Browsing FGV EPGE - Ensaios Econômicos by Author "Lima, Luiz Renato Regis de Oliveira"
Now showing items 1-18 of 18
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The asymmetric behavior of the U.S. public debt
2005-07-01In this paper we re-analyze the question of the U.S. public debt sustainability by using a quantile autoregression model. This modeling allows for testing whether the behavior of U.S. public debt is asymmetric or not. Our ... -
Como se equilibra o orçamento do governo no Brasil?: aumento de receitas ou corte de gastos?
1998-03Em teoria econômica costuma-se analisar o comportamento de longo prazo de um agente supondo que o mesmo está sujeito a um determinado tipo de restrição intertemporal. A restrição orçamentária intertemporal do governo revela ... -
Comparing value-at-risk methodologies
2006-11-01In this paper, we compare four different Value-at-Risk (V aR) methodologies through Monte Carlo experiments. Our results indicate that the method based on quantile regression with ARCH effect dominates other methods that ... -
Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
2006-11-01In 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 ... -
Dinâmica não-linear e sustentabilidade da dívida pública brasileira
2005-04-01This paper contributes to the debate on whether the Brazilian public debt is sustainable or not in the long run by considering threshold effects on the Brazilian Budget Deficit. Using data from 1947 to 1999 and a threshold ... -
Do shocks permanently change output? : Local persistency in economic time series
2004-03-01While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary ... -
Evaluating Value-at-Risk models via Quantile regressions
2008-09-04This 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) ... -
Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR)
2005-10-01Neste 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 ... -
A new perspective on the PPP hypothesis
2004-03-01This paper the stastistical properties of the real exchange rates of G-5 countries for the Bretton-Woods peiod, and draw implications on the purchasing power parity (PPP) hypothesis. In contrast to most previous studies ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2007-01-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the bias-corrected average forecast. Using panel-data ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2007-09-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using ... -
A panel data approach to economic forecasting: the bias-corrected average forecast
2008-01-01In this paper, we propose a novel approach to econometric forecasting of stationary and ergodic time series within a panel-data framework. Our key element is to employ the (feasible) bias-corrected average forecast. Using ... -
Public debt sustainability and endogenous seigniorage in Brazil: time-series evidence from 1947-92: revised version
1998-12-01Using national accounts data for the revenue-GDP and expenditureGDP ratios from 1947 to 1992, we examine three central issues in public finance. First, was the path of public debt sustainable during this period? Second, ... -
Public debt sustainability and endogenous seignorage in Brazil: time-series evidence from 1947-92
1997-06Using national accounts data for the revenue-GDP and expenditure GDP ratios from 1947 to 1992, we examine two central issues in public finance. First, was the path of public debt sustainable during this period? Second, if ... -
Purchasing power parity and the unit root tests: a robust analysis
2004-07-01Empirical evidence suggests that real exchange rate is characterized by the presence of near-unity and additive outliers. Recent studeis have found evidence on favor PPP reversion by using the quasi-differencing (Elliott ... -
Robustness of stationary tests under long-memory alternatives
2004-04-01This paper investigates the presence of long memory in financiaI time series using four test statistics: V/S, KPSS, KS and modified R/S. There has been a large amount of study on the long memory behavior in economic and ... -
Testing covariance stationarity
2006-11-01In this paper, we show that the widely used stationarity tests such as the KPSS test have power close to size in the presence of time-varying unconditional variance. We propose a new test as a complement of the existing ...
