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O Globo e O Estado de S. Paulo, 06/03/2020
Rogério Werneck.
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O Globo e O Estado de S. Paulo, 06/03/2020
Rogério Werneck.
The Review of Economics and Statistics, v. 102,
p. 162-179, 2020
We provide evidence on three mechanisms that can reconcile frequent individual price changes with sluggish aggregate price dynamics. To that end, we estimate a semi-structural model that can extract information about real rigidities and the distribution of price stickiness from aggregate data. Hence, the model can also speak to the debate about the aggregate implications of sales. Our estimates indicate large real rigidities and substantial heterogeneity in price stickiness. Moreover, the cross-sectional distribution of price stickiness implied by aggregate data is in line with an empirical distribution obtained from micro price data that factors out sales and product substitutions.
Carlos Viana de Carvalho, Niels Dam , Jae Won Lee.
O Globo e O Estado de S. Paulo, 21/02/2020
Rogério Werneck.
14/02/2020
Commodity index investing (CII) became a major trend among portfolio managers by the early 2000s causing a large influx of non-commercial investors to the commodity futures market. By improving the integration of commodity futures market to the broad financial market, CII is expected to have affected the risk premium in commodity futures. A new methodology is proposed to investigate both structural and transitory changes of risk premium behavior in the term structure of crude oil futures. The methodology consists of introducing Markov switching to the framework of affine term structure models while avoiding over-parametrization and unrealistic regime-switching in the cross-section relations of the term structure. Overall, results are in agreement with the previous literature by indicating the existence of a structural break coinciding with the popularization of CII followed by a period of lower and more volatile risk premium.
Fernando Saint-Martin de Abreu Soares.
Orientador: Marcelo Medeiros.
Co-orientador: Ruy Monteiro Ribeiro.
Banca: Márcio Garcia. Marco Antonio Cesar Bonomo.
O Globo e O Estado de S. Paulo, 24/01/2020
Rogério Werneck.
TD n. 669, 06/01/2020
Speculation, in the spirit of Harrison and Kreps [1978], is introduced into a standard real business cycle model. Investors (speculators) hold heterogeneous beliefs about firm growth. Firm ownership, and thus, the firm’s discount factor varies with waves of optimism and leverage. These waves ripple into firm investments in hours. The firm’s discount discount factor links the equity premium and labor volatility puzzles. We obtain an upper bound to the amplification that can be generated by speculation for any model of beliefs -- a factor of 1.5. A calibration based on diagnostic beliefs amplifies hours volatility by a factor of 1.15 and produces a bubble component of 20 percent.
Saki Bigio, Eduardo Zilberman.
EconomiA , 2019
Since the mid 1990s, theories of speculative attacks have argued that fixed exchange rate regimes induce excessive borrowing in foreign currency as an optimal response to implicit guarantees that the government will not devalue the domestic currency. Using data on Brazilian firms before and after the end of the fixed exchange rate regime in 1999, we estimate the relevance of the government guarantees by comparing the changes in foreign debt of two groups of firms: those that hedged their foreign currency debt prior to the exchange rate float and those that did not. Using the difference-in-differences approach, in which firm-specific characteristics are introduced as control variables, we exclude the macroeconomic effects of the change in the exchange rate regime and the possible differences in foreign debt trends of the two groups of firms, thus obtaining an estimate of the impact of the government guarantees on borrowing in foreign currency. The results suggest that the guarantees do not induce excessive borrowing in foreign currency.
Marcio Magalhães Janot, Márcio Garcia, Walter Novaes.
31/12/2019
Julia Valle Bodin de Saint'Ange Comnene.
Orientador: Eliane Gottlieb.
31/12/2019
Leonardo Azulay.
Orientador: Maria Elena Gava Reddo Alves.
Valor Econômico, 17/12/2019
Márcio Garcia.
Brazilian Review of Finance, v. 17, 2019
Despite the fall in the interest rate observed in Brazil in recent decades, and specific regulations on the private pension segment that encourage long-term risk taking, institutions in this segment appear to be considerably sensitive to short-term factors, while avoiding exposure to long-term risk factors. With portfolio allocation data from large entities, we implemented a VAR model to evaluate the impact of interest rate changes on portfolio management decisions and performed a counterfactual analysis to define the causal effect of regulation on additional risk taking. Results indicate that interest rate increases lead to significant and persistent reduction of investment in riskier assets with longer maturities, while the implemented regulation was not able to force greater risk-taking by institutions, in addition to generating distortions in segments of the Brazilian financial market
Márcio Garcia, Luiz Guilherme Carpizo Costa.
29/11/2019
Tiago Zeitone Gomes de Amorim.
Orientador: Vinicius Nascimento Carrasco.
29/11/2019
Felipe Fucs Mizrahy.
Orientador: Leonardo Rezende.
29/11/2019
Danilo Almeida Brandão.
Orientador: Márcio Garcia.
29/11/2019
Nicolas Chor Goldenstein.
Orientador: Maria Elena Gava Reddo Alves.
29/11/2019
Nina Leone Ferreira.
Orientador: Carlos Parcias Jr..
29/11/2019
Vívian Moreira de Souza.
Orientador: Amanda Motta Schutze.