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Time-dependent or state-dependent pricing?: evidence from a large devaluation
(Sociedade Brasileira de Econometria, 2016-11-01)
State-dependent and time-dependent price setting models yield distinct implications for how frequency and magnitude of price changes react to shocks. This note studies pricing behavior in Brazil following the large devaluation ...
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 ...
The high frequency impact of macroeconomic announcements in the Brazilian futures markets
(Sociedade Brasileira de Econometria, 2016-11-01)
The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 ...