The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt. As the risk premium is a component of the interest rate set by the Brazilian central bank, its reduction would make ...

This paper proposes and tests market determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. The ultimate goal of this exercise is to demonstrate that the calculation ...

In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ...

En el presente trabajo un no-arbitrage stochastic model de 3 factores es calibrado para el cobre, utilizando predicciones de analistas de la Commodity Price Forecast de Bloomberg y precios futuros, obtenidos de COMEX y ...

This paper studies the determinant of the appropriate rate to fix transmission tolls. I develop a simple model that allows to decompose it in the sum of the risk-free rate and a risk premium. There are two general ...

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ...

The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under ...

The uncovered interest parity postulates the relationship between two currencies over time should be given by the nominal interest rate differential. However, for over four decades, the forward exchange rate fails as a ...