Mestrado Profissional em Economia
URI permanente para esta coleçãohttps://repositorio.insper.edu.br/handle/11224/3240
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4 resultados
Resultados da Pesquisa
Dissertação Machine Learning Methods in Asset Pricing: An Analysis of Cross-sectional Stock Returns with Macroeconomic Factors in Brazil(2025) Vieira, Emerson SousaThe literature on financial machine learning has growth rapidly with studies encompassing several asset classes, chiefly for the stock market. We apply machine learning methods to Brazilian stocks cross section of monthly excess returns by using Brazilian stock factors while adding a vast set macroeconomic ones as our research primary contribution, for which the literature on Brazilian equities is scarce. We confirm recent results that ML models drive a substantial improvement in out-of-sample R2 predictive power over traditional OLS models. Running an out-of-sample variable importance analysis, we also found macroeconomic factors overweight firm-related ones, with a slight predominance of country risk (EMBI Brazil Index), followed by the expectations of economics conditions, and Brazil’s commodities composite index, and credit-to-GDP ratio. Our findings suggest a high relevance of macroeconomic factors when predicting monthly excess returns for Brazilian stocksDissertação Modeling Inflation Dynamics in the United States and Brazil: A Study of Structural and Unrestricted Econometric Approaches(2024) Ferrazoli, AmabileThis thesis consists of two essays examining inflation dynamics through econometric modeling, with distinct analyses of the United States and Brazil, particularly during and after the COVID-19 pandemic. The first essay analyzes inflation dynamics in the United States, benchmarking the Bernanke & Blanchard Structural Vector Autoregression with Exogenous Variables (SVAR-X) models against unrestricted Vector Autoregression (VAR-X) and modified SVAR frameworks. It specifically addresses the structural limitations highlighted by the Bernanke and Blanchard (2023, 2024) model, demonstrating that rigidity in standard model assumptions can obscure critical interactions among wage growth, price inflation, and inflation expectations. The findings indicate significant feedback loops and highlight how structural assumptions impact the perceived role of labor market dynamics, sectoral price shocks, and inflation expectations, especially under the unprecedented disruptions brought by the pandemic. The second essay adapts and expands the modeling approach to Brazil's unique economic conditions, incorporating explicit adjustments for inflation expectations within an inflation-targeting regime. This essay demonstrates how structural factors—such as indexation, policy volatility, and expectation deviations from targets—significantly influence inflation persistence in an emerging market. The empirical results highlight Brazil's greater sensitivity to supply-side shocks and the critical role of wage-setting mechanisms. Methodological refinements, including the explicit modeling of policy credibility and labor market tightness through novel indicators, provide nuanced insights into the limitations of standard developed markets oriented econometric approaches when applied to emerging economies.Dissertação São Paulo Bus System: Transitioning to Electric Fleet(2024) Pucciarelli, Mateus LeiteThis study analyzes the electrification of São Paulo’s bus fleet through a principal-agent model, addressing the dynamics between concessionaires and the municipal government. Unlike traditional centralized models found in the literature, this method captures the distinct incentives of both parties, offering a more practical basis for public policy design. The analysis evaluates the effectiveness of São Paulo’s current subsidy policy, which covers the price difference between electric and diesel buses, subsidizing approximately 72% of electric bus acquisition costs, comparing it with alternative scenarios of subsidized percentage. The results indicate that the payoff of the current policy is close to the optimal payoff – with 100% subsidy – when compared to the alternative no-subsidy scenario, achieving a value R$ 151 million higher than the no-subsidy scenario and only R$ 13.6 million lower than the optimal case. Sensitivity analyses reveal that municipal budget constraints and externality pricing critically influence policy outcomes. Although the study demonstrates the effectiveness of the approach adopted by São Paulo, investments in the electrical grid infrastructure and supply constraints, which may impact implementation feasibility, were not considered. This research contributes a new methodological perspective to the literature and offers practical insights for urban mobility policymakersDissertação A Comparative Analysis of Monetary Shocks: Insights from the Brazilian Economy(2023) Araújo, Gabriella Souza deThis article seeks to contribute to the still limited literature on monetary shocks in Brazil and draw comparisons with previously estimated shocks. The proposed methodology, based on Bu, Rogers, and Wu (2021), allows for estimating a series of shocks without the price puzzle, as its competitive advantage lies in the absence of informational effects. We have identified significant advantages in the response and robustness of the estimated instrument, highlighting that the BRW methodology appears to be effective not only in estimating the effects of traditional monetary policies but also in measuring forward guidance.