Working Papers
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3232
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Resultados da Pesquisa
Working Paper Rational Sunspots(2016) Ascari, Guido; Banomolo, Paolo; HEDIBERT FREITAS LOPESThe instability of macroeconomic variables is usually ruled out by rational expectations. We propose a generalization of the rational expectations framework to estimate possible temporary unstable paths. Our approach yields drifting parameters and stochastic volatility. The methodology allows the data to choose between diferent possible alternatives: determinacy, indeterminacy and instability. We apply our methodology to US inflation dynamics in the '70s through the lens of a simple New Keynesian model. When unstable RE paths are allowed, the data unambiguously select them to explain the stagflation period in the '70s. Thus, our methodology suggests that US inflation dynamics in the '70s is better described by unstable rational equilibrium paths.Working Paper Credit rating de empresas não financeiras: um estudo comparative entre Brasil e Estados Unidos(2016) Carvalho, Davih; Martins, Sergio Ricardo; ADRIANA BRUSCATO BORTOLUZZOO presente trabalho tem como objetivo verificar os principais determinantes do rating de sociedades anônimas de capital aberto não financeiras no Brasil e nos Estados Unidos, listadas na BM&FBOVESPA e NYSE respectivamente, e comparar e fundamentar seus resultados. Para tanto, foi utilizado o modelo Probit ordinal em painel, buscando explicar a formação do rating das empresas. Dentro do escopo das variáveis explicativas contábeis das companhias, pôde-se concluir que as agências de rating dão significância a determinantes similares em ambos os mercados, demonstrando consistência metodológica e conexão entre os mercados financeiros brasileiro e americano.Working Paper Estudo de modelos de apreçamento de ativos de risco antes e depois da crise financeira de 2008 no mercado brasileiro(2016) ADRIANA BRUSCATO BORTOLUZZO; Venezuela, Maria Kelly; Bortoluzzo, Maurício Mesquita; Nakamura, Wilson ToshiroEste artigo faz um estudo comparativo entre três modelos de apreçamento de ativos de risco, o CAPM de Sharpe-Lintner, o modelo de 3 fatores de Fama e French e o modelo de 4 fatores de Cahart. Apresentamos uma metodologia de alocação dos ativos nas carteiras para mercados emergentes. Diferente de estudos anteriores, o foco da comparação dos modelos está em suas capacidades de previsão. O período foi subdividido para tornar possível a análise dos desempenhos nos períodos da crise financeira de 2008, anterior e posterior à crise. Os resultados apontam para um melhor desempenho dos modelos multifatoriais em todos os períodos. Para o período pós-crise, o modelo de 4 fatores apresenta uma melhora de 36,85% na qualidade de previsão comparado ao modelo de 3 fatores.Working Paper Semi-parametric inference for the means of heavy-tailed distributions(2016) Taddy, Matt; HEDIBERT FREITAS LOPES; Goldberg, David; Gardner, MattHeavy tailed distributions present a tough setting for inference. They are also common in industrial applications, particularly with Internet transaction datasets, and machine learners often analyze such data without considering the biases and risks associated with the misuse of standard tools. This article outlines a procedure for inference about the (possibly conditional) mean of a heavy tailed distribution that combines nonparametric inference for the bulk of the support with parametric inference – motivated from extreme value theory – for the heavy tail. We are able to derive analytic posterior conditional means and variances for the expected value of a heavy tailed distributivo. We also introduce a simple and novel independence Metropolis Hastings algorithm that samples from the distribution for tail parameters via small adjustments to a parametric bootstrap, and through this algorithm are able to provide comparisons between our framework and frequentist semiparametric inference. We also provide a modeling extension that shrinks tails across distributions to an overall background tail. We illustrate on two examples: treatment effect estimation on a set of 72 A/B experiments, and the fitting of regression trees for prediction of user spending. Both use data from tens of millions of users of eBay.com.Working Paper Cholesky Realized Stochasti Volatility Model(2016) Shirota, Shinichiro; Omori, Yashiro; HEDIBERT FREITAS LOPES; Piao, HaixiangMultivariate stochastic volatility models with leverage are expected to play important roles in financial applications such as asset allocation and risk management. However, these models suffer from two major difficulties: (1) there are too many parameters to estimate using only daily asset returns and (2) estimated covariance matrices