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Hysteresis vs. natural rate of unemployment in Brazil and Chile
(Routledge Journals, Taylor & Francis Ltd, 2008)
This article examines the hysteresis hypothesis in the unemployment rates of Brazil and Chile using an LM unit root test with two endogenous breaks. The phenomenon is confirmed for both countries. However, the hysteresis ...
The macroeconomic determinants of the term structure of inflation expectations in Brazil
(Sociedade Brasileira de Econometria, 2015-10-05)
This paper aims to analyze the dynamics of inflation expectations according to macroeconomics conditions. To this end, we extract the expected inflation curve implied by indexed bonds and then estimate a dynamic factor ...
An empirical model of the Brazilian country risk - An extension of the beta country risk model
(2006)
This paper develops a statistical model to study the Brazilian country risk using a country beta model in the spirit of Harvey and Zhou (1993), Erb et al. (1996a, b) and Gangemi et al . (2000). Specifically, the impact of ...
Presidents and cabinets: the political determinants of fiscal behavior in Latin America
(Transaction Period Consortium, 2004-05)
What political factors drive fiscal behavior in Latin America's presidential democracies? This work seeks to identify the political determinants of the level of public spending and the primary balance of ten democratic ...
Uma análise da relação entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA
(Revista Espacios, 2016)
The most liquid shares of the IBOVESPA index, reflect the behavior of stocks in general, and the relationship of macroeconomic variables in their behavior and are among the most actively traded securities in the Brazilian ...
Do shocks last forever? Local persistency in economic time series
(2007)
While it is recognized that many macroeconomic time series are highly persistent over certain range, less persistent results are also found around very long horizons, indicating the existence of local or temporary persistency. ...
L(1)-regularization of high-dimensional time-series models with non-gaussian and heteroskedastic errors
(Elsevier Science Sa, 2016-03)
We study the asymptotic properties of the Adaptive LASSO (adaLASSO) in sparse, high-dimensional, linear time-series models. The adaLASSO is a one-step implementation of the family of folded concave penalized least-squares. ...
Forecasting the Brazilian yield curve using forward-looking variables
(Elsevier Science Bv, 2017-03)
This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to predict the Brazilian term structure of interest ...
A structuralist inflation curve
(Wiley-Blackwell, 2014-05)
This paper presents a structuralist model of inflation and applies it to the US economy. The model uses a mark-up rule to specify inflation as a function of income distribution and capacity utilization, as usual in ...
O que determina o preço das ações?: exame empírico do mercado brasileiro pré-subprime (1994-2007)
(Revista Eletrônica de Administração, 2013)
Uma parcela da literatura de finanças sugere que o comportamento dos preços das ações parecem não poder ser integralmente explicados a partir de variáveis econômicas. Nessa linha de pesquisa, estudos têm encontrado evidências ...