Industrial production forecasting with high dimensional models comparing aggregated vs disaggregated approaches: evidence from Brazil
31/12/2022
Victor Enes Cota.
Orientador: Francisco Eduardo de Luna e Almeida Santos. Gilberto Oliveira Boaretto.
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31/12/2022
Victor Enes Cota.
Orientador: Francisco Eduardo de Luna e Almeida Santos. Gilberto Oliveira Boaretto.
31/12/2022
Theodoro Parizzi Horta Araújo.
Orientador: Vinicius Nascimento Carrasco.
31/12/2022
Renan Morais Florias.
Orientador: Leonardo Rezende.
31/12/2022
Luiz Claudio Pereira Seabra.
Orientador: Roberto Geraldo Simonard Santos Filho.
31/12/2022
Lia Souto Manhães da Conceição.
Orientador: Claudio Cardoso Flores.
31/12/2022
Bruno Alcântara Duarte.
Orientador: Márcio Garcia.
31/12/2022
Júlia Zacconi Rudge.
Orientador: Maria de Nazareth Maciel.
31/12/2022
Marco Antônio Vargas Monteiro Novaes de Abreu.
Orientador: Marco Antonio Cavalcanti.
31/12/2022
Mariana Martins Nunes da Fonseca.
Orientador: Amanda Motta Schutze. Winston Fritsch.
31/12/2022
Victor Bejgel Epelbaum.
Orientador: Tiago Couto Berriel.
26/12/2022
In this paper we study the impact of monetary surprises on a class of asset prices in the Brazilian financial market. Due to institutional factors that prevent identification of this impact through the association between the monetary surprise and asset price movements in short windows around monetary policy announcements, we use an event study framework at daily frequency, controlling for both domestic and foreign factors that may affect the asset prices under analysis. We find that a surprise monetary tightening has a strong negative impact on stock market returns, and its effect on the yield curve is positive and hump-shaped, reaching a maximum on the 6 months yield. Unlike most of the previous literature focused on Brazil, we find that the Brazilian Real appreciates in response to this monetary tightening, which is consistent with the reactions found for currencies of developed economies. Moreover, while we obtain a regime in which the exchange rate is irresponsive to the monetary surprise, the evidence supporting a fiscal cause behind this regime is not strong.
Thomás Gleizer Feibert.
Orientador: Márcio Garcia.
Co-orientador: Carlos Viana de Carvalho.
Banca: Eduardo Zilberman. Bernardo Vasconcellos Guimarães.
Journal of Econometrics, v. 231,
p. 348-360, 2022
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen et al. (2010) and Bollerslev et al. (2020a) to allow for a finer decomposition of realized (co)variances. The new “realized partial (co)variances” allow for multiple thresholds with various locations, rather than the single fixed threshold of zero used in semi (co)variances. We adopt methods from machine learning to choose the thresholds to maximize the out-of-sample forecast performance of time series models based on realized partial (co)variances. We find that in low dimensional settings it is hard, but not impossible, to improve upon the simple fixed threshold of zero. In large dimensions, however, the zero threshold embedded in realized semi covariances emerges as a robust choice.
Tim Bollerslev, Marcelo Medeiros, Andrew J. Patton, Rogier Quaedvlieg.
22/11/2022
What if the fiscal risk is not negligible? Could the Central Bank continue effectively bringing inflation to the target when it ignores the default risk? To address those questions, we propose a small open economy DSGE model with an endogenous fiscal limit, where the government can default on its domestic bonds, and monetary authority may account for that. We evaluate dynamics under two different Central Bank decision rules: when (i) it wrongly tracks that risk, and (ii) it perfectly tracks default risk. The model is calibrated based on Brazilian data, as its recent budgetary deterioration makes the country an ideal case to be studied. We find that high inflation and depreciated currency coexist with a high interest rate when the monetary authority does not fully account for the default risk. The higher the default probability, the greater the differences across the effects of the two types of policy rules that we analyzed. For a central banker to restore the inflation target, she must fully track default risk in its decision rule. In addition, our model generates an endogenous premium across countries’ interest rates due to differences in sovereign default risk.
Marina Perrupato Mendonça.
Orientador: Carlos Viana de Carvalho.
Banca: Eduardo Gonçalves Costa Amaral. Yvan Becard.
O Globo e O Estado de S.Paulo, 11/11/2022
Rogério Werneck.
07/11/2022
This thesis is composed of 3 chapters in development economics, all of which relate to the role of public policy either in promoting sustainable policies for long-run maintenance of natural resources, or meeting citizens’ needs through efficient service delivery or questioning the accountability of current political institutions. The first paper shows that, by adopting a technology that incorporates sustainable agricultural practices, farmers have positive dynamic effects on productivity and climate resilience.We provide evidence of the mechanism of these dynamic effects: soil improvement. The second one presents the results of an RCT designed to test whether a managerial intervention in health centers in Mozambique can reduce coordination failures, increasing HIV patients’ retention in care and quality of care provided. Finally, the third one look at the large street protests that took place in Brazil in 2013 to analyze whether protests can work as an accountability mechanism for elected politicians. Using Twitter historical data, we create a measure of protest intensity and how noisy protesters’ demands were in each municipality. We present evidence that protests may work as accountability mechanism only if messages sent by protesters are sharp and clear, and politicians face reelection incentives.
Amanda de Albuquerque Jardim Rocha.
Orientador: Juliano Assunção.
Co-orientador: Claudio Ferraz.
Banca: Cecilia Machado. Edson Roberto Severnini. Ursula Mello. Paula Pereda.