Now showing items 1-7 of 7

    • 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 ...
    • 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 ...
    • 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 ...
    • 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 ...