Essays on macroeconometrics and financial econometrics: a Bayesian approach
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da USP |
Texto Completo: | https://www.teses.usp.br/teses/disponiveis/96/96131/tde-28082023-141853/ |
Resumo: | The goal of this doctoral dissertation is to showcase the importance and applicability of Bayesian econometrics in the realm of financial and macroeconomic analysis. The thesis is formed by four independent essays in macroeconometrics and financial econometrics, in which the Bayesian estimation is the common factor of the four essays. In the first article, a heteroscedastic structure with jumps is added to a structural model to measure inflationary persistence in Brazil from 1995 to 2019. The general result is that including stochastic volatility with jumps reduces intrinsic inflation persistence. In the second article, the Brazilian Central Bank Communication is used to predict the yield curve. The results indicate that the Central Bank Communication, measured by the sentiment of the Central Bank, helps to predict the term structure of interest rate. In the third article we explore the the analysis of Central Bank Communication and yield curve in a in-sample perspective. The objective of this article is to investigate the bidirectional relation between the Brazilian Central Bank Communication and the yield curve. The results shown that the Central Bank Communication can shape yield curve curvature and slope, and that there is a strong relation between monetary authority communication and the curvature of the yield curve. Both article two and three present evidence that words of monetary authority impacts market players, making it a valuable instrument for monetary policy. The last article proposes an instrumental variable Bayesian shrinkage approach to estimate the Capital Asset Pricing Model (CAPM) using a large set of instruments. Using simulated data, the proposed approach reduces the bias of estimation, caused by measurement errors. In an empirical application, the proposed method delivered a different estimation from the traditional approach and this difference increases the explanatory power of the Capital Asset Pricing Model in explaining the variation in the average cross-sectional returns of assets. |
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Essays on macroeconometrics and financial econometrics: a Bayesian approachEnsaios sobre macroeconometria e econometria de finanças: uma abordagem bayesianaBayesian estimationEconometria bayesianaFinançasFunção de resposta ao impulsoInflation persistenceInstrumental variableMacroeconomiaMonetary policyPrevisãoSentiment analysisShrinkage priorStochastic volatilityVariáveis instrumentaisYield curveThe goal of this doctoral dissertation is to showcase the importance and applicability of Bayesian econometrics in the realm of financial and macroeconomic analysis. The thesis is formed by four independent essays in macroeconometrics and financial econometrics, in which the Bayesian estimation is the common factor of the four essays. In the first article, a heteroscedastic structure with jumps is added to a structural model to measure inflationary persistence in Brazil from 1995 to 2019. The general result is that including stochastic volatility with jumps reduces intrinsic inflation persistence. In the second article, the Brazilian Central Bank Communication is used to predict the yield curve. The results indicate that the Central Bank Communication, measured by the sentiment of the Central Bank, helps to predict the term structure of interest rate. In the third article we explore the the analysis of Central Bank Communication and yield curve in a in-sample perspective. The objective of this article is to investigate the bidirectional relation between the Brazilian Central Bank Communication and the yield curve. The results shown that the Central Bank Communication can shape yield curve curvature and slope, and that there is a strong relation between monetary authority communication and the curvature of the yield curve. Both article two and three present evidence that words of monetary authority impacts market players, making it a valuable instrument for monetary policy. The last article proposes an instrumental variable Bayesian shrinkage approach to estimate the Capital Asset Pricing Model (CAPM) using a large set of instruments. Using simulated data, the proposed approach reduces the bias of estimation, caused by measurement errors. In an empirical application, the proposed method delivered a different estimation from the traditional approach and this difference increases the explanatory power of the Capital Asset Pricing Model in explaining the variation in the average cross-sectional returns of assets.O objetivo desta dissertação de doutorado é mostrar a importância e aplicabilidade da econometria bayesiana no domínio da análise financeira e macroeconômica. A tese é formada por quatro ensaios independentes em macroeconometria e econometria financeira, em que a estimação Bayesiana é o fator comum dos quatro ensaios. No primeiro artigo, uma estrutura heterocedástica com saltos é adicionada a um modelo estrutural para medir a persistência inflacionária no Brasil de 1995 a 2019. O resultado geral é que a inclusão da volatilidade estocástica com saltos reduz a persistência intrínseca da inflação. No segundo artigo, a Comunicação do Banco Central do Brasil é utilizada para prever a curva de juros. Os resultados indicam que a Comunicação do Banco Central, medida pelo sentimento do Banco Central, ajuda a prever a estrutura a termo da taxa de juros. No terceiro artigo exploramos a análise da Comunicação do Banco Central e da curva de juros em uma perspectiva in-sample. O objetivo deste artigo é investigar a relação bidirecional entre a Comunicação do Banco Central do Brasil e a curva de juros. Os resultados mostraram que a Comunicação do Banco Central pode moldar a curvatura e a inclinação da curva de juros, e que existe uma forte relação entre a comunicação da autoridade monetária e a curvatura da curva de juros. Tanto o artigo dois quanto o terceiro apresentam evidências de que as palavras da autoridade monetária impactam os agentes do mercado, tornando-se um instrumento valioso para a política monetária. O último