Now showing items 1-10 of 13
The influence of macroeconomic factors on primary issues in the Brazilian market
This research analyses the influence of the macroeconomic factors on the primary issue of stocks and debentures in the Brazilian market. Previous studies have agreed on the importance of aspects of the economic situation ...
Can macroeconomic variables account for the term structure of sovereign spreads?: studying the Brazilian case
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2005-08-12)
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly ...
Unit roots and the welfare gains of cycle smoothing
(Escola de Pós-Graduação em Economia da FGV, 1996-05-30)
li consumption is log-Normal and is decomposed into a linear deterministic trend and a stationary cycle, a surprising result in business-cycle research is that the welfare gains of eliminating uncertainty are relatively ...
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-05)
Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number ...
What happens after the Central Bank of Brazil increases the target interbank rate by 1%?
(Escola de Pós-Graduação em Economia da FGV, 2005-03-10)
In this paper I use Taylor's (2001) model and Vector Auto Regressions to shed some light on the evolution of some key macroeconomic variables after the Central Bank of Brazil, through the COPOM, increases the target interest ...
Monetary policy and country risk
This article develops an econometric model in order to study country risk behavior for six emerging economies (Argentina, Mexico, Russia, Thailand, Korea and Indonesia), by expanding the Country Beta Risk Model of Harvey ...
Automatic model selection for forecasting Brazilian stock returns
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
Temporal causality between the exchange rate and the trade balance : the case of Brazil
(Escola de Pós-Graduação em Economia da FGV, 1998-10-15)
The paper assesses the impact of intemational relative prices and domestic expenditure variables on Brazil' s foreign trade performance in the first half of the 1990s. It has been argued that the appreciation of the Real ...
Does mixed frequency vector error correction model add relevant information to exchange misalignment calculus? Evidence for United States
Real exchange rate is an important macroeconomic price in the economy and a ects economic activity, interest rates, domestic prices, trade and investiments ows among other variables. Methodologies have been developed in ...