Details about Wagner Piazza Gaglianone

Access statistics for papers by Wagner Piazza Gaglianone.

Last updated 2024-06-11. Update your information in the RePEc Author Service.

Short-id: pga306

Working Papers

2023

1. Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models
   Working Papers Series, Central Bank of Brazil, Research Department
2. Predicting Recessions in (almost) Real Time in a Big-data Setting
   Working Papers Series, Central Bank of Brazil, Research Department

2022

3. Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models
   Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
   See also Journal Article Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models, Latin American Journal of Central Banking (previously Monetaria), Elsevier (2023) View citations (9) (2023)

2021

4. Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil
   Working Papers Series, Central Bank of Brazil, Research Department
5. Machine Learning and Oil Price Point and Density Forecasting
   Working Papers Series, Central Bank of Brazil, Research Department View citations (11)
   See also Journal Article Machine learning and oil price point and density forecasting, Energy Economics, Elsevier (2021) View citations (5) (2021)

2020

6. Commodity Prices and Global Economic Activity: a derived-demand approach
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article Commodity prices and global economic activity: A derived-demand approach, Energy Economics, Elsevier (2021) View citations (10) (2021)

2019

7. Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term
   Working Papers Series, Central Bank of Brazil, Research Department View citations (1)
   See also Journal Article Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term, International Economics, Elsevier (2020) View citations (5) (2020)
8. Incentive-driven Inattention
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
   Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2019) View citations (3)
   Working Papers Series, Central Bank of Brazil, Research Department (2018) View citations (6)
   See also Journal Article Incentive-driven inattention, Journal of Econometrics, Elsevier (2022) View citations (4) (2022)
9. Microfounded forecasting
   FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
   Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2015) View citations (4)
   Working Papers Series, Central Bank of Brazil, Research Department (2014) View citations (1)

2017

10. Empirical Findings on Inflation Expectations in Brazil: a survey
    Working Papers Series, Central Bank of Brazil, Research Department View citations (2)
11. Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)
12. Financial Conditions Indicator for Brazil
    IDB Publications (Working Papers), Inter-American Development Bank View citations (1)
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2016) View citations (2)
13. Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression
    Working Papers Series, Central Bank of Brazil, Research Department View citations (1)

2016

14. Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Applying a microfounded-forecasting approach to predict Brazilian inflation, Empirical Economics, Springer (2017) View citations (1) (2017)
15. Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Evaluation of exchange rate point and density forecasts: An application to Brazil, International Journal of Forecasting, Elsevier (2017) View citations (7) (2017)
16. Inattention in individual expectations
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (2)
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2015) View citations (5)
    See also Journal Article Inattention in individual expectations, Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] (2017) (2017)

2015

17. Local Unit Root and Inflationary Inertia in Brazil
    Working Papers Series, Central Bank of Brazil, Research Department

2014

18. Risk Assessment of the Brazilian FX Rate
    Working Papers Series, Central Bank of Brazil, Research Department

2012

19. Constructing Optimal Density Forecasts from Point Forecast Combinations
    Série Textos para Discussão (Working Papers), Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba View citations (34)
    See also Journal Article CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2014) View citations (15) (2014)
20. Financial Stability in Brazil
    Working Papers Series, Central Bank of Brazil, Research Department View citations (8)
    See also Chapter Financial stability in Brazil, Chapters, Edward Elgar Publishing (2013) (2013)

2011

21. Macro Stress Testing of Credit Risk Focused on the Tails
    Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
    See also Journal Article Macro stress testing of credit risk focused on the tails, Journal of Financial Stability, Elsevier (2012) View citations (15) (2012)

2010

22. Evaluating Value-at-Risk Models via Quantile Regression
    NCER Working Paper Series, National Centre for Econometric Research View citations (10)
    Also in FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2008) View citations (1)
    UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía (2009)
    Working Papers Series, Central Bank of Brazil, Research Department (2008) View citations (1)
    See also Journal Article Evaluating Value-at-Risk Models via Quantile Regression, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (84) (2011)

2008

23. An Econometric Contribution to the Intertemporal Approach of the Current Account
    Working Papers Series, Central Bank of Brazil, Research Department
24. Evaluating Asset Pricing Models in a Fama-French Framework
    Working Papers Series, Central Bank of Brazil, Research Department View citations (2)

2006

25. Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (6)
    See also Journal Article Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach, Journal of Development Economics, Elsevier (2008) View citations (16) (2008)
26. Stochastic simulation of a DSGE model for Brazil
    MPRA Paper, University Library of Munich, Germany View citations (6)

