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Adonias Evaristo da Costa Filho
Pág. 1 - 21
This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this mo...
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Adonias Evaristo da Costa Filho
Pág. 371 - 388
This paper studies the sensitivity of long-term real rates to monetary policy in Brazil. Based on the response of long-term real rates to monetary policy decisions, it is found that monetary factors have little power over long-term rates, with 100 basis ...
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Adonias Evaristo da Costa Filho
Pág. 295 - 328
Este artigo deriva novas medidas de choques de política monetária para o Brasil. Em primeirolugar, um conjunto de choques é construído inspirado na metodologia de Romer eRomer (2004), utilizando tanto previsões públicas quanto privadas. As previsões do B...
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Adonias Evaristo da Costa Filho
Pág. 403 - 441
This paper analyzes the information content of risk reversals for ten emergingmarket currencies. In contrast to the findings for major developed currencies,it is found that in some cases risk reversals (RR) are helpful in predictingcurrency returns, but ...
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