Publications

by members of

Instituto Brasileiro de Mercados e Capitais (IBMEC)
Rio de Janeiro, Brazil

(Ibmec Business School))

Working papers

2008

1. Osmani T. Guillen & Benjamin M. Tabak, 2008. "Characterizing the Brazilian Term Structure of Interest Rates," Working Papers Series 158, Central Bank of Brazil, Research Department. [Downloadable!]

2007

1. Carlos Enrique Carrasco Gutiérrez & Reinaldo Castro Souza & Osmani Teixeira de Carvalho Guillén, 2007. "Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features," Working Papers Series 139, Central Bank of Brazil, Research Department. [Downloadable!]
2. Osmani Teixeira de Carvalho Guillén & Benjamin M. Tabak?, 2007. "Characterizing The Brazilian Term Structure Of Interest Rates," Anais do XXXV Encontro Nacional de Economia [Proceedings of the 35th Brazilian Economics Meeting] 108, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
3. Caio Ibsen R. Almeida & José Valentim M. Vicente, 2007. "Identifying Volatility Risk Premium from Fixed Income Asian Options," Working Papers Series 136, Central Bank of Brazil, Research Department. [Downloadable!]

2006

1. João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2006. "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," Economics Working Papers (Ensaios Economicos da EPGE) 624, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2006. "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," IBMEC RJ Economics Discussion Papers 2006-02, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
3. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2006. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," IBMEC RJ Economics Discussion Papers 2006-01, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
4. Alexandre B. Cunha, 2006. "Implications of the Modigliani-Miller Theorem for the Study of Exchange Rate Regimes," IBMEC RJ Economics Discussion Papers 2006-03, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
5. Alexandre B. Cunha, 2006. "The Optimality Of The Friedman Rule When Some Distorting Taxes Are Exogenous," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 45, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
6. Carmona, Guilherme & Fajardo, Jose, 2006. "Existence of Equilibrium in Common Agency Games with Adverse Selection," FEUNL Working Paper Series wp490, Universidade Nova de Lisboa, Faculdade de Economia. [Downloadable!]
7. José Fajardo & Ernesto Mordecki, 2006. "Skewness Premium with Lévy Processes," IBMEC RJ Economics Discussion Papers 2006-04, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
8. Guilherme Carmona & José Fajardo, 2006. "Existence of Equilibrium in Common Agency Games with Adverse Selection," IBMEC RJ Economics Discussion Papers 2006-05, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
9. Aloísio P. Araújo & José Valentim M. Vicente, 2006. "Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint," Working Papers Series 118, Central Bank of Brazil, Research Department. [Downloadable!]
10. Caio Ibsen R. Almeida & José Valentim M. Vicente, 2006. "Term Structure Movements Implicit in Option Prices," Working Papers Series 128, Central Bank of Brazil, Research Department. [Downloadable!]

2005

1. João Victor Issler & Afonso Arinos de Mello Franco & Osmani Teixeira de Carvalho Guillén, 2005. "The Welfare Cost of Macroeconomic Uncertainty in the Post-War Period," Economics Working Papers (Ensaios Economicos da EPGE) 605, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
3. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Economics Working Papers (Ensaios Economicos da EPGE) 589, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
4. Osmani Teixeira de Carvalho de Guillén & Carlos Hamilton Vasconcelos Araújo, 2005. "O Mecanismo De Transmissão Da Taxa De Câmbio Para Índices De Preços: Uma Análise Vecm Para O Brasil," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 034, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
5. Fernando de Holanda Barbosa & Alexandre Barros da Cunha & Elvia Mureb Sallum, 2005. "Competitive Equilibrium Hyperinflation under Rational Expectations," Economics Working Papers (Ensaios Economicos da EPGE) 578, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
6. Eurilton Araújo & Luciane Carpena & Alexandre Cunha, 2005. "Brazilian Business Cycles And Growth From 1850 To 2000," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 030, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
7. Alexandre B. Cunha, 2005. "The Optimality of the Friedman Rule When Some Distorting Taxes Are Exogenous," IBMEC RJ Economics Discussion Papers 2005-06, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
8. Eurilton Araújo & Luciane C. Carpena & Alexandre B. Cunha, 2005. "Brazilian Business Cycles and Growth from 1850 to 2000," IBMEC RJ Economics Discussion Papers 2005-05, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
9. Cunha, Alexandre B., 2005. "A Direct Proof of the First Welfare Theorem," Ibmec Working Papers wpe_30, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
10. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-01, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
11. José Fajardo, 2005. "Equivalent Martingale Measures and Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-07, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]
12. José Fajardo & Ernesto Mordecki, 2005. "Duality and Derivative Pricing with Time-Changed Lévy Processes," IBMEC RJ Economics Discussion Papers 2005-12, Economics Research Group, IBMEC Business School - Rio de Janeiro. [Downloadable!]

2004

1. Carlos Hamilton Vasconcelos Araujo & Marta Baltar Moreira Areosa & Osmani Teixera de Carvalho Guillén, 2004. "Estimating Potential Output And The Output Gap For Brazil," Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32th Brazilian Economics Meeting] 041, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
2. Ricardo D. Brito & Angelo Jose Mont & Alverne Duarte & Osamani Teixeira de Carvalho Guillén, 2004. "Reação Exagerada dos Diferenciais de Rendimento e Movimentos das Taxas de Juros Brasileiras," Finance Lab Working Papers flwp_67, Finance Lab, Ibmec São Paulo. [Downloadable!]
3. Alexandre Cunha, 2004. "The Friedman Rule in a Two Sector Small Open Economy," Econometric Society 2004 North American Summer Meetings 530, Econometric Society. [Downloadable!]
4. Mário Páscoa & Aloisio Araujo & José Fajardo, 2004. "Endogenous Collateral," Econometric Society 2004 Latin American Meetings 161, Econometric Society. [Downloadable!]
5. Fajardo, J. & Fonseca, M., 2004. "Concentração Bancária Brasileira: Uma Análise Microeconômica," Finance Lab Working Papers flwp_60, Finance Lab, Ibmec São Paulo. [Downloadable!]
6. Araújo, E. & Fajardo, J. & Tavani, L., 2004. "CAPM Usando uma Carteira Sintética do PIB Brasileiro," Finance Lab Working Papers flwp_63, Finance Lab, Ibmec São Paulo. [Downloadable!]
7. Fajardo, J., 2004. "Equivalent Martingale Measures and Lévy Processes," Finance Lab Working Papers flwp_61, Finance Lab, Ibmec São Paulo. [Downloadable!]
8. Ernesto Mordecki & José Fajardo, 2004. "Pricing Derivatives on Two Lé}vy-driven Stocks," Econometric Society 2004 North American Winter Meetings 139, Econometric Society. [Downloadable!]
9. Fajardo, J., 2004. "A Note On Arbitrage and Exogenus Collateral," Finance Lab Working Papers flwp_62, Finance Lab, Ibmec São Paulo. [Downloadable!]
10. Azevedo H. & Fajardo, J., 2004. "Apreçamento de Derivativos Bidimensionais," Finance Lab Working Papers flwp_64, Finance Lab, Ibmec São Paulo. [Downloadable!]
11. Fajardo, J. & Mordeckiz, E., 2004. "Duality and Derivative Pricing with Lévy Processes," Finance Lab Working Papers flwp_71, Finance Lab, Ibmec São Paulo. [Downloadable!]
12. Araujo, Aloisio. & Fajardo, J. & Páscoa. M. R., 2004. "Endogenous Collateral," Finance Lab Working Papers flwp_68, Finance Lab, Ibmec São Paulo. [Downloadable!]
13. Fajardo, J., 2004. "Arbitrage, Collateral and Utility Penalties," Finance Lab Working Papers flwp_69, Finance Lab, Ibmec São Paulo. [Downloadable!]
14. Farias, A. R. & Ornelas, J. R. H & Fajardo, J., 2004. "Goodness-of-Fit Test focuses on Conditional Value at Risk:An Empirical Analysis of Exchange Rates," Finance Lab Working Papers flwp_70, Finance Lab, Ibmec São Paulo. [Downloadable!]

