Browsing Produção Intelectual em Bases Externas by Author "Fernandes, Marcelo"
Now showing items 1-12 of 12
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Brazilian corporate debt issuance: should you invest in local or international bonds?
2014-11-14The goal of this study is to analyze the yield difference between corporate debt issuance of Brazilian companies in local and foreign markets. From the perspective of the investor, we attempt to answer whether it is better, ... -
Disagreement in inflation forecasts and inflation risk premia in Brazil
2017-05-25The aim of this study is to investigate the link between the inflation uncertainty and the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil. We gauge the latter by the ... -
The finite-sample size of the BDS test for GARCH standardized residuals
2012-04-25This paper uses a multivariate response surface methodology to analyze the size distortion of the BDS test when applied to standardized residuals of rst-order GARCH processes. The results show that the asymptotic standard ... -
Forecasting the Brazilian yield curve using forward-looking variables
2017-03This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve in order to predict the Brazilian term structure of interest ... -
International market links and volatility transmission
2012-09This paper gauges volatility transmission between stock markets by testing conditional independence of their volatility measures. In particular, we check whether the conditional density of the volatility changes if we ... -
The macroeconomic determinants of the term structure of inflation expectations in Brazil
2015-10-05This paper aims to analyze the dynamics of inflation expectations according to macroeconomics conditions. To this end, we extract the expected inflation curve implied by indexed bonds and then estimate a dynamic factor ... -
March madness in Wall Street: (What) does the market learn from stress tests?
2015Annual stress tests have become a regular part of the supervisors' toolkit following the global financial crisis. We investigate their market implications in the United States by looking at price and trade reactions as ... -
Market depth at the BM&FBovespa
2014-03-26O objetivo desse trabalho é estimar a medida dinâmica VNET de profundidade de mercado para ações brasileiras a partir de dados de transação. VNET mede a diferença no número de ações compradas e vendidas no intervalo de ... -
O mecanismo de transmissão monetária na economia brasileira pós-Plano Real
2005-03-01This paper estimates the monetary transmission mechanism in Brazil as from the Real Plan using a cointegrated VAR model for real money stock, real output, inflation, short- and long-term interest rates. To provide a ... -
A (semi)parametric functional coefficient logarithmic autoregressive conditional duration model
2016-08-08In this article, we propose a class of logarithmic autoregressive conditional duration (ACD)-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and asymmetries in financial durations. ... -
Testing for symmetry and conditional symmetry using asymmetric kernels
2015-08We derive nonparametric tests of symmetry using asymmetric kernels with either vanishing or fixed bandwidths. The idea is to split the sample around the symmetry point and then test whether the distributions to the right ... -
Voting premium in the Brazilian equity market
2014-03-26This study aims to estimate the control premium in the Brazilian stock market, based on the dual-class price differential. We first show that the average control premium is positive from July 2003 to June 2013. This is ...
