Testes e estima????es dos modelos de consumo agregado
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Tipo de documento: | Tese |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UCB |
Texto Completo: | https://bdtd.ucb.br:8443/jspui/handle/tede/2577 |
Resumo: | The content of this thesis refers to the tests and estimations of consumption models through the use of utility functions of the CRRA type and External Habit. In the first chapter, the tests occurred with the use of stochastic factor discount models for Brazilian data. In the second, the estimations occurred with the use of common factor portfolios constructed from a large set of asset return data from the US stock market, in order to bring new evidence about the behavior of Rule Of Thumb of the agents. The results showed for the first chapter that the implications of the consumption habit model with the discount stochastic factor that follows the premise of Brownian motion in the prices of financial assets was the one that best answered the hypotheses related to the proposed modeling, in the second article the estimated parameters signaled the existence of Rule of Thumb behavior in the decisions of consumption by the agents of the American economy, in addition to other evidences about its behavior, given the use of a portfolios of common factors. |
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Carrasco-Gutierrez, Carlos Enriquehttp://lattes.cnpq.br/0881893862643600http://lattes.cnpq.br/8501639227678947Monteiro, Marcel Stanlei2019-05-28T18:27:50Z2019-02-19MONTEIRO, Marcel Stanlei. Testes e estima????es dos modelos de consumo agregado. 2019. 62 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019.https://bdtd.ucb.br:8443/jspui/handle/tede/2577The content of this thesis refers to the tests and estimations of consumption models through the use of utility functions of the CRRA type and External Habit. In the first chapter, the tests occurred with the use of stochastic factor discount models for Brazilian data. In the second, the estimations occurred with the use of common factor portfolios constructed from a large set of asset return data from the US stock market, in order to bring new evidence about the behavior of Rule Of Thumb of the agents. The results showed for the first chapter that the implications of the consumption habit model with the discount stochastic factor that follows the premise of Brownian motion in the prices of financial assets was the one that best answered the hypotheses related to the proposed modeling, in the second article the estimated parameters signaled the existence of Rule of Thumb behavior in the decisions of consumption by the agents of the American economy, in addition to other evidences about its behavior, given the use of a portfolios of common factors.O conte??do desta tese se refere aos testes e estima????es de modelos de consumo por meio do uso das fun????es de utilidade do tipo CRRA e H??bito Externo. No primeiro cap??tulo, os testes ocorreram com a utiliza????o dos modelos de fator estoc??stico de desconto para dados brasileiros. No segundo, as estima????es ocorreram com o uso de portf??lios de fatores comuns constru??dos a partir de um grande conjunto de dados de retornos de ativos da bolsa de valores da economia norte-americana, com a finalidade de trazer novas evid??ncias em torno do comportamento Rule of Thumb dos agentes. Os resultados demonstraram, para o primeiro cap??tulo, que as implica????es do modelo com H??bito de consumo com o fator estoc??stico de desconto que segue a premissa do movimento browniano nos pre??os dos ativos financeiros foi o que melhor respondeu ??s hip??teses relacionadas ?? modelagem proposta, enquanto que, no segundo artigo, os par??metros estimados sinalizaram a exist??ncia de comportamento Rule of Thumb nas decis??es de consumo por parte dos agentes da economia americana, al??m de outras evid??ncias sobre seu comportamento, dada a utiliza????o de portf??lios de fatores comuns.Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-28T18:27:40Z No. of bitstreams: 1 MarcelStanleiMonteiroTese2019.pdf: 1716208 bytes, checksum: 9e60efdf69d257c642d3f01565eacf88 (MD5)Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2019-05-28T18:27:50Z (GMT) No. of bitstreams: 1 MarcelStanleiMonteiroTese2019.pdf: 1716208 bytes, checksum: 9e60efdf69d257c642d3f01565eacf88 (MD5)Made available in DSpace on 2019-05-28T18:27:50Z (GMT). No. of bitstreams: 1 MarcelStanleiMonteiroTese2019.pdf: 1716208 bytes, checksum: 9e60efdf69d257c642d3f01565eacf88 (MD5) Previous issue date: 2019-02-19application/pdfhttps://bdtd.ucb.br:8443/jspui/retrieve/6415/MarcelStanleiMonteiroTese2019.pdf.jpgporUniversidade Cat??lica de Bras??liaPrograma Stricto Sensu em Economia de EmpresasUCBBrasilEscola de Gest??o e Neg??ciosModelos de consumoPortf??lio de fatores comunsFator estoc??stico de descontoPortfolio of common factorsStochastic discount factorConsumption model???sCNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIATestes e estima????es dos modelos de consumo agregadoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBLICENSElicense.txtlicense.txttext/plain; charset=utf-81831https://200.214.135.178:8443/jspui/bitstream/tede/2577/1/license.txtd7d5e5ec75089f122abe937645a56120MD51ORIGINALMarcelStanleiMonteiroTese2019.pdfMarcelStanleiMonteiroTese2019.pdfapplication/pdf1716208https://200.214.135.178:8443/jspui/bitstream/tede/2577/2/MarcelStanleiMonteiroTese2019.pdf9e60efdf69d257c642d3f01565eacf88MD52TEXTMarcelStanleiMonteiroTese2019.pdf.txtMarcelStanleiMonteiroTese2019.pdf.txttext/plain138849https://200.214.135.178:8443/jspui/bitstream/tede/2577/3/MarcelStanleiMonteiroTese2019.pdf.txtfa79a4f8bb9bf8c8fbf3f6916f34668cMD53THUMBNAILMarcelStanleiMonteiroTese2019.pdf.jpgMarcelStanleiMonteiroTese2019.pdf.jpgimage/jpeg5480https://200.214.135.178:8443/jspui/bitstream/tede/2577/4/MarcelStanleiMonteiroTese2019.pdf.jpg5a4df13d32ca40c445fe7e71fbc7e5d5MD54tede/25772019-05-29 01:06:44.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Biblioteca Digital de Teses e Dissertaçõeshttps://bdtd.ucb.br:8443/jspui/ |
dc.title.por.fl_str_mv |
Testes e estima????es dos modelos de consumo agregado |
title |
Testes e estima????es dos modelos de consumo agregado |
spellingShingle |
Testes e estima????es dos modelos de consumo agregado Monteiro, Marcel Stanlei Modelos de consumo Portf??lio de fatores comuns Fator estoc??stico de desconto Portfolio of common factors Stochastic discount factor Consumption model???s CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
title_short |
Testes e estima????es dos modelos de consumo agregado |
title_full |
Testes e estima????es dos modelos de consumo agregado |
title_fullStr |
Testes e estima????es dos modelos de consumo agregado |
title_full_unstemmed |
Testes e estima????es dos modelos de consumo agregado |
title_sort |
Testes e estima????es dos modelos de consumo agregado |
author |
Monteiro, Marcel Stanlei |
author_facet |
Monteiro, Marcel Stanlei |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Carrasco-Gutierrez, Carlos Enrique |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0881893862643600 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/8501639227678947 |
dc.contributor.author.fl_str_mv |
Monteiro, Marcel Stanlei |
contributor_str_mv |
Carrasco-Gutierrez, Carlos Enrique |
dc.subject.por.fl_str_mv |
Modelos de consumo Portf??lio de fatores comuns Fator estoc??stico de desconto |
topic |
Modelos de consumo Portf??lio de fatores comuns Fator estoc??stico de desconto Portfolio of common factors Stochastic discount factor Consumption model???s CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.subject.eng.fl_str_mv |
Portfolio of common factors Stochastic discount factor Consumption model???s |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA |
dc.description.abstract.eng.fl_txt_mv |
The content of this thesis refers to the tests and estimations of consumption models through the use of utility functions of the CRRA type and External Habit. In the first chapter, the tests occurred with the use of stochastic factor discount models for Brazilian data. In the second, the estimations occurred with the use of common factor portfolios constructed from a large set of asset return data from the US stock market, in order to bring new evidence about the behavior of Rule Of Thumb of the agents. The results showed for the first chapter that the implications of the consumption habit model with the discount stochastic factor that follows the premise of Brownian motion in the prices of financial assets was the one that best answered the hypotheses related to the proposed modeling, in the second article the estimated parameters signaled the existence of Rule of Thumb behavior in the decisions of consumption by the agents of the American economy, in addition to other evidences about its behavior, given the use of a portfolios of common factors. |
dc.description.abstract.por.fl_txt_mv |
O conte??do desta tese se refere aos testes e estima????es de modelos de consumo por meio do uso das fun????es de utilidade do tipo CRRA e H??bito Externo. No primeiro cap??tulo, os testes ocorreram com a utiliza????o dos modelos de fator estoc??stico de desconto para dados brasileiros. No segundo, as estima????es ocorreram com o uso de portf??lios de fatores comuns constru??dos a partir de um grande conjunto de dados de retornos de ativos da bolsa de valores da economia norte-americana, com a finalidade de trazer novas evid??ncias em torno do comportamento Rule of Thumb dos agentes. Os resultados demonstraram, para o primeiro cap??tulo, que as implica????es do modelo com H??bito de consumo com o fator estoc??stico de desconto que segue a premissa do movimento browniano nos pre??os dos ativos financeiros foi o que melhor respondeu ??s hip??teses relacionadas ?? modelagem proposta, enquanto que, no segundo artigo, os par??metros estimados sinalizaram a exist??ncia de comportamento Rule of Thumb nas decis??es de consumo por parte dos agentes da economia americana, al??m de outras evid??ncias sobre seu comportamento, dada a utiliza????o de portf??lios de fatores comuns. |
description |
The content of this thesis refers to the tests and estimations of consumption models through the use of utility functions of the CRRA type and External Habit. In the first chapter, the tests occurred with the use of stochastic factor discount models for Brazilian data. In the second, the estimations occurred with the use of common factor portfolios constructed from a large set of asset return data from the US stock market, in order to bring new evidence about the behavior of Rule Of Thumb of the agents. The results showed for the first chapter that the implications of the consumption habit model with the discount stochastic factor that follows the premise of Brownian motion in the prices of financial assets was the one that best answered the hypotheses related to the proposed modeling, in the second article the estimated parameters signaled the existence of Rule of Thumb behavior in the decisions of consumption by the agents of the American economy, in addition to other evidences about its behavior, given the use of a portfolios of common factors. |
publishDate |
2019 |
dc.date.accessioned.fl_str_mv |
2019-05-28T18:27:50Z |
dc.date.issued.fl_str_mv |
2019-02-19 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
status_str |
publishedVersion |
format |
doctoralThesis |
dc.identifier.citation.fl_str_mv |
MONTEIRO, Marcel Stanlei. Testes e estima????es dos modelos de consumo agregado. 2019. 62 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019. |
dc.identifier.uri.fl_str_mv |
https://bdtd.ucb.br:8443/jspui/handle/tede/2577 |
identifier_str_mv |
MONTEIRO, Marcel Stanlei. Testes e estima????es dos modelos de consumo agregado. 2019. 62 f. Tese (Programa Stricto Sensu em Economia de Empresas) - Universidade Cat??lica de Bras??lia, Bras??lia, 2019. |
url |
https://bdtd.ucb.br:8443/jspui/handle/tede/2577 |
dc.language.iso.fl_str_mv |
por |
language |
por |
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info:eu-repo/semantics/openAccess |
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openAccess |
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Universidade Cat??lica de Bras??lia |
dc.publisher.program.fl_str_mv |
Programa Stricto Sensu em Economia de Empresas |
dc.publisher.initials.fl_str_mv |
UCB |
dc.publisher.country.fl_str_mv |
Brasil |
dc.publisher.department.fl_str_mv |
Escola de Gest??o e Neg??cios |
publisher.none.fl_str_mv |
Universidade Cat??lica de Bras??lia |
dc.source.none.fl_str_mv |
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