EESP - MPFE: Dissertações, Mestrado Profissional em Finanças e Economia

Crescimento, distância para a fronteira tecnológica e qualidade do capital humano

Bádue, Frederico de Oliveira (2017-05-22)

Examino neste trabalho as relações entre crescimento econômico, distância para a fronteira tecnológica e qualidade do capital humano. Demonstro a importância da qualidade da educação para o crescimento econômico. Mais ...

Estimação de equivalentes tarifários no comércio internacional de serviços

Pereira, João Ricardo de Loiola Macedo (2017-02-17)

Services account for more than 70% of total production in the world economy. However, international trade in this sector represents only 21% of total world trade. Literature suggests major impediments to further expansion ...

Investigação do comportamento do câmbio nominal brasileiro em relação aos fundamentos econômicos baseados na Regra de Taylor

Miguens, Gabriel Perlott (2017-02-17)

The objective of this paper is to analyze the relationship between the Brazilian nominal exchange rate and the economic fundamentals, defined according to the Taylor rule. The transitory and permanent decomposition method ...

Multiplicadores fiscais em condições de choques de oferta ou demanda: uma análise da economia brasileira entre 1996 e 2016

Magalhães, Sérgio Lemos de (2017-02-16)

The work evaluates the behavior of the Brazilian government spending fiscal multiplier between 1996 and 2116. Through a SVAR model, it was analyzed the behavior of the multiplier given a shock in government spending. In ...

Financialization of the commodity future markets: a SVAR model approach

Momoli, Tommaso (2017-01-25)

This is a study regarding the impact of the index investments in the Commodity Future Market. The models applied, focus on the Causal Analysis and the Impulse Response Function through an orthogonalisation of the Vector ...

The internationalization of Chinese RMB

Su, Wei (2017-02-16)

With the rise of China for the last 30 years, its currency RMB is gaining more presence in the international trading. The Chinese government has been sending positive signals for internationalizing its currency in the ...

Impacto do aumento no valor de cobertura do programa de seguro depósito brasileiro na concentração bancária

Verhalen, Gustavo Henrique (2017-02-22)

The banking industry is a poorly competitive market, there are several reasons related to this, entry costs are high, there are technological barriers to the creation of new banks, and there may be institutional barriers ...

Análise dos impactos econômicos e da inserção do Brasil em cadeias de valor globais devido às melhorias de eficiência portuária propostas no acordo de facilitação do comércio de Bali

Junqueira, Eduardo Lopes (2017-02-14)

This paper aims to understand the economic effect for Brazil and its ability to join Global Value Chains (GVC) when implementing the actions proposed in the Bali package, which intend to increase port efficiency (Trade ...

Estudo sobre o comportamento da liquidez no mercado acionário brasileiro

Kanenobu, Alexandre de Albuquerue (2017-02-17)

This work aims to study the behavior of stocks liquidity through two different optics. In the first case, we focused on the amplitude of the absolute return related to liquidity/illiquidity measures in the period from 2000 ...

Estimação do modelo APT (Arbitrage Pricing Theory) para o mercado brasileiro de FIIs

Shiratori, Carlo Eduardo (2017-02-12)

This thesis seeks to investigate the risk factors that determine the returns of the FIIs traded in the stock exchange and organized counter markets of the BVMF, through the estimation of the APT model, according to the two ...

Carbon markets efficiency : an empirical study on the key price determinants of the EU ETS from 2009 to 2016

Gonçalves, José Júlio Valente da Silva (2017-01-24)

This work project is an empirical study on the key price driven factors of the European Union Emissions Trading Scheme. The research examines the prices on the secondary market, from 2009 until 2016, comprehending the ...

Um estudo sobre arquitetura de redes neurais aplicado a previsão do retorno de ações brasileiras

Felizardo, Leonardo Kanashiro (2017-02-13)

In this work, we present a statistical analysis about the characteristics that we intend to influence in the performance of neural networks in terms of assertiveness. We created a population for analysis and extracted the ...

O comportamento inadimplente merece outra chance? Um estudo sobre a reincidência do default em empresas de varejo brasileiras

Monteiro, Bárbara Demétrio Salgado (2017-02-14)

The main objective of this study is to evaluate the propensity for the recurrence of default in the Brazilian retail companies’ credit market and to understand the main reasons that affect this propensity. For this purpose, ...

Replicação de índices de renda fixa em carteiras : caso do IMA-Geral

Fonseca, Renato Lobato (2017-02-10)

In this study, we discuss the index tracking problem in the context of passive investing strategy for mutual funds. A minimization of tracking error model was created using the variance-covariance matrix and expected return ...

Estudo de utilização de uma minimum spanning tree de correlações como seletora de ações em uma estratégia de cointegração no mercado brasileiro

Tomaz, Felipe Rodrigues de Menezes (2017-02-10)

This work aimed to evaluate the possibility of using a miminum spanning tree (MST) of correlation between assets as a selection tool in a pairs trading strategy based on cointegration. From a selection of Bovespa exchange ...

Financiamento ao consumo: efeito de parcelamento e juros sobre a demanda de eletroeletrônicos de consumidores com restrição de acesso a crédito

Almeida, Alexandre Otomo de (2017-02-09)

This paper consists of a study over the impact of interest rates and maturities of loans for electronics and home appliances in Brazil, designed for consumers with credit constraints. Using micro data on loans of one of ...