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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 ...
Modeling and forecasting of realized volatility: evidence from Brazil
(Sociedade Brasileira de Econometria, 2011-12-02)
Using intraday data for the most actively traded stocks of BOVESPA, this work has considered tworecently developed models in the literature of the estimation and forecasting of realized volatility; TheHeterogeneous ...
Simulação econométrica de estoques reguladores mundiais para cacau
(Sociedade Brasileira de Econometria, 1986-04-01)
This study evaluates alternative buffer stock policies for cocoa as an instrument to stabilize world market prices over the 1977-96 period. An econometric madel that explains production, stocks, demand and equilibrium ...
Hyperinflation: inflation tax and economic policy regime
(Sociedade Brasileira de Econometria, 2002-11-02)
This paper shows that price level indeterminacy in monetary models with multiple equilibria can be solved by the selection of an appropriate monetary policy regime, according to the demand elasticity of the real quantity ...
Integração, crescimento e bem-estar
(Sociedade Brasileira de Econometria, 1997-11-02)
We present a model of growth for the case of two economies with integrated markets and where transportation costs in the form of iceberg costs are imposed. These costs will have negative impact on growth rates after ...
Towards a truthful land taxation mechanism in Brazil
(Sociedade Brasileira de Econometria, 2001-05-01)
This paper shows that the asymmetric information present in the relationship between the government and agricultural producers has led to persistent problems in the application of land taxes (Imposto Territorial Rural - ...
Voting premium in the Brazilian equity market
(Sociedade Brasileira de Econometria, 2014-03-26)
This study aims to estimate the control premium in the Brazilian stock market, based on the dual-class price differential. We first show that the average control premium is positive from July 2003 to June 2013. This is ...
A distribuição de probabilidade dos retornos das ações no Brasil: uma abordagem não-paramétrica
(Sociedade Brasileira de Econometria, 1995-04-01)
In this paper we estimate the probability distribution function of the daily return on stock of four Brazilian companies, using a non-parametric method, namely, the kernel estimator. Besides, as a comparison, we have ...
Time-series properties and empirical evidence of growth and infrastructure
(Sociedade Brasileira de Econometria, 1998-05-01)
After more than forty years studying growth, there are two classes of growth models that have emerged: exogenous and endogenous growth models. Since both try to mimic the same set of long-run stylized facts, they are ...
A study of the Brazilian business cycles (1900 - 2012)
(Sociedade Brasileira de Econometria, 2013-11-24)
This paper studies the Brazilian business cycles in the period of 1900 to 2012. Since the quarterly series of the actual GDP only starts in 1980 we had to build the series for the period of 1900 to 1979, using the time ...