Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por autor "Issler, João Victor"
Itens para a visualização no momento 61-80 of 102
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Mixed causal-noncausal autoregressions with exogenous regressors
The mixed causal-noncausal autoregressive (MAR) model has been proposed to estimate time series processes involving explosive roots in the autoregressive part, as it allows for stationary forward and backward solutions. ... -
Mobilidade de capitais e movimentos da conta corrente do Brasil: 1947-1997
2000-04-01Com base na análise histórica da economia brasileira nas últimas décadas, poder-se-ia supor que sejam expressivas as restrições aos movimentos internacionais de capitais. Para analisar essa questão, usa-se o modelo ... -
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 ... -
Non-durable consumption and real-estate prices in Brazil: panel-data analysis at the state level
2013-04-05Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the ... -
A note on the forward and the equity-premium puzzles: two symptoms of the same illness?
2013-07-12We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ... -
On the nature of income inequality across nations
2000-03-01In this paper, we investigate the nature of income inequality across nations. First, rather than functional forms or parameter values in calibration exercises that can potentially drives results, we estimate, test, and ... -
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 ... -
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 ...
