Listagem FGV EPGE - Ensaios Econômicos por autor "Guillen, Osmani Teixeira Carvalho"
Itens para a visualização no momento 1-15 of 15
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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 ... -
O Impacto da Abertura Comercial Sobre Mark-Up e Produtividade Industrial Brasileira
2001-08-23O objetivo deste artigo é analisar o comportamento da indústria de transformação após as reformas implantadas na década de noventa. Verificamos se o processo de abertura gerou aumentos da produtividade média da indústria ... -
Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions
2009-02-05We 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
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
2010-09-13We 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 ... -
On the welfare costs of business cycles in the 20th century
2003-02Lucas (1987) has shown a surprising result in business-cycle research, that the welfare cost of business cycles are relatively small. Using standard assumptions on preferences and a reasonable reduced form for consumption, ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century
2012-10-17Lucas(1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century
2012-02-28Lucas (1987) has shown a surprising result in business-cycle research: the welfare cost of business cycles are very small. Our paper has several original contributions. First, in computing welfare costs, we propose a novel ... -
On the welfare costs of business-cycle fluctuations and economic-growth variation in the 20th century and beyond
2013-11-04The main objective of this paper is to propose a novel setup that allows estimating separately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two ... -
The welfare cost of macroeconomic uncertainty in the post-war period
2005-12-01Lucas (1987) has shown the surprising result that the welfare cost of business cycles is quite small. Using standard assumptions on preferences and a fully-áedged econometric model we computed the welfare costs of macroeconomic ... -
The welfare cost of macroeconomic uncertainty in the post-war period
2006-09-01With standard assumptions on preferences and a fully-fledged econometric model we computed the welfare costs of macroeconomic uncertainty for post-war U.S. using the BeveridgeNelson decomposition. Welfare costs are about ...
