Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Modelos econométricos"
Now showing items 21-40 of 70
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Estimating strategic complementarity in a state-dependent pricing model
2013-05Apresentação dos palestrantes Marco Bonomo - Insper e Tiago Berriel - FGV EPGE no contexto do evento "3rd Global Conference - Business Cycles". Mais informações em: <http://epge.fgv.br/conferencias/business-cycles/pt/index.php>. -
Estimation of DSGE Models: A Monte Carlo Analysis
2013-06-18We investigate the small sample properties and robustness of the parameter estimates of DSGE models. Our test ground is the Smets and Wouters (2007)'s model and the estimation procedures we evaluate are the Simulated Method ... -
O fator comum associado à dinâmica de preços das commodities : a relação de cointegração e o fator dinâmico
2013-11-27Este trabalho analisa a importância dos fatores comuns na evolução recente dos preços dos metais no período entre 1995 e 2013. Para isso, estimam-se modelos cointegrados de VAR e também um modelo de fator dinâmico bayesiano. ... -
Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
2001-09-10Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2009-08-12We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ... -
Geographical externalities and the Pacifying Police Units Program in Rio de Janeiro
2015-04-29The paper quantifies the effects on violence and police activity of the Pacifying Police Unit program (UPP) in Rio de Janeiro and the possible geographical spillovers caused by this policy. This program consists of taking ... -
Growth, increasing returns, and public infrastructure : time series evidence
1995-03Initial endogenous growth models emphasized the importance of external effects and increasing retums in explaining growth. Empirically, this hypothesis can be confumed if the coefficient of physical capital per hour is ... -
Hypothesis testing in econometric models
2015-12-11This thesis contains three chapters. The first chapter considers tests of the parameter of an endogenous variable in an instrumental variables regression model. The focus is on one-sided conditional t-tests. Theoretical ... -
Identificação econométrica da relação entre choques de preços nos mercados de minério de ferro e de óleo combustível
2016-05-27This paper analyzes the relation between iron ore and bunker oil prices` returns for the period from June, 2008 to March, 2016. For this purpose, econometric models were estimated separately (through OLS technique) as well ... -
O impacto da quantitative easing americano no preço dos ativos brasileiros
2015-05-26Aplicando uma metodologia de testes de eventos, este estudo avalia o impacto dos anúncios de implementação e retirada dos estímulos monetários pelo Banco Central americano (FED) entre 2008 a 2013 sobre a curva de juros, a ... -
O impacto dos gastos com publicidade nas vendas das firmas: avaliação empírica.
2013This study aims to estimate an empirical model to relate spending on advertising revenues of firms, in order to serve as a tool for decision making, for it will study a case of telecommunications industry. The communication ... -
Os impactos do saneamento básico nos estados brasileiros sobre os indicadores dominantes de saúde
2013-06-27Este artigo pretende associar o desempenho dos índices de saúde com saneamento básico nos estados brasileiros e se a filiação partidária afeta ou não esses indicadores. Para elaboração deste trabalho foi montado um banco ... -
Um indicador coincidente e antecedente da atividade econômica brasileira
2009-06-26Esse artigo tem três contribuições originais. A primeira é exatamente no esforço de reconstrução das séries de emprego e renda, de modo a permitir a criação de um novo índice coincidente para a atividade econômica brasileira. ... -
Interim efficiency with MEU-preferences
2009-07-14Recently Kajii and (2008) proposed to characterize interim efficient allocations in an exchange economy under asymmetric information when uncertainty is represented by multiple posteriors. When agents have Bewley's incomplete ... -
Introducing higher moments in the CAPM: some basic ideas
1999-11-01We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ... -
Market clearing sealed-bid auctions for non-identical objects with single-unit demands
1999-09-09We consider a version of the cooperative buyer-seller market game of Shapley and Shubik (1972). For this market we propose a c1ass of sealed- bid auctions where objects are sold simultaneously at a market c1earing price ... -
Metodologia de previsão de recessões: um estudo econométrico com aplicações de modelos de resposta binária
2017-03-31This paper aims to create an econometric model capable of anticipating recessions in the United States economy, one year in advance, using not only monetary market variables that are already used by economists, but also ... -
Método de estimação de modelos de ciclos reais - um estudo para as economias brasileira e americana
1999-07-13O presente trabalho estima por máxima verossimilhança um modelo de ciclos reais para as economias brasileira americana. Os parâmetros são estimados partir de um VAR na forma estrutural obtido de um modelo macroeconômico ... -
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 ...
