Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Author "Costa, Carlos Eugênio da"
Now showing items 1-20 of 33
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Can a habit formation model really explain the forward premium anomaly?
2009-05-12Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ... -
Commodity Taxation and Social Insurance
2002We investigate optimal commodity taxation in a social insurance framework based on Varian (1980). We show that the tax prescriptions in this moral hazard framework are notably similar to those derive<! from models based ... -
Do equity and foreign currency risk premiums display common patterns?
2006-11-24In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In ... -
The forward and the equity premium puzzles: two symptoms of the same illness?
2006-05-25The Forward Premium Puzzle (FPP) is how the empirical observation of a negative relation between future changes in the spot rates and the forward premium is known. Modeling this forward bias as a risk premium and under ... -
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
2013-04-04We 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 ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2010-11-05Using 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 ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2007-08-01In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ... -
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 ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2012-04-24Using 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 ... -
Intrahousehold inequality and the joint taxation of household earnings
We study the optimal design of nonlinear labor income tax for multiperson households. Each household consists of two workers with different productivity levels and unequal access to the family’s economic resources. We show ... -
Mechanism design and the collective approach to household behavior
Do the Revelation and Taxation Principles hold for multi-person householDo the Revelation and Taxation Principles hold for multi-person households? We provide a positive answer to the former and a negative to the latter ... -
Normality under uncertainty
2003-09-30Consider the demand for a good whose consumption be chosen prior to the resolution of uncertainty regarding income. How do changes in the distribution of income affect the demand for this good? In this paper we show that ... -
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 efficiency of equal sacrifice income tax schedules
2013-04-18In an economy which primitives are exactly those in Mirrlees (1971), we investigate the efficiency of labor income tax schedules derived under the equal sacrifice principle. Starting from a given government revenue level, ... -
On the optimality of the Friedman Rule with heterogeneous agents and non-linear income taxation
2003-02-11We study the optimal 'inflation tax' in an environment with heterogeneous agents and non-linear income taxes. We first derive the general conditions needed for the optimality of the Friedman rule in this setup. These general ... -
Optimal Mirrleesian taxation in non-competitive labor markets
2015-12We study optimal labor income taxation in non-competitive labor markets. Firms offer screening contracts to workers who have private information about their productivity. A planner endowed with a Paretian social welfare ... -
Optimal notional defined contributions
2021Notional Defined Contributions (NDC) systems mimic the incentive structure of fully funded social security while preserving the Pay-as-you-go nature of most current systems. We study size-preserving social reforms which ... -
Optimal taxation with gradual learning of types
2003-10-03An important feature of life-cycle models is the presence of uncertainty regarding one’s labor income. Yet this issue, long recognized in different areas, has not received enough attention in the optimal taxation literature. ... -
The private memory of aggregate shocks
2010-07-10We study constrained efficient aggregate risk sharing and its consequence for the behavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observed idiosyncratic productivity shocks are assumed to be ...
