Browsing FGV EPGE - Ensaios Econômicos by Subject "Ciclos econômicos"
Now showing items 1-19 of 19
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Can a habit formation model really explain the forward premium anomaly?
2009-05-12Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)’s habit formation model one must specify it in such a way to generate pro-cyclical short ... -
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) ... -
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 ... -
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 ... -
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 ... -
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 ... -
The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
2003-08-01We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming ... -
The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
2002-06-01We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming ... -
The missing link: using the NBER recession indicator to construct coincident and leading indices economic activity
2002-05-01We use the information content in the decisions of the NBER Business Cycle Dating Committee to construct coincident and leading indices of economic activity for the United States. We identify the coincident index by assuming ... -
The private memory of aggregate shocks
2010-07-10We study constrained efficient aggregate risk sharing and its consequence for the behavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observed idiosyncratic productivity shocks are assumed to be ... -
Using common features to investigate common growth cycles for BRICS Countries
2017-05-30Emerging market economies have historically shown high cyclical volatility when compared to developed economies. Common factor models have been largely used in economics as economic theory suggests that there strong linkages ... -
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 ...
