Listagem FGV EPGE - Escola Brasileira de Economia e Finanças por Assunto "Cointegração"
Itens para a visualização no momento 1-15 of 15
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Análise da existência de cointegração e de ciclos comuns entre o PIB brasileiro e o PIB americano
2009-06-08Nosso objetivo neste trabalho foi examinar a vulnerabilidade do Brasil a choques externos dada a constante afirmação dos bons fundamentos econômicos ora apresentados por nossa economia. Nossa metodologia consistiu em ... -
Análise do efeito de crises sobre estratégias de pairs trading no Brasil
2017-08-31The purpose of this work is to check the performance of the distance method of the pairs trading strategy in the Brazilian market. The study takes place in the period between 2004 and 2017, trying to identify if these ... -
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 ... -
Consumption-wealth ratio and expected stock returns: evidence from panel data
2015-03-20This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived ... -
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 ... -
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. ... -
Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions
2014-06-02This paper has two original contributions. First, we show that the present value model (PVM hereafter), which has a wide application in macroeconomics and fi nance, entails common cyclical feature restrictions in the ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2013-07-01It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ... -
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 ... -
Investigação sobre o desempenho da regra de negociação de pairs trading utilizando o modelo de mudança de regime no mercado de ações brasileiro
2016Among various strategies of financial assets negotiations, The Pair Trading strategy has shown relevance in the academic and professional environment and it’s being used as an important strategy. In the main investment ... -
Índice de preços do subitem transporte aéreo no Brasil
2017-05-31The availability of online prices represents a unique opportunity for the construction of price indexes and the measurement of inflation. This type of data can be collected remotely, at much higher frequencies, and a tiny ... -
O mercado de derivativos cambiais no Brasil e suas tendências
2007Com a entrada do regime cambial flutuante no Brasil a partir de 1999, o mercado de derivativos cambiais se desenvolveu muito. A crescente demanda das empresas e instituições financeiras pelos produtos de hedge cambial junto ... -
Modelo estrutural de previsão de preço e volume negociado de minério de ferro
2008-05-30This study presents a forecasting model for prices and volumes traded in the seaborne iron ore market. A VAR model (with endogenous variables with one lag) was developed, using oil prices (Brent) and an industrial production ... -
Testes de características comuns em mercados Latino- Americanos
2000-08-04A partir da bastante difundida metodologia de Cointegração e Características (Features), propõe-se a execução dos testes de Johansen e regressão auxiliar para verificar a existência de Características Comuns de primeira e ... -
To cointegrate or not to cointegrate? That's a topological question
1997-10-16We show that for any multivariate I( 1) process which does not cointegrate, it is possible to find another process sufficient1y elose to it where cointegration applies. Closeness is defined in terms of the spectral density ...
