Listagem por autor "Guillen, Osmani Teixeira Carvalho"
Itens para a visualização no momento 1-20 of 21
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Commodity prices and global economic activity: A derived-demand approach
2020This 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 ... -
Ensaios em macroeconometria e finanças
2003Esta tese de doutorado está composta por quatro ensaios em macroeconometria e finanças com aplicações nas áreas de abertura comercial, custo de bem estar do ciclo de negócios e taxas de juros. No primeiro ensaio analisamos ... -
Estimação da razão ótima de Hedge para o IBOVESPA futuro: uma aplicação do modelo Garch bivariado
1996-02-29Este estudo tem o objetivo de comparar várias técnicas que podem ser empregadas para proteger posições à vista usando mercados futuros. Partindo de uma posição na qual o investidor está à mercê do mercado, adota-se as ... -
Estrutura competitiva, produtividade industrial e liberalização comercial no Brasil
2004-12-01This paper analyzes the behavior of the Brazilian manufacturing industry after the reforms implemented in the nineties. We examine the impact of trade liberalization on industry productivity and estimate the markup of ... -
Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study
2005-04-01Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ... -
Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
2014-06-02This 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 ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2013-07-01It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2015-02-26Using 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 ... -
O Impacto da Abertura Comercial Sobre Mark-Up e Produtividade Industrial Brasileira
2001-08-23O objetivo deste artigo é analisar o comportamento da indústria de transformação após as reformas implantadas na década de noventa. Verificamos se o processo de abertura gerou aumentos da produtividade média da indústria ... -
Machine learning and oil price point and density forecasting
2021The 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 ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2009-02-05We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2011-01-27We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2010-09-13We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2010-03-29We study the joint determination of the lag length, the dimension of the cointegrating space and the rank of the matrix of short-run parameters of a vector autoregressive (VAR) model using model selection criteria. We ... -
On the welfare costs of business cycles in the 20th century
2003-02Lucas (1987) has shown a surprising result in business-cycle research, that the welfare cost of business cycles are relatively small. Using standard assumptions on preferences and a reasonable reduced form for consumption, ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century
2012-10-17Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century
2012-02-28Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
2013-11-04The 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 ... -
The welfare cost of macroeconomic uncertainty in the post-war period
2005-12-01Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic ...
