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An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...
Time-dependent or state-dependent pricing?: evidence from firms' response to inflation shocks
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper proposes a test for distinguishing between time-dependent and state-dependent pricing based on whether the timing of pricing changes is affected by realized or expeted inflation. Using Brazilian data and exploring ...
Credit shocks and monetary policy in Brazil: a structural FAVAR approach
(Sociedade Brasileira de Econometria, 2012-04-25)
This paper investigates the implications of the credit channel of the monetary policy transmission mechanism in the case of Brazil, using a structural FAVAR (SFAVAR) approach. The term structural comes from the estimation ...
SAMBA: stochastic analytical model with a Bayesian approach
(Sociedade Brasileira de Econometria, 2015-03-03)
We develop and estimate a DSGE model for the Brazilian economy as part of the macroe-conomic modeling framework of the Central Bank of Brazil. The model combines the building blocks of standard DSGE models (e.g., price and ...
Sustainable clubs under variable participation
(Sociedade Brasileira de Econometria, 1999-11-02)
In this paper we examine a two-period static club economy where individuals of distinct types decide whether or not to subscribe to clubs at each period. We show that neither facility sizes nor consumption group sizes are ...
Labor supply, criminal behavior and income redistribution
(Sociedade Brasileira de Econometria, 2009-12-01)
This paper develops an overlapping generations model of criminal behavior, which extends prior research on crime by taking into account individuals’ labor supply decisions and the stigma effect that affects convicted ...
Are one-sided S,s rules useful proxies for optimal pricing rules?
(Sociedade Brasileira de Econometria, 2000-05-01)
This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. IT aims to assess whether one-sided pricing rules could be an ...
Forecasting the Brazilian term structure using macroeconomic factors
(Sociedade Brasileira de Econometria, 2014-03-26)
This paper studies the forecasting of the Brazilian interest rate term structure using common factors from a wide database of 171 macroeconomic series, from the period of January 2000 to May 2012. Firstly the model proposed ...
Determinants of the differential pricing between voting and non-voting shares in Brazil
(Sociedade Brasileira de Econometria, 2003-05-01)
Several papers suggest that private benefits can explain the differential pricing between share classes with differential voting rights. However, in Brazil the price differential between voting and non-voting shares has ...
Pricing options embedded in debentures with credit risk
(Sociedade Brasileira de Econometria, 2016-03-10)
In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ...