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Estimating Brazilian monthly GDP: a state-space approach
(Escola de Pós-Graduação em Economia da FGV, 2015-11-30)
The first contribution of this paper is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, Gertler and Watson ...
Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-07)
Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important ...
Microfounded forecasting
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 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 ...
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-02-26)
Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ...
Estimating brazilian monthly GDP: a state-space approach
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-09-18)
This paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, ...
Testing consumption optimality using aggregate data
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-06-02)
The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and ...
Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2014-06-02)
This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the ...
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-11-04)
The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two ...
Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-08-22)
The objective of this article is to study (understand and forecast) spot metal price levels and changes at monthly, quarterly, and annual frequencies. Data consists of metal-commodity prices at a monthly and quarterly ...
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-12)
We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ...