2003

1. João Victor Issler & Afonso Arinos de Mello Franco Neto & Osmani Teixeira de Carvalho Guillén, 2003. "On the welfare costs of business cycles in the 20th century," Economics Working Papers (Ensaios Economicos da EPGE) 481, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. Ricardo D. Brito & Angelo José Mont'Alverne Duarte & Osmani Teixeira de Carvalho Guillén, 2003. "O Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras," Working Papers Series 72, Central Bank of Brazil, Research Department. [Downloadable!]
3. Alexandre Barros da Cunha, 2003. "Optimal Exchange Rate Policy, Optimal Incomplete Taxation and Business Cycles," Anais do XXXI Encontro Nacional de Economia [Proceedings of the 31th Brazilian Economics Meeting] b16, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
4. Fajardo, J. & Cajueiro, D. O., 2003. "Volatility Estimation and Option Pricing with Fractional Brownian Motion," Finance Lab Working Papers flwp_53, Finance Lab, Ibmec São Paulo. [Downloadable!]
5. Fajardo, J. & Farias, A. R & Ornelas, J. R. H, 2003. "Goodness-of-fit Tests focus on VaR Estimation," Finance Lab Working Papers flwp_55, Finance Lab, Ibmec São Paulo. [Downloadable!]
6. Fajardo, J. & Farias, A. R. & Ornelas, J. R. H., 2003. "Analyzing the Use of Generalized Hyperbolic Distributions to Value at Risk Calculations," Finance Lab Working Papers flwp_58, Finance Lab, Ibmec São Paulo. [Downloadable!]
7. Araujo, A. & Fajardo, J & Páscoa, M. R., 2003. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Finance Lab Working Papers flwp_52, Finance Lab, Ibmec São Paulo. [Downloadable!]
8. Fajardo, J. & Mordecki, E., 2003. "Put-Call Duality and Symmetry," Finance Lab Working Papers flwp_54, Finance Lab, Ibmec São Paulo. [Downloadable!]
9. Fajardo, J. & Farias, A., 2003. "Generalized Hyperbolic Distributions and Brazilian Data," Finance Lab Working Papers flwp_57, Finance Lab, Ibmec São Paulo. [Downloadable!]
10. Fajardo, J. & Mordeckiy, E., 2003. "Pricing Derivatives on Two Lévy-driven Stocks," Finance Lab Working Papers flwp_56, Finance Lab, Ibmec São Paulo. [Downloadable!]
11. Aloisio Pessoa de Araújo & José Santiago Fajardo Barbachan & Mario R. Páscoa, 2003. "Endogenous Collateral," Economics Working Papers (Ensaios Economicos da EPGE) 511, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

2002

1. Pedro Cavalcanti Ferreira & Osmani Teixeira de Carvalho Guillén, 2002. "Estrutura Competitiva, Produtividade Industrial e Liberação Comercial no Brasil," Working Papers Series 44, Central Bank of Brazil, Research Department. [Downloadable!]
2. Carlos Hamilton Vasconcelos Araújo & Osmani Teixeira de Carvalho de Guillén, 2002. "Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil," Working Papers Series 55, Central Bank of Brazil, Research Department. [Downloadable!]
3. Cunha, Alexandre B. & Teixeira, Arilton, 2002. "The Impacts of Trade Blocks and Tax Reforms on the Brazilian Economy," Ibmec Working Papers wpe_22, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
4. Cunha, Alexandre B., 2002. "Optimal Exchange Rate Policy and Business Cycles," Ibmec Working Papers wpe_19, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
5. Cunha, Alexandre B., 2002. "Optimal Exchange Rate Policy, Optimal Incomplete Taxation and Business Cycles," Ibmec Working Papers wpe_16, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
6. Araujo, Eurilton & Cunha, Alexandre, 2002. "Brazilian Inflation and GDP from 1850 to 2000: An Empirical Investigation," Ibmec Working Papers wpe_26, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
7. Cunha, Alexandre B., 2002. "Does It Really Matter Whether the Exchange Rate Floats or Not?," Ibmec Working Papers wpe_29, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
8. José Fajardo & Aquiles Farias, 2002. "Generalized Hyperbolic Distributions and Brazilian Data," Working Papers Series 52, Central Bank of Brazil, Research Department. [Downloadable!]

