Details about Jose Renato Haas Ornelas

Access statistics for papers by Jose Renato Haas Ornelas.

Last updated 2024-10-02. Update your information in the RePEc Author Service.

Short-id: por69

Working Papers

2024

1. Do Firms Need Cheaper Credit to Grow? investigating the effectiveness of subsidized earmarked loans
   Working Papers Series, Central Bank of Brazil, Research Department
2. Payment Technology Complementarities and their Consequences in the Banking Sector: evidence from Brazil’s Pix
   Working Papers Series, Central Bank of Brazil, Research Department

2023

3. Bank competition, cost of credit and economic activity: evidence from Brazil
   BIS Working Papers, Bank for International Settlements
   Also in Working Papers Series, Central Bank of Brazil, Research Department (2019) View citations (8)
4. Banks’ Physical Footprint and Financial Technology Adoption
   Working Papers Series, Central Bank of Brazil, Research Department
5. The Value of Clean Water: evidence from an environmental disaster
   Working Papers Series, Central Bank of Brazil, Research Department

2022

6. Does Fintech Lending Lower Financing Costs? Evidence From An Emerging Market
   Working Papers Series, Central Bank of Brazil, Research Department
7. Government Banks and Interventions in Credit Markets
   Working Papers, Federal Reserve Bank of Boston View citations (1)
8. Informational switching costs, bank competition, and the cost of finance
   BIS Working Papers, Bank for International Settlements View citations (1)
   Also in Working Papers Series, Central Bank of Brazil, Research Department (2020) View citations (7)
   IDB Publications (Working Papers), Inter-American Development Bank (2020) View citations (7)
   See also Journal Article Informational switching costs, bank competition, and the cost of finance, Journal of Banking & Finance, Elsevier (2022) View citations (9) (2022)

2021

9. Credit Allocation When Private Banks Distribute Government Loans
   Working Papers Series, Central Bank of Brazil, Research Department View citations (2)

2019

10. Implied Volatility Term Structure and Exchange Rate Predictability
    Working Papers Series, Central Bank of Brazil, Research Department View citations (7)
    See also Journal Article Implied volatility term structure and exchange rate predictability, International Journal of Forecasting, Elsevier (2019) View citations (6) (2019)
11. Winners and Losers When Private Banks Distribute Government Loans: Evidence from Earmarked Credit in Brazil
    Policy Research Working Paper Series, The World Bank View citations (1)

2018

12. Commodity Return Predictability: evidence from implied variance, skewness and their risk premia and their risk premia
    Working Papers Series, Central Bank of Brazil, Research Department

2017

13. Expected Currency Returns and Volatility Risk Premia
    Working Papers Series, Central Bank of Brazil, Research Department View citations (6)
    See also Journal Article Expected currency returns and volatility risk premia, The North American Journal of Economics and Finance, Elsevier (2019) View citations (7) (2019)
14. Risco, Dívida e Alavancagem Soberana
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)
15. Volatility Risk Premia and Future Commodity Returns
    Working Papers Series, Central Bank of Brazil, Research Department View citations (9)
    See also Journal Article Volatility risk premia and future commodity returns, Journal of International Money and Finance, Elsevier (2019) View citations (8) (2019)
16. Volatility risk premia and future commodities returns
    BIS Working Papers, Bank for International Settlements View citations (9)

2015

17. The Cost of Shorting, Asymmetric Performance Reaction and the Price Response to Economic Shocks
    Working Papers Series, Central Bank of Brazil, Research Department

2014

18. Assessing the Forecast Ability of Risk-Neutral Densities and Real-World Densities from Emerging Markets Currencies
    Working Papers Series, Central Bank of Brazil, Research Department
19. Testing the Liquidity Preference Hypothesis using Survey Forecasts
    Working Papers Series, Central Bank of Brazil, Research Department
    See also Journal Article Testing the liquidity preference hypothesis using survey forecasts, Emerging Markets Review, Elsevier (2015) (2015)

2012

20. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
    Working Papers Series, Central Bank of Brazil, Research Department View citations (10)
    Also in EBAPE Working Papers, FGV EBAPE - Escola Brasileira de Administração Pública e de Empresas (Brazil) (2012) View citations (12)

