Browsing by Author "Issler, João Victor"
Now showing items 81-100 of 119
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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 ... -
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
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
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 ... -
Prevendo o crescimento da produção industrial usando um número limitado de combinações de previsões
2008The purpose of this article is to propose and evaluate forecasting models for the Brazilian industrial GDP. Most models are based on vector auto-regressions (VARs) or on restricted VARs, but models on the ARMA class are ... -
Previsões de M1 com dados mensais
1993-09 -
Principais características do consumo de duráveis no Brasil testes de separabilidade entre duráveis e não-duráveis
2004-06-01Estre trabalho investiga amplamente a evolução do consumo de bens duráveis no Brasil a partir da decisão de consumo individual e da possibilidade de existir restrição ao crédito. A contribuição mais relevante consiste na ... -
Public debt sustainability and endogenous seigniorage in Brazil: time-series evidence from 1947-1992
2000-06In this paper, we investigate three central issues in public finance. First, was the path of public debt sustainable during 1947-1992? Second, how has the government balanced the budget after shocks to either revenues or ... -
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 ... -
Racionalidade e previsibilidade no mercado brasileiro de ações: uma aplicação de modelos de valor presente
2001-04-01Utilizando dados financeiros brasileiros do Ibovespa, testa-se a validade dos modelos de valor presente (MVP) no mercado de ações. Estes modelos relacionam o preço de uma ação ao seu fluxo de caixa futuro esperado (dividendos) ... -
A stochastic discount factor approach to asset pricing using panel data
2006-11-01Using the Pricing Equation, in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) mimicking portfolio which relies on the fact that its logarithm is the ìcommon ... -
A stochastic discount factor approach to asset pricing using panel data asymptotics
2012-12Trabalho apresentado por João Victor Issler - FGV EPGE no contexto do evento "Asset Pricing and Portfolio Allocation in the Long Run". Mais informações em: http://epge.fgv.br/conferencias/longrun/index.php -
A stochastic discount factor approach to asset pricing using panel data asymptotics
2011-05-27Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the 'common feature' in every asset ...