2001

1. Pedro Cavalcanti Gomes Ferreira & Osmani Teixeira de Carvalho Guillén, 2001. "O Impacto da Abertura Comercial Sobre Mark-Up e Produtividade Industrial Brasileira," Economics Working Papers (Ensaios Economicos da EPGE) 432, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
2. Osmani Teixeira de Carvalho Guillén & Pedro Cavalcanti Ferreira, 2001. "O Impacto da Abertura Comercial sobre Mark-Up e Produtividade Industrial Brasileira," Anais do XXIX Encontro Nacional de Economia [Proceedings of the 29th Brazilian Economics Meeting] 066, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics]. [Downloadable!]
3. Aloisio Pessoa de Araújo & José Santiago Fajardo Barbachan & Mario Rui Páscoa, 2001. "Endogenous Collateral: Arbitrage and Equilibrium without Bounded Short Sales," Economics Working Papers (Ensaios Economicos da EPGE) 418, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]

2000

1. Jose Fajardo Barbachan, 2000. "Optimal Consumption and Investment with Levy Processes," Econometric Society World Congress 2000 Contributed Papers 1146, Econometric Society. [Downloadable!]

Journal articles

2008

1. Issler, Joao Victor & de Mello Franco-Neto, Afonso Arinos & de Carvalho Guillen, Osmani Teixeira, 2008. "The welfare cost of macroeconomic uncertainty in the post-war period," Economics Letters, Elsevier, vol. 98(2), pages 167-175, February. [Downloadable!] (restricted)
2. Alexandre Cunha, 2008. "The optimality of the Friedman rule when some distorting taxes are exogenous," Economic Theory, Springer, vol. 35(2), pages 267-291, May. [Downloadable!] (restricted)

2006

1. Fernando Barbosa & Alexandre Cunha & Elvia Sallum, 2006. "Competitive equilibrium hyperinflation under rational expectations," Economic Theory, Springer, vol. 29(1), pages 181-195, September. [Downloadable!] (restricted)
2. JosÉ Fajardo & Ernesto Mordecki, 2006. "Symmetry and duality in Lévy markets," Quantitative Finance, Taylor and Francis Journals, vol. 6(3), pages 219-227, June. [Downloadable!] (restricted)
3. Jose Santiago Fajardo, 2006. "Equivalent Martingale Measures and Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 60(4), December. [Downloadable!]

2005

1. Alexandre B. Cunha, 2005. "Managing Public Debt, Money Supply and Foreign Assets: Some Indeterminacy Results," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 59(3), April. [Downloadable!]
2. Fajardo, Jose, 2005. "A note on arbitrage and exogenous collateral," Mathematical Social Sciences, Elsevier, vol. 50(3), pages 336-341, November. [Downloadable!] (restricted)
3. Araujo, Aloisio & Fajardo, Jose & Pascoa, Mario R., 2005. "Endogenous collateral," Journal of Mathematical Economics, Elsevier, vol. 41(4-5), pages 439-462, August. [Downloadable!] (restricted)

2004

1. Pedro Cavalcanti Gomes Ferreira & Osmani Teixeira de Carvalho Guillén, 2004. "Estrutura Competitiva, Produtividade Industrial e Liberalização Comercial no Brasil," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 58(4), April. [Downloadable!]
2. Alexandre Cunha & Arilton Teixeira, 2004. "The Impacts of Trade Blocks and Tax Reforms on the Brazilian Economy," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 58(3), April. [Downloadable!]

2003

1. de Holanda Barbosa, Fernando & Barros da Cunha, Alexandre, 2003. "Inflation tax and money essentiality," Economics Letters, Elsevier, vol. 78(2), pages 187-195, February. [Downloadable!] (restricted)
2. José Santiago Fajardo Barbachan, 2003. "Optimal Consumption and Investment with Lévy Processes," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 57(4), April. [Downloadable!]

2001

1. Alexandre Barros da Cunha, 2001. "What is Behind the Brazilian Stabilization?," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 55(1), April.

1995

1. Alexandre Barros da Cunha, 1995. "Mercado de seguros e inflação : o caso brasileiro," Revista Brasileira de Economia, Graduate School of Economics, Getulio Vargas Foundation (Brazil), vol. 49(1), April.

This page was last updated on 2008-9-1.