are not guaranteed to be positive definite. Our approach takes advantage of realized covariances to attain the efficient estimation of parameters by incorporating additional information for the co-volatilities, and considers Cholesky decomposition to guarantee the positive definiteness of the covariance matrices. In this framework, we propose a flexible modeling for stylized facts of financial markets such as dynamic correlations and leverage effects among volatilities. Taking a Bayesian approach, we describe Markov Chain Monte Carlo implementation with a simple but efficient sampling scheme. Our model is applied to nine U.S. stock returns data, and the model comparison is conducted based on portfolio performances.Working Paper Efficient Bayesian Inference for Multivariate Factor Stochastic Volatility Models(2016) Kastner, Gregor; Frühwirth-Schnatter, Sylvia; HEDIBERT FREITAS LOPESWe discuss efficient Bayesian estimation of dynamic covariance matrices in multivariate time series through a factor stochastic volatility model. In particular, we propose two interweaving strategies (Yu and Meng, 2011) to substantially accelerate convergence and mixing of standard MCMC approaches. Similar to marginal data augmentation techniques, the proposed acceleration procedures exploit non-identifiability issues which frequently arise in factor models. Our new interweaving strategies are easy to implement and come at almost no extra computational cost; nevertheless, they can boost estimation efficiency by several orders of magnitude as is shown in extensive simulation studies. To conclude, the application of our algorithm to a 26-dimensional exchange rate data set illustrates the superior performance of the new approach for real-world data.Working Paper General Equilibrium Option Pricing under Counter-Cyclical Growth and Long-Run Risk(2016) Hore, Satadru; HEDIBERT FREITAS LOPES; McCulloch, RobertPut option prices are counter-cyclical. We build a general equilibrium model based on Duffie-Epstein preferences and Ak production function that delivers a model of put option prices that captures both time-series and cross-sectional properties of relative put option prices. When estimated with US aggregate consumption data and S&P 500 index options using Bayesian MCMC, we confirm our theory that agents have elasticity of intertemporal substitution greater than 1 which confirms the substitution effect, and put option prices reveal the underlying counter-cyclical economic state. The underlying economic dynamics, when combined with long-run risk nature of Duffie-Epstein preferences, can match the time-series and cross-section of US option prices with our theory.Working Paper Updating Pricing Rules(2016) Araujo, Aloisio; Chateauneuf, Alain; JOSÉ HELENO FARO; Holanda, BrunoThis paper studies the problem of updating the super-replication prices of na arbitrage-free market in a multiperiod setting. We introduce a set of standard properties and a (weak) version of Dynamic Consistency to characterize the updated pricing rules by the Full Bayesian Rule. Since different pricing rules are related to different kinds of frictions on the financial markets, this study allow us to analyze the evolution of the market structure when new informations are revealed. We also provide a geometric characterization for the pricing rules that characterizes frictionless incomplete markets. This geometric property is useful to demonstrate that the incomplete frictionless market structure is invariant under updating when a non trivial updating condition between the set of risk-neutral measures and revealed information is present.Working Paper Velocidade da moeda e ciclos econômicos no Brasil, 1900-2016.(2016) Vieira, Heleno Piazentini; Pereira, Pedro Luiz VallsO objetivo deste trabalho é identificar e descrever o comportamento da velocidade da moeda no Brasil de 1900 até 2016 dentro dos ciclos de negócios. Este trabalho constrói uma série trimestral para a velocidade da moeda neste período. O trabalho estuda esse comportamento nas perspectivas de longo e de curto prazos e tem como referência uma cronologia de datação cíclica. Além de identificar as tendências dessa variável ao longo do tempo, o trabalho levanta alguns possíveis fatores explicativos para tal comportamento, os quais exigem investigação futura. O principal resultado foi que a relação direta entre velocidade e ciclo econômico pode ser observada no caso brasileiro de 1929 até 1945. Nos anos anteriores a velocidade subiu nas expansões datadas, mas esta relação direta não é estável nos períodos recessivos. No período histórico posterior nem mesmo essa relação direta com os cenários de expansão se verifica. O papel da inflação parece ser central na explicação do comportamento da velocidade brasileiro no período pós-guerras.