Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ...

Utilizando dados financeiros brasileiros da BM&F, testa-se a validade do modelo de valor presente na estrutura a termo de juros, também conhecido na literatura como Hipótese das Expectativas. Estes modelos relacionam a ...

Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations ...

This paper investigates the expectations formation process of economic agents about infl ation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts ...

Esse 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. ...

The 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 ...

This paper proposes a Önancial approach to economic forecasting which can be applied to data bases of surveys of forecasts. We model the forecasting decision of an individual from Örst principles (i.e., microfounded) and ...

We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming ...