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The external finance premium in Brazil : empirical analyses using state space models
Oliveira, Fernando Nascimento de - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 97-131
Persistent link: https://www.econbiz.de/10011538979
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Measuring the structural credibility of monetary policy by expected inflation determinants : a Kalman filter approach for Brazil
Moreira, Ricardo Ramalhete - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 287-309
Persistent link: https://www.econbiz.de/10011644520
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Estimating the credibility of Brazilian monetary policy using forward measures and a state-space model
Val, Flávio de Freitas; Gaglianone, Wagner Piazza; … - 2017
Persistent link: https://www.econbiz.de/10011735916
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State space models for the exchange rate pass-through : determinants and null/full pass-through hypotheses
Martins de Souza, Rafael; Maciel, Luiz Felipe Pires; … - In: Applied economics 45 (2013) 34/36, pp. 5062-5075
Persistent link: https://www.econbiz.de/10010226437
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Modeling and forecasting the co-movement of international yield curve drivers
Sprincenatu, Maria - 2019
Persistent link: https://www.econbiz.de/10012172917
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Inflation targeting and inflation expectations : evidence for Brazil and Turkey
Altuğ, Sumru; Çakmaklı, Cem - 2014
In this paper, we study the evolution of inflation expectations for two key emerging economies, Brazil and Turkey … survey-based inflation expectations and inflation targets set by the central banks of Brazil and Turkey with the predictions … inflation expectations are anchored more closely the inflation target set by the Central Bank for Brazil. By contrast, there is …
Persistent link: https://www.econbiz.de/10010337610
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A time-varying fiscal reaction function for Brazil
Campos, Eduardo Lima; Cysne, Rubens Penha - In: Estudos econômicos : publicação trimestral do … 49 (2019) 1, pp. 5-38
Persistent link: https://www.econbiz.de/10012170200
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A time-varying fiscal reaction function for Brazil
Campos, Eduardo Lima; Cysne, Rubens Penha - 2017 - Preliminary version
Persistent link: https://www.econbiz.de/10011796160
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Goodness-of-fit versus significance : a CAPM selection with dynamic betas applied to the Brazilian stock market
de Pinho Ronzani, André Ricardo; Candido, Osvaldo; … - In: International Journal of Financial Studies : open … 5 (2017) 4, pp. 1-21
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess the behavior of some selected Brazilian...
Persistent link: https://www.econbiz.de/10011760331
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Welfare cost of inflation in Brazil : an approach with time-varying cointegration and Kalman Filter
Campos, Eduardo Lima; Cysne, Rubens Penha - 2018
Persistent link: https://www.econbiz.de/10011898482