Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Análise de séries temporais"
Now showing items 1-20 of 30
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Análise de séries de tempo e modelo de formação de expectativas
1973É fato comum na teoria econômica que os indivíduos reagem a valores correntes de variáveis e a seus valores esperados no futuro. Como as expectativas se formam ainda é matéria de debates. É improvável que exista um único ... -
Approximating risk premium on a parametric arbitrage-free term structure model
2014In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ... -
Assimetria na transmissão de preços de cerveja
2017-05-30In several markets, cost hikes are passed through to consumers to a larger extent than cost reductions. This is a widely document phenomenon in the literature, yet under-explored in Brazil. Collusion is one of the theoretical ... -
Canal de crédito para o Brasil : uma avaliação empírica
2011The identification problem of supply and demand equations for testing the bank lending channel has been discussed in recent decades. This work evaluates the identification strategy carried out in a VECM setting to determine ... -
CAPM estendido para momentos superiores : um teste empírico
2011The inclusion of higher moments in CAPM has been discussed in recent decades. This work performs an empirical test of the model extended to the third and fourth moments, in which the skewness and kurtosis are also priced. ... -
Cálculo do Value at Risk (VaR) para o Ibovespa, pós crise de 2008, por meio dos modelos de heterocedasticidade condicional (GARCH) e de volatilidade estocástica (Local Scale Model - LSM)
2015-02-10O objetivo deste estudo é propor a implementação de um modelo estatístico para cálculo da volatilidade, não difundido na literatura brasileira, o modelo de escala local (LSM), apresentando suas vantagens e desvantagens em ... -
Demanda por veículos novos no Brasil: uma análise robusta a quebras estruturais
2014-05-30The automotive sector is fairly representative in the national economy, which motivated this study on the demand for new vehicles in Brazil. The present work discusses an econometric model which allows the calculation of ... -
Do shocks permanently change output? : Local persistency in economic time series
2004-03-01While it is recognized that output fuctuations are highly persistent over certain range, less persistent results are also found around very long horizons (Conchrane, 1988), indicating the existence of local or temporary ... -
Os efeitos da lei nº 12.858/2013 na composição da receita dos beneficiários dos royalties: efeito 'nulo' no curto prazo versus migração no longo prazo
2017-05-31The aim of this study is to show that the creation of the Law no. 12,858 / 2013 has an irrelevant effect in the short term, regarding issues related to health and education problems. By adopting some assumptions capable ... -
Ensaios em econometria aplicada
2013-11-19Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the e§ect of real-estate price variation on welfare, trying to close a gap between the ... -
Ensaios sobre a estrutura a termo da taxa de juros
2013-02-25This thesis consists of three works that analyses the term structure of interest rates using different datasets and models. Chapter 1 proposes a parametric interest rate model that allows for segmentation and local shocks ... -
Essays in empirical finance
2017-03-16This thesis is a collection of essays in empirical finance mainly focused on term structure models. In the first three chapters, we developed methods to extract the yield curve from government and corporate bonds. We measure ... -
Essays on infrastructure in Brazil
2010-12-17This thesis encompasses five papers about two Brazilian infrastructure sectors: energy and road transportation. In the first paper, we model the bid in the Brazilian transmission lines auctions, in order to understand why ... -
Further investigation of the uncertain trend in U.S. GDP
2005-11-28The presence of deterministic or stochastic trend in U.S. GDP has been a continuing debate in the literature of macroeconomics. Ben-David and Papell (1995) found evindence in favor of trend stationarity using the secular ... -
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 ... -
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 ... -
Impondo mais restrições ao modelo de apreçamento vetorial com séries temporais
2015-04-27This work is dedicated to the empirical exercise of generating more restrictions on an asset pricing model with time series developed by Hansen and Singleton JPE 1983. The restrictions go from a simple qualitative increase ... -
Permanência dos efeitos de choques exógenos à aviação doméstica civil brasileira : um estudo das implicações da pandemia do Covid-19
2021A aviação civil sofreu diversos choques exógenos através dos anos, tendo as crises econômicas e sanitárias um grande reflexo nos números do setor. Em 2020, a pandemia do COVID-19 provocou a maior retração já vista por essa ... -
Prevendo inflação usando séries temporais e combinações de previsões
2008-10-10O propósito deste estudo é analisar a capacidade dos modelos econométricos ARMA, ADL, VAR e VECM de prever inflação, a fim de verificar qual modelagem é capaz de realizar as melhores previsões num período de até 12 meses, ...