2005

27. Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR)
    FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) View citations (9)
28. Um ensaio sobre expectativas da taxa de câmbio no Brasil
    (An essay on the foreign exchange rate expectations in Brazil)
    MPRA Paper, University Library of Munich, Germany

Journal Articles

2023

1. Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models
   Latin American Journal of Central Banking (previously Monetaria), 2023, 4, (2) View citations (9)
   See also Working Paper Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models, Working Papers Series (2022) View citations (3) (2022)

2022

2. Incentive-driven inattention
   Journal of Econometrics, 2022, 231, (1), 188-212 View citations (4)
   See also Working Paper Incentive-driven Inattention, CEPR Discussion Papers (2019) View citations (3) (2019)

2021

3. Commodity prices and global economic activity: A derived-demand approach
   Energy Economics, 2021, 96, (C) View citations (10)
   See also Working Paper Commodity Prices and Global Economic Activity: a derived-demand approach, Working Papers Series (2020) View citations (1) (2020)
4. Machine learning and oil price point and density forecasting
   Energy Economics, 2021, 102, (C) View citations (5)
   See also Working Paper Machine Learning and Oil Price Point and Density Forecasting, Working Papers Series (2021) View citations (11) (2021)

2020

5. Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term
   International Economics, 2020, 163, (C), 72-91 View citations (5)
   Also in International Economics, 2020, (163), 72-91 (2020) View citations (2)
   See also Working Paper Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term, Working Papers Series (2019) View citations (1) (2019)

2018

6. Estimating inflation persistence by quantile autoregression with quantile-specific unit roots
   Economic Modelling, 2018, 73, (C), 407-430 View citations (12)

2017

7. Applying a microfounded-forecasting approach to predict Brazilian inflation
   Empirical Economics, 2017, 53, (1), 137-163 View citations (1)
   See also Working Paper Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation, Working Papers Series (2016) (2016)
8. Estimating the credibility of Brazilian monetary policy using a Kalman filter approach
   Research in International Business and Finance, 2017, 41, (C), 37-53 View citations (2)
9. Evaluation of exchange rate point and density forecasts: An application to Brazil
   International Journal of Forecasting, 2017, 33, (3), 707-728 View citations (7)
   See also Working Paper Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil, Working Papers Series (2016) (2016)
10. Inattention in individual expectations
    Economia, 2017, 17, (1), 40_59
    See also Working Paper Inattention in individual expectations, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2016) View citations (2) (2016)

2014

11. CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS
    Journal of Applied Econometrics, 2014, 29, (5), 736-757 View citations (15)
    See also Working Paper Constructing Optimal Density Forecasts from Point Forecast Combinations, Série Textos para Discussão (Working Papers) (2012) View citations (34) (2012)

2012

12. Constructing Density Forecasts from Quantile Regressions
    Journal of Money, Credit and Banking, 2012, 44, (8), 1589-1607 View citations (16)
    Also in Journal of Money, Credit and Banking, 2012, 44, (8), 1589-1607 (2012) View citations (49)
13. Evaluating Asset Pricing Models in a Simulated Multifactor Approach
    Brazilian Review of Finance, 2012, 10, (4), 425-460 View citations (1)
14. Macro stress testing of credit risk focused on the tails
    Journal of Financial Stability, 2012, 8, (3), 174-192 View citations (15)
    See also Working Paper Macro Stress Testing of Credit Risk Focused on the Tails, Working Papers Series (2011) View citations (10) (2011)

2011

15. Evaluating Value-at-Risk Models via Quantile Regression
    Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 View citations (84)
    Also in Journal of Business & Economic Statistics, 2011, 29, (1), 150-160 (2011) View citations (84)
    See also Working Paper Evaluating Value-at-Risk Models via Quantile Regression, NCER Working Paper Series (2010) View citations (10) (2010)

2008

16. Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach
    Journal of Development Economics, 2008, 86, (2), 313-335 View citations (16)
    See also Working Paper Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) (2006) View citations (6) (2006)

2005

17. An Essay on the Foreign Exchange Rate Expectations in Brazil
    Brazilian Review of Finance, 2005, 3, (1), 55-100

Chapters

2013

1. Financial stability in Brazil
   Chapter 4 in Stability of the Financial System, 2013
   See also Working Paper Financial Stability in Brazil, Central Bank of Brazil, Research Department (2012) View citations (8) (2012)

2010

2. Survey-based inflation expectations in Brazil
   A chapter in Monetary policy and the measurement of inflation: prices, wages and expectations, 2010, vol. 49, pp 107-114 View citations (6)