Asymmetric Effects and Long Memory in the Volatility of Dow Jones Stocks
International Journal of Forecasting, v. 25, 2009
p. 304-327,
Marcel Scharth, Marcelo Medeiros.
Artigos em periódicos
Navegue nas categorias para acessar o conteúdo de publicações acadêmicas, científicas e de opinião dos professores e alunos do Departamento de Economia da PUC-Rio.
Altruism, fertility, and the value of children: health policy evaluation and intergenerational welfare
Journal of Public Economics, v. 93, TD n. 1-2, 2009
p. 208-295,
Javier Birchenall, Rodrigo Reis Soares.
Life expectancy and welfare in Latin America and the Caribbean
Health Economics, v. 18, TD n. S1, 2009
p. S37-S54,
Rodrigo Reis Soares.
Repeated lending under contractual incompleteness
Annals of Finance, v. 6, 2009
p. 51-82,
Vinicius Nascimento Carrasco, João Manoel Pinho de Mello.
Labor adjustment dynamics in Brazilian manufacturing
Brazilian Review of Econometrics, v. 29, TD n. 2, 2009
p. 251-284,
In this paper, we investigate the dynamics of labor adjustment at the rm level in
Brazilian manufacturing, using information on average hours per worker to measure
employment deviation from desired levels as in Caballero et al. (1997). We use Brazilian
manufacturing data at the establishment level and monthly frequency. The objective is
to estimate the employment adjustment function, which relates the magnitude of em-
ployment changes to the size of employment gaps. The empirical results point to the
presence of nonconvexities in employment adjustment costs in Brazilian manufacturing,
with estimated employment adjustment rates increasing with the size of employment
gaps. On average, employment adjustment rates range from 10% for small employment
gaps to 35% for large ones. The results also show that there is a large proportion of
rms in the sample that do not adjust employment over two consecutive periods. We
run several robustness tests with alternative ways of estimating the employment gaps,
using other forms of dealing with measurement error and a problem of endogeneity of the
hours change variable. Although the magnitudes of employment adjustment rates vary,
we show that: i) the variations are in line with the expected directions of the biases in
estimating the coecient of the hours change variable; and ii) the format of employment
adjustment functions does not change across speci cations, always revealing that employ-
ment adjustment rates increase with the size of employment gaps, which is compatible
with nonconvex costs of employment adjustment. We also study how the employment
adjustment function varies according to several establishment characteristics, such as
skilled-labor intensity, size, payroll expenses, and overtime payments. We show that the
employment adjustment function tends to have a higher mean and to display larger val-
ues when measured for establishments with characteristics that are arguably related to
lower costs of employment adjustment: larger proportion of low-skilled workers, smaller
size and lower overtime payments.
Gustavo Gonzaga.
Does Crime Affect Economic Decisions? An Empirical Investigation of Savings in a High-Crime Environment
B.E. Journal of Economic Analysis & Policy, v. 8, 2008
Eduardo Zilberman.
Exposing Corrupt Politicians: The Effect of Brazil’s Publicly Released Audits on Electoral Outcomes
Quarterly Journal of Economics, v. 123, TD n. 2, 2008
p. 703-745,
This paper uses publicly released audit reports to study the effects of disclosing information about corruption practices on electoral accountability. In 2003, as part of an anticorruption program, Brazil's federal government began to select municipalities at random to audit their expenditures of federally transferred funds. The findings of these audits were then made publicly available and disseminated to media sources. Using a data set on corruption constructed from the audit reports, we compare the electoral outcomes of municipalities audited before versus after the 2004 elections, with the same levels of reported corruption. We show that the release of the audit outcomes had a significant impact on incumbents' electoral performance, and that these effects were more pronounced in municipalities where local radio was present to divulge the information. Our findings highlight the value of having a more informed electorate and the role played by local media in enhancing political selection.
Claudio Ferraz, Frederico Finan.
Rural organization and land reform in Latin America: the role of nonagricultural benefits of landholding
Economic Development and Cultural Change, v. 56, TD n. 4, 2008
Juliano Assunção.
Realized volatility
Econometric Reviews, v. 27, 2008
Michael McAller, Marcelo Medeiros.
A neural network demand system with heteroskedastic errors
Journal of Econometrics, v. 147, 2008
p. 359-371,
Michael McAller, Daniel Slottje, Marcelo Medeiros.
A multiple regime smooth transition heterogeneous autoregressive model for long memory and asymmetries
Journal of Econometrics, v. 147, 2008
p. 104-119,
Michael McAller, Marcelo Medeiros.
An alternative approach to to estimating demand: neural network regression with conditional volatility for high frequency air passenger arrivals
Journal of Econometrics, v. 147, 2008
p. 372-383,
Michael McAller, Daniel Slottje, Vicente Ramos, Javier Rey Maquieira, Marcelo Medeiros.
"A pesquisa em Economia no Brasil: Uma avaliação Empírica dos Conflitos entre Quantidade e Qualidade"
Revista Brasileira de Economia, v. 62, TD n. 4, 2008
p. 467-495,
Walter Novaes.
Modeling and forecasting short term electricity load: a comparison of methods with an application to Brazilian data
International Journal of Forecasting, v. 24, 2008
p. 630-644,
Lacir Soares, Marcelo Medeiros.
The demographic transition and the sexual division of labor
Journal of Political Economy, v. 116, TD n. 61, 2008
p. 1058-1104,
Bruno Falcão, Rodrigo Reis Soares.
Wealth transfers and the role of collateral when lifetimes are uncertain
Economic Theory, v. 36, TD n. 3, 2008
Abdelkrin Seghir, Juan Pablo Torres-Martínez.
Tree-structured smooth transition regression models
Computation Statistics and Data Analysis, v. 52, 2008
Joel C. Rosa, Alvaro Veiga, Marcelo Medeiros.
Econometrics of auctions by least squares
Journal of Applied Econometrics, v. 23, 2008
p. 925-948,
Leonardo Rezende.
Collateralized assets and asymmetric information
Journal of Mathematical Economics, v. 44, TD n. 5-6, 2008
Juan Pablo Torres-Martínez, Myrian Beatriz da Silva Petrassi.
Efficient semi parametric estimation of quantile treatment effects
Econometrica, v. 75, 2007
p. 259-277,
Sergio Firpo.