Browsing by Author "Bonomo, Marco Antônio Cesar"
Now showing items 1-20 of 23
-
3rd. Global Conference Business Cycles - Abertura
2013-05-09 -
A aleatoriedade do passeio na BOVESPA: testando a eficiência do mercado acionário brasileira
2000-10-01We tested two versions of the random walk model for portfolios of Brazilian stocks. We found evidence of persistency in daily and weekly returns, rejecting the random walk models. Those evidences are weaker in recent ... -
Aprendizado Evolucionário, Inércia Inflacionária e Recessão em Desinflações Monetárias
2000-11-01Este artigo busca justificar a evidência casual de que desin‡ações monetárias tendem a ser acompanhadas de queda no produto utilizando-se doarcabouç odaTeoriados Jogos Evolucioná rios. A aplicaç ã odeste arcabouç otem oseu ... -
Arbitrage Pricing Theory (APT) e variáveis macroeconômicas: um estudo empírico sobre o mercado acionário brasileiro
1999-04Este trabalho utiliza retornos mensais de 10 portfólios de ações negociadas na Bovespa entre 1987 e 1997, a fim de testar a validade empírica do modelo APT. Foram criadas variáveis macroeconômicas como fatores de variância ... -
Are one-sided S,s rules useful proxies for optimal pricing rules?
2000-02-01This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. It aims to assess whether one-sided pricing rules could be an ... -
Debt composition and exchange rate balance sheet effects in Brazil: a firm level analysis
2004-03-01In this paper we study the interaction between macroeconomic environment and firms’ balance sheet effects in Brazil during the 1990’s. We start by assessing the influence of macroeconomic conditions on firms’ debt composition ... -
Elections and exchange rate policy cycles
2001-10-01 -
Electoral cycles through lobbying
2010In this paper, we build a framework where the interplay between the lobby power of special interest groups and the voting power of the majority of the population leads to political business cycles. We apply our setup to ... -
Endogenous time-dependent rules and inflation inertia
2004In this paper, we endogenize fixed price time-dependent rules to examine the output effects of monetary disinflation. We derive the optimal rules in and out of inflationary steady states, and develop a methodology to ... -
Endogenous time-dependent rules and inflation inertia: preliminary version
1999-06When policy rules are changed, the effect of nominal rigidities should be modelled through endogenous pricing rules. We endogenize Taylor (1979) type pricing rule to examine the output effects of monetary disinflations. ... -
Endogenous time-dependent rules and the costs of disinflation with imperfect credibility
2003-10-09This paper examines the output effects of monetary disinflation in a model with endogenous time-dependent pricing rules and imperfect credibility of the disinflation policy. We find that these features interact to generate ... -
Estimating strategic complementarity in a state-dependent pricing model
2013-05Apresentação dos palestrantes Marco Bonomo - Insper e Tiago Berriel - FGV EPGE no contexto do evento "3rd Global Conference - Business Cycles". Mais informações em: <http://epge.fgv.br/conferencias/business-cycles/pt/index.php>. -
Generalized disappointment aversion, long-run volatility risk, and asset prices
2011We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ... -
Imperfectly credible disinflation under endogenous time-ependent pricing
2005-08-01The real effects of an imperfectly credible disinflation depend critically on the extent of price rigidity. Therefore, the study of how policymakers’ credibility affects the outcome of an announced disinflation should not ... -
The macroeconomic effects of infrequent information with adjustment costs
2000-05-01We extend the macroeconomic literature on Sstype rules by introducing infrequent information in a kinked ad justment cost model. We first show that optimal individual decision rules are both state-and -time dependent. We ... -
Optimal-state-dependent rules, credibility, and inflationary inertia
1997-06-05This paper examines the output losses caused by disinflation and the role of credibility in a model where pricing mIes are optimal and individual prices are rigid. Individual nominal rigidity is modeled as resulting from ... -
The political economy of exchange rate policy in Brazil: 1964-1999
1999-01-01This paper was developed as part of a broader research program on the political economy of exchange rate policies in Latin America and the Caribbean. We are grateful for helpful comments and suggestions from Jeff Frieden, ... -
Regras monetárias e dinâmica macroeconômica no Brasil: uma abordagem de expectativas racionais
2001-02-01In this article, we estimate and simulate an open rational expectations macro model for the Erazilian economy. Our goal is to identify the features of optimal monetary rules and their consequences for the model's shortterm ... -
Retornos anormais e estratégias reversas
2003-06-25Neste artigo testamos a hipótese de que estratégias que compram carteiras de ações perdedoras e vendem carteiras de ações vencedoras geram retornos anormais no Brasil. Esta evidência, obtida para o mercado americano para ...
