Brazilian Review of Econometrics

1981 - 2024

Current editor(s): Daniel Monte

From Sociedade Brasileira de Econometria - SBE
Contact information at EDIRC.
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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 Hernandez
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

Local Exponential Frontier Estimation: Carlos Martins-Filho, Flávio Augusto Ziegelmann and Hudson da Silva Torrent
Nonlinear Error Correction Models With an Application to Commodity Prices: Marcelo Medeiros and Rafael Magri
Financial Constraints, Endogenous Educational Choices and Self-Selection of Migrants: Juliano Junqueira Assunção and Leandro Carvalho
A Study of the Brazilian business cycles (1900 – 2012): Pedro Valls Pereira and Heleno Piazentini Vieira

Poverty Dynamics in Mexico, 2002-2005. An Ethnicity Approach: Jennifer Castañeda Navarrete
Subnational Government Investment in Brazil: Estimation and Analysis by State Space Models: Rodrigo Orair and Wesley de Jesus Silva
Are Political Institutions Substitutes for Democracy? A Political Economy Analysis of Economic Growth: Vladimir Teles and Carlos Pereira
Optimal Exchange Rate Policy and Business Cycles: Alexandre Cunha

Does the Growth Acceleration Program Accelerate Growth?: Julio Mereb and Eduardo Zilberman
The Finite-Sample Size of the BDS Test for GARCH Standardized Residuals: Marcelo Fernandes and Pierre-Yves Preumont
Credit Shocks and Monetary Policy in Brazil: A Structural Favar Approach: Pedro Valls Pereira and Marcelo Gonçalves da Silva Fonseca
Non-Parametric Pricing of Interest Rates Options: Márcio Laurini and Roberto Mauad

Gender Bias at the Brazilian Superior Labor Court: Vladimir Ponczek and Stefânia Grezzana
Combining Strategies for the Estimation of Treatment Effects: Sergio Firpo and Rafael de Carvalho Cayres Pinto
Is the Bank Interest Rate Pass-Through of Selic Rate Movements Asymmetric?: João Manoel Pinho de Mello and Pedro Henrique Rosado de Castro
The impact of Tax substituition on the price of pharmaceutical products in the of São Paulo: André Chagas