Brazilian Review of Econometrics

1981 - 2025

Current editor(s): Daniel Monte

From Sociedade Brasileira de Econometria - SBE
Contact information at EDIRC.
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Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries: Caio Almeida, Pedro Engel and Joao Paulo Valente
Financial Aid and Student Performance in College: Evidence from Brazil: Andrea Lepine
Multivariate Spatial IV Regression: Marcus Gerardus Lavagnole Nascimento, Carlos Antonio Abanto-Valle and Mario Jorge Mendonça
Teacher Pay and Student Performance: Evidence from Brazil: Priscilla Tavares and Vladimir Ponczek
Does the Lending Rate Impact ETF's Prices?: Alan de Genaro and Marco Avellaneda
The Role of Jumps and Options in the Risk Premia of Interest Rates: Bruno Lund

Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching: Andre Oliveira and Pedro Valls Pereira
Can Switching Costs Reduce Prices?: Rafael Castilho
Predictability of Aggregate Consumption in Brazil: habits, Non-Separability between Consumption and Leisure, or Credit Constraint?: Fernando Antônio de Barros Júnior, Bruno Ricardo Delalibera and Valdemar Rodrigues de Pinho Neto
Correcting the population of Brazilian municipalities using the Jackknife: Enlinson Mattos and Pedro Santos
Evidence of Bull and Bear Markets in the Bovespa index: An application of Markovian regime-switching Models with Duration Dependence: Fernando Henrique de Paula e Silva Mendes, João Frois Caldeira and Guilherme Moura
Monetary Policy and Exchange Rate: Effects on Disaggregated Prices in a FAVAR Model for Brazil: Elcyon Caiado Rocha Lima, Thiago Sevilhano Martinez and Vinícius Santos Cerqueira

Another Look at Panel Estimates of the Elasticity of Substitution between Capital and Labor: Marcelo Mello
Functional Autoregressive Models: An Application to Brazilian Hourly Electricity Load: Lucélia Viviane Vaz and Getulio Borges da Silveira Filho
Misallocation in the Brazilian Manufacturing Sector: Rafael Vasconcelos
Heterogeneous Sticky-Information Economies: Carlos Carvalho
Expectations about Monetary Policy and the Behaviour of the Central Bank: Bernardo Dutra
Economies of Scale and Scope in the Sanitation Sector: Claudio Lucinda and Francisco Anuatti

On the choice of covariance specifications for portfolio selection problems: Andre Santos and Alexandre R. Ferreira
An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds: Laura Simonsen Leal and Caio Almeida
Automated Democracy Scores: Thiago Marzagão
Disagreement in Inflation Forecasts and Inflation Risk Premia in Brazil: Clemens Vinicius Nunes, Jonas Doi and Marcelo Fernandes
Failure of the Ricardian Equivalence Theory in Economies with Incomplete Markets: Jose Angelo Divino and Jaime Orrillo
The Pattern of Entry of Generic Drugs into the Brazilian Pharmaceutical Market: Klenio Barbosa and Everton Silva

Measuring the Monetary Policy’s Structural Credibility by the Expected Inflation Determinants: a Kalman Filter Approach for Brazil: Ricardo Ramalhete Moreira
Time-Dependent or State-Dependent Pricing? Evidence From a Large Devaluation: Bernardo Guimaraes and Celio Feltrin
Forecasting Brazilian Inflation with High-Dimensional Models: Marcelo Medeiros, Gabriel Vasconcelos and Eduardo Freitas
How does Emigration affect Labor Markets? Evidence from Road Construction in Brazil: Flávia Chein and Juliano Junqueira Assunção
The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets: Francisco Luna Santos, Marcio Garcia and Marcelo Medeiros
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil: Caio Almeida, Bernardo Ricca and Cristina Tessari

Empirical Selection of Optimal Portfolios and its Influence in the Estimation of Kreps-Porteus Utility Function Parameters: Adriano Faria, Rafael Ornelas and Caio Almeida
Tax Filing Choices for the Household: Carlos Eugênio da Costa and Érica Diniz Oliveira
The Forecast Ability of Option-implied Densities from Emerging Markets Currencies: Jose Ornelas
The External Finance Premium in Brazil: Empirical Analyses Using State Space Models: Fernando Oliveira
Time-dependent or State-dependent Pricing? Evidence from Firms' Response to Inflation Shocks: Bernardo Guimaraes, Andre Mazini and Diogo de Prince
Pricing Options Embedded in Debentures with Credit Risk: Caio Almeida and Leonardo Tavares Pereira

Investment-Specific Technological Change and the Brazilian Macroeconomy: Vladimir Teles, Celso Costa Junior and Rafael Mouallem Rosa
SAMBA: Stochastic Analytical Model with a Bayesian Approach: Marcos Castro, Solange N. Gouvea, André Minella, Rafael Santos and Nelson Sobrinho
Fiscal Policy Multipliers in a DSGE Model for Brazil: Marco Cavalcanti and Luciano Vereda
What lf Brazil Hadn't Floated the Real in 1999?: Carlos Carvalho and André D. Vilela

Price Discovery in Brazilian FX Markets: Francisco Luna Santos, Marcio Garcia and Marcelo Medeiros
Unobserved Heterogeneity in Regression Models: A Semiparametric Approach Based on Nonlinear Sieves: Marcelo Medeiros, Priscilla Burity and Juliano Assunção
Selection of Minimum Variance Portfolio Using Intraday Data: An Empirical Comparison Among Different Realized Measures for BM&FBovespa Data: Flávio Augusto Ziegelmann, Bruna Borges and João F. Caldeira
The Macroeconomic Determinants of the Term Structure of Inflation Expectations in Brazil: Marcelo Fernandes and Eduardo Thiele

Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model: Caio Almeida, Kym Ardison and Daniela Kubudi
Immunization of Fixed-Income Portfolios Using an Exponential Parametric Model: Caio Almeida and Bruno Lund
Brazilian Corporate Debt Issuance: Should You Invest in Local or International Bonds?: Marcelo Fernandes and Ricardo Nunes
Non-linear Demand and Price: An Empirical Analysis of the Brazilian Industrial Electricity Consumption: Claudio Lucinda and Francisco Anuatti Neto

Wage Differentials: Trade Openness and Wage Bargaining: Gustavo Gonzaga, Cristina Terra and Beatriz Muriel Hernández
Voting Premium in the Brazilian Equity Market: Marcelo Fernandes and Vitor Frango de Souza
Market Depth at the BM&FBovespa: Marcelo Fernandes and Carlos Felipe Barros
Forecasting the Brazilian Term Structure Using Macroeconomic Factors: Caio Almeida and Adriano Faria