artigo propõe uma abordagem de encolhimento bayesiano de variável instrumental para estimar o Capital Asset Pricing Model (CAPM) usando um grande conjunto de instrumentos. Usando dados simulados, a abordagem proposta reduz o viés de estimativa, causado por erros de medição. Em uma aplicação empírica, o método proposto forneceu uma estimativa diferente da abordagem tradicional e essa diferença aumenta o poder explicativo do Capital Asset Pricing Model em explicar a variação nos retornos transversais médios dos ativos.Biblioteca Digitais de Teses e Dissertações da USPLaurini, Marcio PolettiAlves, Cássio Roberto de Andrade2023-07-06info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/doctoralThesisapplication/pdfhttps://www.teses.usp.br/teses/disponiveis/96/96131/tde-28082023-141853/reponame:Biblioteca Digital de Teses e Dissertações da USPinstname:Universidade de São Paulo (USP)instacron:USPLiberar o conteúdo para acesso público.info:eu-repo/semantics/openAccesseng2023-08-31T18:09:02Zoai:teses.usp.br:tde-28082023-141853Biblioteca Digital de Teses e Dissertaçõeshttp://www.teses.usp.br/PUBhttp://www.teses.usp.br/cgi-bin/mtd2br.plvirginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.bropendoar:27212023-08-31T18:09:02Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Essays on macroeconometrics and financial econometrics: a Bayesian approach Ensaios sobre macroeconometria e econometria de finanças: uma abordagem bayesiana |
title |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
spellingShingle |
Essays on macroeconometrics and financial econometrics: a Bayesian approach Alves, Cássio Roberto de Andrade Bayesian estimation Econometria bayesiana Finanças Função de resposta ao impulso Inflation persistence Instrumental variable Macroeconomia Monetary policy Previsão Sentiment analysis Shrinkage prior Stochastic volatility Variáveis instrumentais Yield curve |
title_short |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
title_full |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
title_fullStr |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
title_full_unstemmed |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
title_sort |
Essays on macroeconometrics and financial econometrics: a Bayesian approach |
author |
Alves, Cássio Roberto de Andrade |
author_facet |
Alves, Cássio Roberto de Andrade |
author_role |
author |
dc.contributor.none.fl_str_mv |
Laurini, Marcio Poletti |
dc.contributor.author.fl_str_mv |
Alves, Cássio Roberto de Andrade |
dc.subject.por.fl_str_mv |
Bayesian estimation Econometria bayesiana Finanças Função de resposta ao impulso Inflation persistence Instrumental variable Macroeconomia Monetary policy Previsão Sentiment analysis Shrinkage prior Stochastic volatility Variáveis instrumentais Yield curve |
topic |
Bayesian estimation Econometria bayesiana Finanças Função de resposta ao impulso Inflation persistence Instrumental variable Macroeconomia Monetary policy Previsão Sentiment analysis Shrinkage prior Stochastic volatility Variáveis instrumentais Yield curve |
description |
The goal of this doctoral dissertation is to showcase the importance and applicability of Bayesian econometrics in the realm of financial and macroeconomic analysis. The thesis is formed by four independent essays in macroeconometrics and financial econometrics, in which the Bayesian estimation is the common factor of the four essays. In the first article, a heteroscedastic structure with jumps is added to a structural model to measure inflationary persistence in Brazil from 1995 to 2019. The general result is that including stochastic volatility with jumps reduces intrinsic inflation persistence. In the second article, the Brazilian Central Bank Communication is used to predict the yield curve. The results indicate that the Central Bank Communication, measured by the sentiment of the Central Bank, helps to predict the term structure of interest rate. In the third article we explore the the analysis of Central Bank Communication and yield curve in a in-sample perspective. The objective of this article is to investigate the bidirectional relation between the Brazilian Central Bank Communication and the yield curve. The results shown that the Central Bank Communication can shape yield curve curvature and slope, and that there is a strong relation between monetary authority communication and the curvature of the yield curve. Both article two and three present evidence that words of monetary authority impacts market players, making it a valuable instrument for monetary policy. The last article proposes an instrumental variable Bayesian shrinkage approach to estimate the Capital Asset Pricing Model (CAPM) using a large set of instruments. Using simulated data, the proposed approach reduces the bias of estimation, caused by measurement errors. In an empirical application, the proposed method delivered a different estimation from the traditional approach and this difference increases the explanatory power of the Capital Asset Pricing Model in explaining the variation in the average cross-sectional returns of assets. |
publishDate |
2023 |
dc.date.none.fl_str_mv |
2023-07-06 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.teses.usp.br/teses/disponiveis/96/96131/tde-28082023-141853/ |
url |
https://www.teses.usp.br/teses/disponiveis/96/96131/tde-28082023-141853/ |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
|
dc.rights.driver.fl_str_mv |
Liberar o conteúdo para acesso público. info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Liberar o conteúdo para acesso público. |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.coverage.none.fl_str_mv |
|
dc.publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
publisher.none.fl_str_mv |
Biblioteca Digitais de Teses e Dissertações da USP |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da USP instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Biblioteca Digital de Teses e Dissertações da USP |
collection |
Biblioteca Digital de Teses e Dissertações da USP |
repository.name.fl_str_mv |
Biblioteca Digital de Teses e Dissertações da USP - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
virginia@if.usp.br|| atendimento@aguia.usp.br||virginia@if.usp.br |
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