: a general equilibrium model
(Sociedade Brasileira de Econometria, 2006-05-01)
In the last few years, regulating agencies of many countries, following recommendations of the Basel Committee on Banking Supervision, have compelled financial institutions to maintain minimum capital requirements to cover ...
Investment-specific technological change and the Brazilian macroeconomy
(Sociedade Brasileira de Econometria, 2015-03-03)
This study discusses the importance of investment-specific technological change for the brazilian macroeconomy. We document evidence that a model that takes this specific type of technical progress into account is better ...
A Keynesian model of nominal wage rigidity
(Sociedade Brasileira de Econometria, 1990-04-01)
We present a Model that reflects Keynes' intuition concerning nominal wage rigidity: workers like to keep their relative status on society. Several results are presented, including the analysis of the influence of risk ...
Dynamic hedging with stochastic differential utility
(Sociedade Brasileira de Econometria, 2006-11-01)
In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and a new utility transformation which includes features from the two ...
Profit sharing with heterogeneous entrepreneurial prowess
(Sociedade Brasileira de Econometria, 1995-11-02)
This paper analyses the impact of the compulsory adoption of profit sharing on the incentives that individuals face to set up their own business. It presents a model of capital accumulation in which individuals are equally ...
Pricing and modeling credit derivatives
(Sociedade Brasileira de Econometria, 2007-05-01)
The market involving credit derivatives has become increasingly popular and extremely liquid in the most recent years. The pricing of such instruments offers a myriad of new challenges to the research community as the ...
Extracting default probabilities from sovereign bonds
(Sociedade Brasileira de Econometria, 2008-05-01)
Sovereign risk analysis is central in debt markets. Considering different bonds and countries, there are numerous measures aiming to identify the way risk is perceived by market participants. In such environment, probabilities ...
Idiosyncratic moments and the cross-section of stock returns in Brazil
(Sociedade Brasileira de Econometria, 2016-11-01)
This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...
Approximating risk premium on a parametric arbitrage-free term structure model
(Sociedade Brasileira de Econometria, 2014-11-14)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...
Rational expectations, income policies and game theory
(Sociedade Brasileira de Econometria, 1986-11-02)
Rational expectations are viewed as a Nash equilibrium of a game. If a change of regime occurs, it is argued that it is very unlikely that the economy is going to achieve the new equlibrium at once. In fact, one can show ...