Using irregularly spaced returns to estimate multi-factor models : application to Brazilian equity data

Multi-factor models constitute a use fui tool to explain cross-sectional covariance in equities retums. We propose in this paper the use of irregularly spaced returns in the multi-factor model estimation and provide an empirical example with the 389 most liquid equities in the Brazilian Market. The market index shows itself significant to explain equity returns while the US$/Brazilian Real exchange rate and the Brazilian standard interest rate does not. This example shows the usefulness of the estimation method in further using the model to fill in missing values and to provide intervaI forecasts.

A structuralist Philips curve

This paper presents a structuralist model of the Philips curve and applies it to the US and Brazilian economies. The theoretical model starts from a simple markup rule to build a Philips curve based on the assumptions that firms have a desired rate of profit and wokers have a target real wage. Inflation expectations are modeled in terms of current inflation and the governments’ target, and the model shows that relative prices can have both a short-run and long-run influence on inflation. When applied to the US, the structuralist Philips curve results in a nonlinear model in which there are two steady states for inflation, and where the wageshare of income becomes the main instrument to drive inflation to the governments’ target. When applied to Brazil, the structuralist Philips curve reveals a nonlinear relationship between long-run inflation and the real exchange rate, so that the same inflation target can be consistent with more than one value of the exchange rate. The main conclusion of the paper is that a structuralist specification of the Philips curve is a useful instrument to model many macroeconomic topics as well as alternative theoretical closures.

Preliminary Overview of the Economies of Latin America and the Caribbean 2010

Includes bibliography

Economic Survey of Latin America and the Caribbean 2010-2011: Internacional integration and macroeconomic policy challenges amid global economic turmoil

Includes bibliography

Structural change and productivity growth, 20 years later: old problems, new opportunities

Includes bibliography

Determinantes económicos del salario mínimo en países pequeños y abiertos: una aplicación para Centroamérica

Incluye Bibliografía

Foreign capital inflows and macroeconomic policies

Includes bibliography

How non-traditional are non-traditional exports? The experience of seven countries of the Caribbean Basin

Includes bibliography

Equity, foreign investment and international competitiveness

Includes bibliography

Growth, competitiveness and employment in Peru, 1990-2003

Includes bibliography

The dynamics of Mexican manufacturing exports

Includes bibliography

Maquila, currency misalignment and export-led growth in Mexico

Includes bibliography

The economics of demand-led growth: theory and evidence for Brazil

Includes bibliography

Structural change and productivity growth 20 years later: old problems, new opportunities. Summary

Includes bibliography

The fiscal impact of trade liberalization and commodity price fluctuation: the case of Costa Rica, 1980-1998

Includes bibliography