RSS 1.0FGV EESP - Textos para Discussão / Working Paper Series
FGV EESP - Textos para Discussão / Working Paper Series
Envios recentes
Itens para a visualização no momento 1-20 of 456
-
Portfolio pumping no mercado acionário brasileiro
(2018-03)Neste artigo, discutimos a prática de portfolio pumping para o caso brasileiro. Embora o tema seja frequente em outros países, são poucos os estudos que realizam essa análise para o Brasil. O estudo estatístico foi realizado ... -
On the robustness of the principal volatility components
(2018-03)In this paper, we analyse the recent principal volatility components analysis procedure. The procedure overcomes several diculties in modelling and forecasting the conditional covariance matrix in large dimensions arising ... -
Uncertainty times for portfolio selection at financial market
(2018-03)The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ... -
Mudança de regime e efeito ARCH em volatilidade: um estudo dos choques das cotações do Petróleo
(2018-03)O petróleo é uma importante commodity energética, sendo insumo em diferentes atividades, possuindo efeito direto ou indireto sobre vários setores na economia. Esta commodity tem preços instáveis, resultado de choques ... -
Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
(2018-03)Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ... -
Effects of official and unofficial central bank communication on the Brazilian interest rate curve
(2018-03)In order to provide greater transparency in their opinions and decisions, central banks around the world use both their official channels and the specialized media to communicate with the general public. Using an unique ... -
The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis
(2018-02)Using market-wide data from the Brazilian stock lending market, we find strong evidence of short-selling skill for some institutions and individuals. Skilled short-sellers present out-of-sample performance persistence, ... -
Modeling how macroeconomic shocks a ect regional employment: analyzing the Brazilian formal labor market using the global VAR approach
(2018-02)Assessing linkages across different regions and how macroeconomic shocks spread out across regions is not an easy task. In this study we address this problem using a global vector autoregressive methodology that deals with ... -
Individuals neglect the informational role of prices: evidence from the stock market
(2018-02)We find that a stock price fall in itself induces individual investors to buy the stock. That is, individuals neglect the negative information that may be attached to a stock price fall. Our identification strategy uses ... -
Tax evasion, testosterone and personality traits
(2018-02)High testosterone levels in men may inhibit tax evasion. From a laboratory experiment with 121 young men, we present suggestive evidence that putative markers of prenatal and pubertal testosterone exposure and some personality ... -
Optimal paternalistic health and human capital policies
(2018-02-16)We study optimal human and health linear policies when there is a paternalistic motive to overcome present bias problems of agents with heterogeneous cognitive skills. The paternalistic intervention rewards individuals for ... -
Secular stagnation in the framework of rentier-financier capitalism and globalization
(2017-10)Rentier-financier capitalism, neoliberalism and globalization have been in a crisis since 2008. It is characterized by low growth rates, quasi-stagnant wages and increase of inequality since rentiers replaced business ... -
The economics and the political economy of new-developmentalism
(2017-10)This paper resumes new developmentalism – a theoretical framework being defined since the early 2000s to understand middle-income countries. It contains a political economy, the beginning of a microeconomics and a ... -
Impacto do decreto 8.058/13 sobre investigações antidumping no Brasil
(2017-09)O Decreto 8.058/13 alterou procedimentos relativos às investigações antidumping no Brasil. Um dos objetivos do novo decreto, conforme disposto no Plano Brasil Maior (2011), foi intensificar a defesa comercial, reduzindo-se ... -
Dynamic coordination with timing frictions: theory and applications
(2017)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 ...
