Now showing items 1-17 of 17

    • Applying a microfounded-forecasting approach to predict Brazilian inflation 

      Gaglianone, Wagner Piazza; Issler, João Victor; Matos, Silvia Maria
      2016
    • Commodity prices and global economic activity: A derived-demand approach 

      Duarte, Angelo José Mont'Alverne; Gaglianone, Wagner Piazza; Guillen, Osmani Teixeira Carvalho; Issler, João Victor
      2020
      This paper studies the interaction between commodity prices and global economic activity in a setup where a representative cost-minimizing firm chooses optimal inputs as derived demands. Our focus is on important globally ...
    • Current account and capital mobility hypothesis: evidence from the G-7 

      Gaglianone, Wagner Piazza
      2004-12-01
      This paper investigates an intertemporal optimization model in order to analyze the current account of the G-7 countries, measured as the present value of the future changes in net output. The study compares observed and ...
    • Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach 

      Lima, Luiz Renato Regis de Oliveira; Sampaio, Raquel Menezes Bezerra; Gaglianone, Wagner Piazza
      2006-11-01
      In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of nonstationarity from stationary ones, which allows us to identify ...
    • Ensaios em macroeconometria e finanças 

      Gaglianone, Wagner Piazza
      2007
      This thesis is composed of three essays referent to the subjects of macroeconometrics and Önance. In each essay, which corresponds to one chapter, the objective is to investigate and analyze advanced econometric techniques, ...
    • Evaluating Value-at-Risk models via Quantile regressions 

      Gaglianone, Wagner Piazza; Linton, Oliver; Lima, Luiz Renato Regis de Oliveira
      2008-09-04
      This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables to do this sacrifices too much information. However, most of the specification tests (also called backtests) ...
    • Inattention in individual expectations 

      Cordeiro, Yara de Almeida Campos; Gaglianone, Wagner Piazza; Issler, João Victor
      2016
      This paper investigates the expectations formation process of economic agents about infl ation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts ...
    • Inattention in individual expectations 

      Cordeiro, Yara de Almeida Campos; Gaglianone, Wagner Piazza; Issler, João Victor
      2017-01
      This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expec-tations System of Central Bank of Brazil, we perceive that agents do not update their forecasts ...
    • Incentive-driven inattention 

      Giacomini, Raffaella; Gaglianone, Wagner Piazza; Issler, João Victor; Skreta, Vasiliki
      2015
    • Incentive-driven Inattention 

      Gaglianone, Wagner Piazza; Giacomini, Raffaela; Issler, João Victor; Skreta, Vasiliki
      “Rational inattention” is becoming increasingly prominent in economic modelling, but there is little empirical evidence for its central premise–that the choice of attention results from a cost-benefit optimization. ...
    • Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR) 

      Lima, Luiz Renato Regis de Oliveira; Sampaio, Raquel Menezes Bezerra; Gaglianone, Wagner Piazza
      2005-10-01
      Neste artigo investigamos a sustentabilidade fiscal no Brasil através de um modelo Quantílico Auto-Regressivo (QAR). Esta metodologia nos permite caracterizar a dinâmica da dívida pública e construir uma medida limite de ...
    • Machine learning and oil price point and density forecasting 

      Costa, Alexandre Bonnet Rodrigues; Gaglianone, Wagner Piazza; Issler, João Victor; Ferreira, Pedro Cavalcanti; Guillen, Osmani Teixeira Carvalho; Lin, Yihao
      2021
      The purpose of this paper is to explore machine learning techniques to forecast the oil price. In the era of big data, we investigate whether new automated tools can improve over traditional approaches in terms of forecast ...
    • Microfounded forecasting 

      Gaglianone, Wagner Piazza; Issler, João Victor
      2015-05
      Our focus is on information in expectation surveys that can now be built on thousands (or millions) of respondents on an almost continuous-time basis (big data) and in continuous macroeconomic surveys with a limited number ...
    • Microfounded forecasting 

      Gaglianone, Wagner Piazza; Issler, João Victor
      This paper proposes a Önancial approach to economic forecasting which can be applied to data bases of surveys of forecasts. We model the forecasting decision of an individual from Örst principles (i.e., microfounded) and ...
    • Survey design and forecast accuracy 

      Gaglianone, Wagner Piazza; Giacomini, Raffaella; Issler, João Victor; Skreta, Vasiliki
      2017
    • Survey design and forecast accuracy 

      Gaglianone, Wagner Piazza; Giacomini, Raffaella; Issler, João Victor; Skreta, Vasiliki
      2017-08
    • Survey design and forecast accuracy 

      Gaglianone, Wagner Piazza; Giacomini, Raffaella; Issler, João Victor; Skreta, Vasiliki
      2016