Now showing items 1-20 of 97

    • Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing 

      Almeida, Caio Ibsen Rodrigues de (Escola de Pós-Graduação em Economia da FGV, 2005-02-03)
      Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...
    • An econometric study on purchasing-power parity 

      Machado, Flávio A. de Stéfani (2011-04-08)
      Neste trabalho abordamos alguns "puzzles" da Paridade do Poder de Compra (PPC) ainda não resolvidos; durante esse processo propomos um novo modelo não-linear e estudamos o papel da agregação temporal e de bases de dados ...
    • Análise da existência de cointegração e de ciclos comuns entre o PIB brasileiro e o PIB americano 

      Tavares, Maurício André Mendes (2009-06-08)
      Nosso objetivo neste trabalho foi examinar a vulnerabilidade do Brasil a choques externos dada a constante afirmação dos bons fundamentos econômicos ora apresentados por nossa economia. Nossa metodologia consistiu em ...
    • Assessing the impact the 'Mais Médicos' program on basic health care indicators 

      Mazetto, Débora (2018-02-05)
      The 'Mais Médicos' Program was launched by the federal government in 2013 with the main objective of reducing the shortage of physicians in regions of socioeconomic vulnerability in Brazil. Since then, the program has been ...
    • Auction econometrics by least squares 

      Rezende, Leonardo (Escola de Pós-Graduação em Economia da FGV, 2004-07-15)
      This paper proposes a method to structurally estimate an auction model using a variation of OLS, under commonly held assumptions in both auction theory and econometrics. In spite of its computational simplicity, the method ...
    • Bayesian analysis of extreme events with threshold estimation 

      Lopes, Hedibert Freitas; Assunção, Cibele Noronha Behrens; Gamerman, Dani (Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2004-08-20)
      The aim of this paper is to analyze extremal events using Generalized Pareto Distributions (GPD), considering explicitly the uncertainty about the threshold. Current practice empirically determines this quantity and proceeds ...
    • Beyond common priors 

      Barelli, Paulo (Escola de Pós-Graduação em Economia da FGV, 2004-07-08)
      One property (called action-consistency) that is implicit in the common prior assumption (CPA) is identified and shown to be the driving force of the use of the CPA in a class of well-known results. In particular, we show ...
    • Biased procurement 

      Rezende, Leonardo (Escola de Pós-Graduação em Economia da FGV, 2003-02-27)
    • Bounds on policy relevant parameters with discrete policy variation 

      Modenesi, Bernardo Andrade Lyrio (2015-06-25)
      When estimating policy parameters, also known as treatment effects, the assignment to treatment mechanism almost always causes endogeneity and thus bias many of these policy parameters estimates. Additionally, heterogeneity ...
    • Co-movement between two processes with local persistence 

      Lima, Luiz Renato Regis de Oliveira (Escola de Pós-Graduação em Economia da FGV, 2001)
      This paper introduces a residual based test where the null hypothesis of c:&InOvement between two processes with local persistenc~ can be tested, even under the presence of an endogenous regressor. It, therefore, fills in ...
    • Collateral or utility penalties ? 

      Maldonado, Wilfredo Fernando Leiva (Escola de Pós-Graduação em Economia da FGV, 2005-05-12)
      In a two-period economy with incomplete markets and possibility of default we consider the two classical ways to enforce the honor of financial commitments: by using utility penalties and by using collateral requirements ...
    • Commodity prices, sovereign wealth funds, and fiscal policy: lessons from Chile and Norway 

      Schmidt-Hebbel, Klaus (FGV EPGE; Vale, 2012-08)
      Apresentação do palestrante Klaus Schmidt-Hebbel - Pontifícia Universidad Católica de Chile no contexto do evento "The Economics and Econometrics of Commodity Prices". Mais informações em: http://epge.fgv.br/conferencias ...
    • Comparing two multivariate unit root tests 

      Rocha, Guilherme Norman Leal Veiga da (2003-01-24)
      In this essay, a method for comparing the asymptotic power of the multivariate unit root tests proposed in Phillips & Durlauf (1986) and Flˆores, Preumont & Szafarz (1996) is proposed. In order to determine the asymptotic ...
    • Computation and analysis of multiple structural 

      Perron, Pierre (Escola de Pós-Graduação em Economia da FGV, 2000-06-08)
    • Construction of facilities under asymmetric information: do constitutional constraints matter? 

      Besfamille, Martin (Escola de Pós-Graduação em Economia da FGV, 2002-12-31)
      This paper studies construction of facilities in a federal state under asymmetric information. A country consists of two regions, each ruled by a local authority. The federal government plans to construct a facility in one ...
    • Controlling inflation in a cointegrated vector autoregressive model with an applicaton to US data 

      Johansen, Soren; Juselius, Katarina (Escola de Pós-Graduação em Economia da FGV, 2001-12-10)
    • Convergência dos municípios paulistas: uma abordagem de econometria espacial 

      Bastos, Roberto de Almeida (2011-08-05)
      Este artigo avalia o impacto do imposto ISS no processo de convergência dos 645 municípios do estado de São Paulo entre 2000-2005. A presença de efeitos de dependência espacial é investigada incorporando-se um arcabouço ...
    • Credence goods and market power: an econometric study on the Brazilian pharmaceutical industry 

      Fiuza, Eduardo Pedral Sampaio; Lisboa, Marcos de Barros (Faculdade de Economia, Administração e Contabilidade da Universidade de São Paulo (FEA-USP), 2003-12-01)
      Bearing in mind the market failures pointed out by the economic literature and following the international empirical evidence, and based on original micro data of the Brazilian pharmaceutical industry in the late 1990s, ...
    • Credible managerial vision 

      Ferreira, Daniel (Escola de Pós-Graduação em Economia da FGV, 2003-01-30)
      We develop a model in which managers choose whether or not to reveal their 'vision' for the future of their companies. Visionary managers are valuable because they generate incentives for workers to develop profitable ...
    • Crescimento e comportamento multissetorial: uma abordagem global VAR para o Brasil 

      Ferreira, Raphael Castro da Costa (2018-02-05)
      O objetivo deste trabalho é analisar o comportamento dos setores da economia brasileira, por meio do nível de atividade e do nível de emprego, observando a inter-relação entre eles, a propagação de choques e seus impactos ...