Browsing FGV EPGE - Ensaios Econômicos by Author "Issler, João Victor"
Now showing items 1-20 of 85
-
Central Bank credibility and inflation expectations: a microfounded forecasting approach
Credibility is elusive and no generally agreed upon measure of it exists. Despite that, Blinder (2000) generated a consensus in the literature by arguing that ”A central bank is credible if people believe it will do what ... -
Common cycles in macroeconomic aggregates
1994-04Reduced form estimation of multivariate data sets currently takes into account long-run co-movement restrictions by using Vector Error Correction Models (VECM' s). However, short-run co-movement restrictions are completely ... -
Common cycles in macroeconomic aggregates (revised version)
1995-02Although there has been substantial research on long-run co-movement (common trends) in the empirical macroeconomics literature. little or no work has been done on short run co-movement (common cycles). Investigating common ... -
A Common-feature approach for testing present-value restrictions with financial data
2012-02-24It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) ... -
Como se equilibra o orçamento do governo no Brasil?: aumento de receitas ou corte de gastos?
1998-03Em teoria econômica costuma-se analisar o comportamento de longo prazo de um agente supondo que o mesmo está sujeito a um determinado tipo de restrição intertemporal. A restrição orçamentária intertemporal do governo revela ... -
Constructing coincident and leading indices of economic activity for the brazilian economy
2011-03-30This paper has three original contributions. The first is the reconstruction effort of the series of employment and income to allow the creation of a new coincident index for the Brazilian economic activity. The second is ... -
Constructing coincident and leading indices of economic activity for the Brazilian economy
2012-03-15This paper has three original contributions. The fi rst is the reconstruction effort of the series of employment and income to allow the creation of a new coincident index for the Brazilian economic activity. The second ... -
Constructing coincident and leading indices of economic activity for the brazilian economy
2009-06-26This paper has three original contributions. The first is the reconstruction effort of the series of employment and income to allow the creation of a new coincident index for the Brazilian economic activity. The second is ... -
Constructing common-factor portfolios
2012-04-19In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic ... -
Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
2015-07Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important ... -
Educação e investimentos externos como determinantes do crescimento a longo prazo
1995-11-01Esse artigo usa uma metodologia de decomposição tendência-ciclo para estimar o produto potencial brasileiro e investigar a importância relativa dos choques permanentes e transitórios. Conclui-se que os primeiros explicam ... -
Estimando a aversão ao risco, a taxa de desconto intertemporal, e a substutibilidade intertemporal do consumo no Brasil usando três tipos de função utilidade
2001-05Using the generalized method of moments, we estimate structural parameters related to relative-risk aversion, the discount rate of future utility, and the intertemporal elasticity of substitution in consumption for the ... -
Estimando a Aversão ao Risco, a Taxa de Desconto Intertemporal, e a Substutibilidade Intertemporal do Consumo no Brasil usando Três tipos de Função Utilidade (Versão Preliminar)
2000-06Este trabalho estima, usando o método generalizado dos momentos e dados brasileiros, os parâmetros estruturais do modelo CCAPM (consumption capital asset pricing model) a partir de três classes de funções utilidade distintas: ... -
Estimating and forecasting the volatility of Brazilian finance series using arch models (Preliminary Version)
1999-06-01The goal of this paper is to present a comprehensive emprical analysis of the return and conditional variance of four Brazilian …nancial series using models of the ARCH class. Selected models are then compared regarding ... -
Estimating Brazilian monthly GDP: a state-space approach
2015-11-30The first contribution of this paper 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, Gertler and Watson ... -
Estimating Brazilian Monthly GDP: a State-Space Approach
2013-04-05This paper has several original contributions. The first 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, ...
