Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Mercado financeiro"
Now showing items 21-40 of 49
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Extraindo as expectativas de mercado para a taxa de juros no Brasil usando opções sobre IDI
2009-06-01Este trabalho demonstra como podemos usar opções sobre o Índice de Taxa Média de Depósitos Interfinanceiros de Um Dia (IDI) para extrair a função densidade de probabilidade (FDP) para os próximos passos do Comitê de Política ... -
O Impacto da comunicação do Banco Central sobre a estrutura a termo da taxa de juros
2010-05-24Após a adoção do sistema de metas para a inflação, o Banco Central do Brasil aumentou a sua preocupação em estabelecer uma comunicação mais clara e transparente com o público para ajudar a atingir os seus objetivos. Este ... -
Informational spillovers in the pre-1914 London sovereign debt market
2007-06-21We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a ... -
Insider trading, investment, and liquidity: a welfare analysis
1999-08-17We compare competitive equilibrium outcomes with and without trading by a privately infonned 'monopolistic' insider, in a model with real investment portfolio choices ex ante, and noise trading generated by aggregate ... -
Intervenção do banco central no mercado interbancário
2012-06-25In this work, we studied the literature of the interbank market and how a central bank can improve its functioning. We developed a framework that could accommodate the different models of the interbank market and central ... -
Investor disagreement: the modern approach
2015-04-27Disagreement between economists is a well know fact. However, it took a long time for this concept to be incorporated in economic models. In this survey, we review the consequences and insights provided by recent models. ... -
Limited attention and investor disagreement: a nowcasting approach
2015-04-27When disagreement in economic models occurs due to different interpretations of public signals, the level of ``marketwide disagreement'' not necessarily decreases upon the arrival of a public signal. We propose an empirical ... -
The Market for borrowing securities in Brazil
2013-12-23We report the results of an exploratory data analysis of the Brazilian securities lending market. The analysis is performed over the full historical data set of each individual loan offer and loan contract negotiated between ... -
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
2004-06-03The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ... -
Um modelo de competição baseada em tempo nos mercados financeiros
2001-05-04This paper studies the strategic behavior of individuals when depared with a random shock that moves the price of a financial asset from its initial equilibrium. The path followed by the asset’s price towards its new ... -
Modelos de volatilidade estocástica com deformação temporal : com aplicação aos dados do IBOVESPA
1997-07-17Estimar e prever a volatilidade de um ativo é uma tarefa muito importante em mercados financeiros. Nosso objetivo neste trabalho é propor o conceito de deformação temporal neste contexto. A idéia é que o mercado modifica-se ... -
Monopolistic insurance and competitive financial markets
2016-03-21This dissertation studies the interaction between insurance and financial markets. Individuals who differ only in risk can save through a competitive market. They also have access to insurance contracts offered by a ... -
Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
2015-02-12This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ... -
Post-earnings announcement drift no mercado de ações brasileiro
2014-12-23This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent ... -
Previsão da estrutura a termo de cupom cambial
2017-09-25This paper proposes to apply a similar framework adopted by Diebold and Li (2006) to forecast the Brazilian term structure of the US dollar-denominated interest rates, which have been done through the well-known three ... -
Previsão de volatilidade para os vértices da estrutura a termo de taxa de juros em reais brasileira
2006-06Este trabalho compara diferentes metodologias de previsão de volatilidade para vértices da estrutura a termo de juros em reais e propõe um novo modelo, batizado como COPOM-GARCH, para estimação desta. O modelo COPOM-GARCH ... -
Prêmio de risco de volatilidade (VRP) no mercado brasileiro
2019-06-26O objetivo principal desta dissertação é verificar a existência de prêmio de risco de volatilidade (VRP) no mercado brasileiro através da aplicação de uma estratégia com opções de venda do Índice Bovespa. Tal estratégia ... -
Probabilidade implícita de default em debêntures do mercado brasileiro
2014-05-30This work aims to extract implicit default probabilities curves from Brazilian´s debentures market. This process occurs in two steps. First challenge is to obtain the term structure of Brazilian’s debentures. Diebold and ... -
Rentabilidade de estratégias de momento no IBOVESPA: aplicação de critérios de risco para seleção de carteiras
2014-05-30This paper presents the use of Beta and Beta variation of assets belonging to the Bovespa as new criteria for the construction new srategies of winners and losers portfolios. The results show that the strategies currently ...
