Search Results - "Gaglianone, Wagner Piazza"

Inattention in individual expectations by de Almeida Campos Cordeiro, Yara, Gaglianone, Wagner Piazza, Issler, João Victor

“…This paper investigates the expectations formation process of economic agents about inflation rate. Using the Market Expectations System of Central Bank of…”
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Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models by Araujo, Gustavo Silva, Gaglianone, Wagner Piazza

“…In this paper, we explore machine learning (ML) methods to improve inflation forecasting in Brazil. An extensive out-of-sample forecasting exercise is designed…”
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Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil by Machado Vicente, José Valentim, Terra Moura Marins, Jaqueline, Piazza Gaglianone, Wagner

“…The purpose of this paper is to measure the impact of interest rate decisions of the Monetary Policy Committee (MPC) on foreign exchange (FX) rate in Brazil…”
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Evaluating Asset Pricing Models in a Simulated Multifactor Approach (Avaliando Modelos de Precificação de Ativos via Abordagem de Fatores Simulados) by Carrasco-Gutierrez, Carlos Enrique, Gaglianone, Wagner Piazza

“…In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation…”
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Incentive-driven inattention by Gaglianone, Wagner Piazza, Giacomini, Raffaella, Issler, João Victor, Skreta, Vasiliki

“…“Rational inattention” is becoming increasingly prominent in economic modeling, but there is little empirical evidence for its central premise-that the choice…”
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Constructing Density Forecasts from Quantile Regressions by GAGLIANONE, WAGNER PIAZZA, LIMA, LUIZ RENATO

“…The departure from the traditional concern with the central tendency is in line with the increasing recognition that an assessment of the degree of uncertainty…”
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Evaluating Value-at-Risk Models via Quantile Regression by Gaglianone, Wagner Piazza, Lima, Luiz Renato, Linton, Oliver, Smith, Daniel R.

“…This article is concerned with evaluating Value-at-Risk estimates. It is well known that using only binary variables, such as whether or not there was an…”
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CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS by Gaglianone, Wagner Piazza, Lima, Luiz Renato

“…Decision makers often observe point forecasts of the same variable computed, for instance, by commercial banks, IMF and the World Bank, but the econometric…”
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Commodity prices and global economic activity: A derived-demand approach by Mont'Alverne Duarte, Angelo, Gaglianone, Wagner Piazza, de Carvalho Guillén, Osmani Teixeira, Issler, João Victor

“…We propose a derived-demand approach to explain the positive correlation and the synchronicity between the growth rates of commodity prices and of economic…”
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Macro stress testing of credit risk focused on the tails by Schechtman, Ricardo, Gaglianone, Wagner Piazza

“…► Macro conditional credit risk tails determine ex-post solvency probabilities. ► Relative importance of macro variables varies along the credit risk…”
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Evaluation of exchange rate point and density forecasts: An application to Brazil by Gaglianone, Wagner Piazza, Marins, Jaqueline Terra Moura

“…This paper constructs multi-step-ahead point and density forecasts of the exchange rate. The approaches considered vary from statistical to economics-driven…”
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Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term by de Oliveira, Fernando Nascimento, Gaglianone, Wagner Piazza

“…Our objective in this paper is to build expectations anchoring indexes for inflation in Brazil that are fundamentally driven by the monetary authority’s…”
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Estimating inflation persistence by quantile autoregression with quantile-specific unit roots by Gaglianone, Wagner Piazza, Guillén, Osmani Teixeira de Carvalho, Figueiredo, Francisco Marcos Rodrigues

“…In this paper we study inflation persistence, which is a key feature of inflation dynamics, related to how quickly a stationary inflation process reverts to…”
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Applying a microfounded-forecasting approach to predict Brazilian inflation by Gaglianone, Wagner Piazza, Issler, João Victor, Matos, Silvia Maria

“…We investigate whether combining forecasts from surveys of expectations is a helpful empirical strategy for forecasting inflation in Brazil. We employ the…”
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Estimating the credibility of Brazilian monetary policy using a Kalman filter approach by de Freitas Val, Flávio, Klotzle, Marcelo Cabus, Pinto, Antonio Carlos Figueiredo, Gaglianone, Wagner Piazza

“…The objective of this study is to estimate the credibility of the monetary policy followed by the Central Bank of Brazil (BCB) during the period 2006–2015. To…”
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Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach by Lima, Luiz Renato, Gaglianone, Wagner Piazza, Sampaio, Raquel M.B.

“…In this paper we investigate fiscal sustainability by using a quantile autoregression (QAR) model. We propose a novel methodology to separate periods of…”
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Avaliando Modelos de Precificação de Ativos via Abordagem de Fatores Simulados by Carrasco-Gutierrez, Carlos Enrique, Gaglianone, Wagner Piazza

“…Neste artigo apresenta-se uma metodologia para comparar a performance relativa de diferentes modelos de fator estocástico de desconto (SDF - Stochastic…”
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An Essay on the Foreign Exchange Rate Expectations in Brazil by Ana Luiza Louzada Pereira, Wagner Piazza Gaglianone

“…This article analyses the behavior of the Brazilian exchange rate (Real/US dollar) and the corresponding values forecasted by the market agents, from 2001…”
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Um Ensaio sobre Expectativas de Taxa de Câmbio no Brasil by Gaglianone, Wagner Piazza, Pereira, Ana Luiza Louzada

“…O objetivo deste artigo é realizar um estudo sobre o comportamento das expectativas para a taxa de câmbio nominal brasileira, no período de novembro de 2001…”
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