Is there a price puzzle in Brazil? an application of bias- corrected bootstrap
Autor(a) principal: | |
---|---|
Data de Publicação: | 2004 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/12139 |
Resumo: | Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was confirmed by other authors and, as a consequence of its non-expectable nature, was given the name 'price puzzle' by Eichenbaum (1992). In this paper I investigate the existence of a price puzzle in Brazil using the same type of estimation and benchmark identification scheme employed by Christiano et aI. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap confidence intervals. Even though the data does show the existence of a statistically significant price puzzle in Brazil, it lasts for .only one quarter and is quantitatively immaterial. |
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Cysne, Rubens PenhaEscolas::EPGEFGV2014-10-17T14:24:03Z2014-10-17T14:24:03Z2004-12-02http://hdl.handle.net/10438/12139Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was confirmed by other authors and, as a consequence of its non-expectable nature, was given the name 'price puzzle' by Eichenbaum (1992). In this paper I investigate the existence of a price puzzle in Brazil using the same type of estimation and benchmark identification scheme employed by Christiano et aI. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap confidence intervals. Even though the data does show the existence of a statistically significant price puzzle in Brazil, it lasts for .only one quarter and is quantitatively immaterial.engEscola de Pós-Graduação em Economia da FGVSeminários de pesquisa econômica da EPGETodo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessIs there a price puzzle in Brazil? an application of bias- corrected bootstrapinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaEconometriaAnálise de regressãoreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000355815.pdf000355815.pdfapplication/pdf451688https://repositorio.fgv.br/bitstreams/ad8529a1-702d-4d71-811e-2d9e858216cb/download97ca691f445dbb392c7a9b0d2a00d47fMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/4527ecd2-0d71-478f-9322-631c4d83eb94/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT000355815.pdf.txt000355815.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
title |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
spellingShingle |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap Cysne, Rubens Penha Economia Econometria Análise de regressão |
title_short |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
title_full |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
title_fullStr |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
title_full_unstemmed |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
title_sort |
Is there a price puzzle in Brazil? an application of bias- corrected bootstrap |
author |
Cysne, Rubens Penha |
author_facet |
Cysne, Rubens Penha |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.author.fl_str_mv |
Cysne, Rubens Penha |
dc.subject.area.por.fl_str_mv |
Economia |
topic |
Economia Econometria Análise de regressão |
dc.subject.bibliodata.por.fl_str_mv |
Econometria Análise de regressão |
description |
Using data from the United States, Japan, Germany , United Kingdom and France, Sims (1992) found that positive innovations to shortterm interest rates led to sharp, persistent increases in the price leveI. The result was confirmed by other authors and, as a consequence of its non-expectable nature, was given the name 'price puzzle' by Eichenbaum (1992). In this paper I investigate the existence of a price puzzle in Brazil using the same type of estimation and benchmark identification scheme employed by Christiano et aI. (2000). In a methodological improvement over these studies, I qualify the results with the construction of bias-corrected bootstrap confidence intervals. Even though the data does show the existence of a statistically significant price puzzle in Brazil, it lasts for .only one quarter and is quantitatively immaterial. |
publishDate |
2004 |
dc.date.issued.fl_str_mv |
2004-12-02 |
dc.date.accessioned.fl_str_mv |
2014-10-17T14:24:03Z |
dc.date.available.fl_str_mv |
2014-10-17T14:24:03Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/article |
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article |
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dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/12139 |
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http://hdl.handle.net/10438/12139 |
dc.language.iso.fl_str_mv |
eng |
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eng |
dc.relation.ispartofseries.por.fl_str_mv |
Seminários de pesquisa econômica da EPGE |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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