2008

21. Behavior and Effects of Equity Foreign Investors on Emerging Markets
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)

2006

22. Herding Behavior by Equity Foreign Investors on Emerging Markets
    Working Papers Series, Central Bank of Brazil, Research Department View citations (3)

2004

23. Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (1)

2003

24. Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (5)
25. Goodness-of-fit Tests focus on VaR Estimation
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa View citations (3)

Journal Articles

2024

1. Market Power and the Transmission of Loan Subsidies
   The Review of Corporate Finance Studies, 2024, 13, (4), 931-965

2022

2. Commodity return predictability: Evidence from implied variance, skewness, and their risk premia☆☆
   Journal of International Financial Markets, Institutions and Money, 2022, 79, (C)
3. Informational switching costs, bank competition, and the cost of finance
   Journal of Banking & Finance, 2022, 138, (C) View citations (9)
   See also Working Paper Informational switching costs, bank competition, and the cost of finance, BIS Working Papers (2022) View citations (1) (2022)

2021

4. Short‐selling costs and asymmetric price response to economic shocks: A transaction cost explanation to price overshooting
   International Journal of Finance & Economics, 2021, 26, (2), 1745-1772

2019

5. Expected currency returns and volatility risk premia
   The North American Journal of Economics and Finance, 2019, 49, (C), 206-234 View citations (7)
   See also Working Paper Expected Currency Returns and Volatility Risk Premia, Working Papers Series (2017) View citations (6) (2017)
6. Implied volatility term structure and exchange rate predictability
   International Journal of Forecasting, 2019, 35, (4), 1800-1813 View citations (6)
   See also Working Paper Implied Volatility Term Structure and Exchange Rate Predictability, Working Papers Series (2019) View citations (7) (2019)
7. Volatility risk premia and future commodity returns
   Journal of International Money and Finance, 2019, 96, (C), 341-360 View citations (8)
   See also Working Paper Volatility Risk Premia and Future Commodity Returns, Working Papers Series (2017) View citations (9) (2017)

2016

8. The Forecast Ability of Option-implied Densities from Emerging Markets Currencies
   Brazilian Review of Econometrics, 2016, 36, (1) View citations (5)

2015

9. Testing the liquidity preference hypothesis using survey forecasts
   Emerging Markets Review, 2015, 23, (C), 173-185
   See also Working Paper Testing the Liquidity Preference Hypothesis using Survey Forecasts, Working Papers Series (2014) (2014)

2012

10. Combining equilibrium, resampling, and analyst’s views in portfolio optimization
    Journal of Banking & Finance, 2012, 36, (5), 1354-1361 View citations (6)
    See also Chapter Combining equilibrium, resampling, and analysts' views in portfolio optimization, BIS Papers chapters, 2011, 58, 75-84 (2011) (2011)
11. Yes, the choice of performance measure does matter for ranking of us mutual funds
    International Journal of Finance & Economics, 2012, 17, (1), 61-72 View citations (21)

2011

12. Recovering Risk-Neutral Densities from Brazilian Interest Rate Options
    Brazilian Review of Finance, 2011, 9, (1), 9-26

2009

13. Minimising operational risk in portfolio allocation decisions
    Journal of Risk Management in Financial Institutions, 2009, 2, (4), 438-450

2008

14. A Goodness-of-Fit Test with Focus on Conditional Value at Risk
    Brazilian Review of Finance, 2008, 6, (2), 139-155

2006

15. Goodness-of-fit Tests Focus on Value-at-Risk Estimation
    Brazilian Review of Econometrics, 2006, 26, (2)

Chapters

2011

1. Combining equilibrium, resampling, and analysts' views in portfolio optimization
   A chapter in Portfolio and risk management for central banks and sovereign wealth funds, 2011, vol. 58, pp 75-84
   See also Journal Article Combining equilibrium, resampling, and analyst’s views in portfolio optimization, Elsevier (2012) View citations (6) (2012)

2010

2. Hidden Risks in Mean-Variance Optimization: An Integrated-Risk Asset Allocation Proposal
   Palgrave Macmillan View citations (1)