RSS 1.0EESP - Textos para Discussão / Working Paper Series
EESP - Textos para Discussão / Working Paper Series
Envios recentes
Itens para a visualização no momento 1-20 of 442
-
Dynamic coordination with timing frictions: theory and applications
We start by presenting the general model of dynamic coordination with timing frictions and some key theoretical results. We prove the model features a unique rationalizable equilibrium, present a method to solve the social ... -
Descobrindo e avaliando modelos de predição para a inflação brasileira: uma análise a partir de uma gama ampla de indicadores
(2017)Este trabalho visa avaliar o poder preditivo que séries macroeconômicas tem sobre o índice de preços ao consumidor amplo do brasileiro (IPCA) utilizando técnicas de séries de tempo. As previsões são realizadas para um ... -
Competition in cascades
(2017)Hydroelectric generation is the main source of energy production in many countries. When firms operate in the same river, or in cascades, the output of an upstream firm is the input of its downstream rival. We build a ... -
The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?
(2017)Financial events in 2008 had global impacts. We test whether U.S downturn had an impact on Brazilian economic activity and if it was unusual. We run policy ineffectiveness test (Pesaran and Smith [2014, 2016]) and Chow ... -
Smoothing quantile regressions
(2017)We propose to smooth the entire objective function rather than only the check function in a linear quantile regression context. We derive a uniform Bahadur-Kiefer representation for the resulting convolution-type kernel ... -
The government as a large shareholder: impact on corporate governance
(2017)What is the role that governments play as large shareholders of mixed-owned firms? By solving a bargaining model over investment decisions, we unveil two corporate governance effects of the government's activism as a large ... -
Arco: an artificial counterfactual approach for high-dimensional panel time-series data
(2017)We consider a new, flexible and easy-to-implement method to estimate causal effects of an intervention on a single treated unit and when a control group is not readily available. We propose a two-step methodology where in ... -
Disagreement in inflation forecasts and inflation risk premia in Brazil
(2017)The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former ... -
The perils of counterfactual analysis with integrated processes
(2017)Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ... -
How to neutralize the Dutch disease notwithstanding the natural resources curse
(2017)This paper discusses two closely related concepts – the Dutch disease and the natural resource curse – and a third one, exchange rate populism, associated to the curse. The Dutch disease is a long-term overvaluation of the ... -
Capital structure determinants of financially constrained and unconstrained firms
(2017)This paper discusses the determinants of capital structure with a focus on both publicly-owned and privately-owned firms. We use annual financial statement data for over 1,000 publicly-owned and privately-owned Brazilian ... -
Desenvolvimento econômico, sofisticação produtiva e valor-trabalho
(2017)In this paper, I discuss the historical (not the normative) concept of economic development, distinguish it from human development, reassert its identification with industrialization or structural change or productive ... -
The Economic Commission for Latin America (ECLA) was right: scale-free complex networks and core-periphery patterns in world trade
(2017)The main purpose of this paper is to apply big-data and scale-free complex network techniques to the study of world trade, with a specific focus on the investigation of ECLA and structuralist ideas. A secondary objective ... -
The resource curse reloaded: revisiting the Dutch disease with economic complexity analysis
(2017)This paper shows that the Dutch disease can be more formally characterised as low economic complexity using ECI-type indicators; there is a solid and robust inverse relationship between exports concentrating on natural ... -
Dotcom bubble and underpricing: conjectures and evidence
(2017)We provide conjectures for what caused the price spiral and the high underpricing of the dotcom bubble of 1999–2000. We raise two conjectures for the price spiral. First, given the uncertainty about the growth opportunities ... -
Mandatory IFRS adoption in Brazil and firm value
(2017)Using diff-in-diff approaches and the propensity-score matching, this study focuses on firm-level Tobin´s q and Market-to-book outcomes for Brazilian firms who in 2008 were required by Law 11.638/07 to adopt the full ... -
Disentangling the effect of private and public cash flows on firm value
(2017)This paper presents a simple model for dual-class stock shares, in which common shareholders receive both public and private cash flows (i.e. dividends and any private benefit of holding voting rights) and preferred ... -
Improving on daily measures of price discovery
(2017)We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead ... -
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
(2017)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 ... -
Teoria residual da política de dividendos: um experimento natural
(2017)Em 15 de dezembro de 1976, nova lei das sociedades por ações (S.As.) introduziu, entre outras inovações, a exigência de distribuição mínima obrigatória de resultados anuais ('dividendo mínimo obrigatório'). O presente ...
