Listagem FGV EPGE - Ensaios Econômicos por Assunto "Modelos econométricos"
Itens para a visualização no momento 1-17 of 17
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Uma classe de preferências convexas sem representação côncava
2009-02-26Eu demonstro que preferências convexas com curvas de indiferença afins não tem representação côncava se existirem duas curvas de indiferença não-paralelas -
Competitive equilibrium hyperinflation under rational expectations
2005-01-01This paper shows that a competitive equilibrium model, where a representative agent maximizes welfare, expectations are rational and markets are in equilibrium can account for several hyperinflation stylized facts. The ... -
Do higher moments really matter in portfolio choice?
2004-12-01We present explicit formulas for evaluating the difference between Markowitz weights and those from optimal portfolios, with the same given return, considering either asymmetry or kurtosis. We prove that, whenever the ... -
Finding a maximum skewness portfolio - A general solution to three-moments portfolio choice
2001-09-10Considering the three first moments and allowing short sales, the efficient portfolios set for n risky assets and a riskless one is found, supposing that agents like odd moments and dislike even ones. Analytical formulas ... -
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 ... -
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 ... -
Um indicador coincidente e antecedente da atividade econômica brasileira
2009-06-26Esse artigo tem três contribuições originais. A primeira é exatamente no esforço de reconstrução das séries de emprego e renda, de modo a permitir a criação de um novo índice coincidente para a atividade econômica brasileira. ... -
Interim efficiency with MEU-preferences
2009-07-14Recently Kajii and (2008) proposed to characterize interim efficient allocations in an exchange economy under asymmetric information when uncertainty is represented by multiple posteriors. When agents have Bewley's incomplete ... -
Introducing higher moments in the CAPM: some basic ideas
1999-11-01We show how to include in the CAPM moments of any order, extending the mean-variance or mean-variance-skewness versions available until now. Then, we present a simple way to modify the formulae, in order to avoid the ... -
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 ... -
The n-dimensional bailey-divisia measure as a general-equilibrium measure of the welfare costs of inflation
2011-07-26This paper shows that in economies with several monies the Bailey-Divisia multidimensional consumers surplus formula may emerge as an exact general-equilibrium measure of the welfare costs of in ation, provided that ... -
A note on convergence of Peck-Shell and Green-Lin mechanisms in the Diamond-Dybvig model
2011-07-27We study the effects of population size in the Peck-Shell analysis of bank runs. We find that a contract featuring equal-treatment for almost all depositors of the same type approximates the optimum. Because the approximation ... -
Optimal auction with a general distribution: virtual valuation without densities
2008-11-25We characterize the optimal auction in an independent private values framework for a completely general distribution of valuations. We do this introducing a new concept: the generalized virtual valuation. To show the wider ... -
Sacrifice and efficiency of the income tax schedule
2011-11We investigate the efficiency of equal sacrifice tax schedules in an economy which primitives are exactly those in Mirrlees (1971): a continuum of individuals with identical preferences defined over consumption and leisure ... -
Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?
2009-02-15Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, ... -
Using irregularly spaced returns to estimate multi-factor models: application to Brazilian equity data
2003-06-30Multi-factor models constitute a useful tool to explain cross-sectional covariance in equities returns. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an ... -
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 ...
