Browsing Produção Intelectual em Bases Externas by Subject "Modelos econométricos"
Now showing items 1-10 of 10
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Agents, econometricians and the identification of rational expectations systems
1994-04-01This paper generalises previous results on the identification of rational expectations (r.e.) models, establishing necessary and sufficient conditions on the structural form of static and dynamic models, without specific ... -
Analysis of contagion from the dynamic conditional correlation model with Markov Regime switching
2016Over the last decades, the transmissions of international financial events have been the subject of many academic studies focused on multivariate volatility models. This study evaluates the financial contagion between stock ... -
Are one-sided S,s rules useful proxies for optimal pricing rules?
2000-05-01This article is motivated by the prominence of one-sided S,s rules in the literature and by the unrealistic strict conditions necessary for their optimality. IT aims to assess whether one-sided pricing rules could be an ... -
Common cycles and the importance of transitory shocks to macroeconomic aggregates
2001-06Although there has been substantial research using long-run co-movement (cointegration) restrictions in the empirical macroeconomics literature, little or no work has been done investigating the existence of short-run ... -
Consumo de fertilizantes e produtividade da laranja em São Paulo ao longo das décadas de 1970, 1980 e 1990
2009-09-01Brazil represents approximately 80% of the total frozen concentrate orange juice (FCOJ) traded in the international market. In addition, Brazil and the United States represent 50% of the total fresh orange produced around ... -
Estimando o desalinhamento cambial brasileiro: uma análise de robustez a partir do modelo global com mecanismo de correção de erros
2015-09-01This paper aims to compare two different methodologies to estimate exchange rate misalignment. The first methodology consists of using multivariate time series techniques and a model with domestic variables. The second ... -
Estimating and forecasting the volatility of Brazilian finance series using arch models
1999-05-01The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian financial series using models of the ARCH class. Selected models are then compared regarding ... -
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 ... -
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 ... -
Simulação econométrica de estoques reguladores mundiais para cacau
1986-04-01This study evaluates alternative buffer stock policies for cocoa as an instrument to stabilize world market prices over the 1977-96 period. An econometric madel that explains production, stocks, demand and equilibrium ...
