Listagem FGV EPGE - Ensaios Econômicos por autor "Issler, João Victor"
Itens para a visualização no momento 21-40 of 85
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Estimating brazilian monthly GDP: a state-space approach
2014-09-18This paper has several original contributions. The rst is to employ a superior interpolation method that enables to estimate, nowcast and forecast monthly Brazilian GDP for 1980-2012 in an integrated way; see Bernanke, ... -
Estimating sectoral cycles using cointegration and common features
1994-03This paper investigates the degree of short run and long run co-movement in U.S. sectoral output data by estimating sectoraI trends and cycles. A theoretical model based on Long and Plosser (1983) is used to derive a reduced ... -
Estimating the stochastic discount factor without a utility function
2005-03-14Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the serial-correlation ìcommon featureîin ... -
Estimating the term structure of volatility and fixed income derivative pricing
1995-10Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest ... -
Forecasting accuracy and estimation uncertainty using VAR models with short- and long-term economic restrictions: a Monte-Carlo study
2005-04-01Using vector autoregressive (VAR) models and Monte-Carlo simulation methods we investigate the potential gains for forecasting accuracy and estimation uncertainty of two commonly used restrictions arising from economic ... -
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 ... -
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
2015-02-26Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ... -
The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness
2013-04-04We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2010-11-05Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2007-08-01In this paper we revisit the relationship between the equity and the forward premium puzzles. We construct return-based stochastic discount factors under very mild assumptions and check whether they price correctly the ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2009-08-12We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the ... -
The forward- and the equity-premium puzzles: two symptoms of the same illness?
2012-04-24Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our ... -
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 ... -
A hipótese das expectativas na estrutura a termo de juros no Brasil: Uma aplicação de modelos de valor presente
2003-05-01Utilizando dados financeiros brasileiros da BM&F, testa-se a validade do modelo de valor presente na estrutura a termo de juros, também conhecido na literatura como Hipótese das Expectativas. Estes modelos relacionam a ... -
The importance of common cyclical features in VAR analysis: a Monte-Carlo study
2001-04-01Despite the commonly held belief that aggregate data display short-run comovement, there has been little discussion about the econometric consequences of this feature of the data. We use exhaustive Monte-Carlo simulations ... -
The importance of Common-Cyclical Features in VAR analysis: a Monte-Carlo study (Preliminary Version)
1999-09-01Despite the belief, supported byrecentapplied research, thataggregate datadisplay short-run comovement, there has been little discussion about the econometric consequences ofthese data 'features.' W e use exhaustive M ... -
Inattention in individual expectations
2016This paper investigates the expectations formation process of economic agents about infl ation rate. Using the Market Expectations System of Central Bank of Brazil, we perceive that agents do not update their forecasts ... -
Incentive-driven Inattention
“Rational inattention” is becoming increasingly prominent in economic modelling, but there is little empirical evidence for its central premise–that the choice of attention results from a cost-benefit optimization. ...
