#### Brazilian Review of Econometrics

Journal Information
ISSN : 19802447
Current Publisher: Fundacao Getulio Vargas (10.12660)
Total articles ≅ 400
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#### Latest articles in this journal

Margaret Leighton, Priscila Souza, Straub Stephane
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.78513

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Caio Almeida, Diego Brandao
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.77132

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Carlos Eduardo De Freitas, Nelson Leitão Paes
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.75504

Cezar Santos, Mariana Weiss, Guilherme Zimmermann
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.76943

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Bruno Cesar Aurichio Ledo, Caio Matteucci De Andrade Lopes
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.73975

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Caio Almeida, Fernando Cordeiro
Published: 26 July 2019
Brazilian Review of Econometrics, Volume 39; doi:10.12660/bre.v39n12019.76365

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Bruno Lund
Published: 4 January 2019
Brazilian Review of Econometrics, Volume 38, pp 263-285; doi:10.12660/bre.v38n22018.18997

Abstract:There is evidence that jumps double the explanatory power of Campbell and Shiller (1991) excess bond returns’ regressions (Wright and Zhou, 2009), and options bring information about bond risk premia beyond that spanned by the yield curve (Joslin, 2007). In this paper I incorporate these features in a Gaussian Affine Term Structure Model (ATSM) in order to assess two questions: (1) what are the implications of incorporating jumps in an ATSM for option pricing, and (2) how jumps and options affect the bond risk-premia dynamics.The main findings are: (1) jump risk-premia is negative in a scenario of decreasing interest rates, and has a significant average magnitude of 1% to 2%, which means that, it explains 10% to 20% of the level of the yields; (2) the Gaussian model (A30) and the Gaussian model with constant intensity jumps (A30J) are the ones that best fit the option prices; and (3) the Gaussian model with constant intensity jumps estimated jointly with options (A30oJ) is the one that best identifies the risk premium.
Andrea Lepine
Published: 4 January 2019
Brazilian Review of Econometrics, Volume 38, pp 221-261; doi:10.12660/bre.v38n22018.75505

Abstract:This paper studies the effects of a government scholarship program for low-income college students in Brazil, the Prouni. In order to deal with selection effects, I use propensity score matching based on observable student characteristics and a proxy for previous student performance. The results are robust across different specifications, and suggest that students who received a scholarship perform better than comparable students and take less time to reach the final year of college. These effects are higher for students with full scholarships than for students with partial scholarships, and seem to be partially driven by a decrease in the proportion of students who work and an increase in time spent studying.
Alan De Genaro, Marco Avellaneda
Published: 4 January 2019
Brazilian Review of Econometrics, Volume 38, pp 287-319; doi:10.12660/bre.v38n22018.31732

Abstract:In this paper we developed an econometric model to empirically test the hard-to-borrow model of Avellaneda and Lipkin (2009) where asset prices jump as result of buy-in" procedures. The model is estimated using an extent version of simulated maximum likelihood (SML) for a selected group of Leveraged ETF, mainly short LETFs, because these instruments have been sporadically hard-to-borrow and are liquids. In general we do not find enough statistical evidence supporting that hard-to-borrow effect impacts LETFs prices. On the other hand, we did find statistical evidence supporting the jump-diffusion model for some Leveraged ETFs.
Priscilla Tavares, Vladimir Ponczek
Published: 4 January 2019
Brazilian Review of Econometrics, Volume 38, pp 197-219; doi:10.12660/bre.v38n22018.73437

Abstract:In this paper, we provide evidence of the effects of teacher’s pay increases on students’ learning in the context of developing countries (São Paulo state public education). We explore the variation in teachers' pay, given by the rule of additional salaries by length of service (quinquennium rule). We observed each teacher's eligibility for salary increases and explored the differences in the teachers’ admission date throughout the year to calculate the exposure time of teachers treated at higher salaries. We employ a difference-in-differences strategy to control for unobserved characteristics of teachers belonging to different admission cohorts. Our results are in line with what is found in the international empirical literature: salary increases for incumbent teachers do not seem to affect their productivity and, therefore, are not capable of impacting student learning in basic education.