Browsing FGV EPGE - Escola Brasileira de Economia e Finanças by Subject "Modelos macroeconômicos"
Now showing items 1-10 of 10
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Aggregate uncertainty, disappointment aversion and the business cycle
2013-06-17We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that ... -
Apreçamento da assimetria idiossincrática no mercado brasileiro de ações
2010-07-28Recent papers in finance presented models in which the idiosyncratic skewness is a priced component of security returns. More specifically, stocks with high expected idiosyncratic skewness should have low expected returns. ... -
Inattention in individual expectations
2015-04This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts every ... -
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
2010-03-29We 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 ... -
Um modelo agregado de consistência macroeconômica para o Brasil
2009-10-23É proposto aqui um modelo estrutural macroeconômico capaz de englobar os impactos das políticas fiscal e monetária do governo sobre os principais agregados macroeconômicos, assim como projetar seus efeitos no curto e médio ... -
Modelos condicionais de apreçamento de ativos com prêmios de risco macroeconômicos variantes no tempo
2005Analisamos a previsibilidade dos retornos mensais de ativos no mercado brasileiro em um período de 10 anos desde o início do plano Real. Para analisarmos a variação cross-section dos retornos e explicarmos estes retornos ... -
On impatience, education, returns, and inequality
2015-04-13In this paper we investiga te the impact of initial wealth anel impatience heterogeneities, as wcll as differential access to financia! markets on povcrty anel inequality, anel cvaluate some mechanisms that could be used ... -
Previsão da estrutura a termo brasileira utilizando de fatores macroeconômicos
2013-06-11This article studies the prediction of the Brazilian interest rate term structure employing the use of common factors extracted from a vast database of macroeconomic series. The estimation and prediction periods analyzed ... -
Price setting and macroeconomic variables: evidence from Brazilian CPI
2009-08-14This thesis investigates price-setting in a variable macroeconomic environment using a unique data set from the Brazilian CPI index of Fundação Getulio Vargas. The primary data consist of a panel of individual prices for ...
