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This paper investigates an intertemporal optimization model to analyze the current account through Campbell & Shiller’s (1987) approach. In this setup, a Wald test is conducted to analyze a set of restrictions imposed to a VAR, used to forecast the current account for a set of countries. We...

Very useful information, usually ignored, for construction of coincident index is the target quarterly series itself. This can be very inefficient because typically the monthly coincident series keep just high economical correlation, not always tested, with the quarterly target series. Actually,...

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of...

Housing is an important component of wealth for a typical household in many countries. The objective of this paper is to investigate the effect of real-estate price variation on welfare, trying to close a gap between the welfare literature in Brazil and that in the U.S., the U.K., and other...

The main objective of this paper is to propose a novel setup that allows estimating sepa- rately the welfare costs of the uncertainty stemming from business-cycle uctuations and from economic-growth variation, when the two types of shocks associated with them (respectively,transitory and...

This paper tests the optimality of consumption decisions at the aggregate level taking into account popular deviations from the canonical constant-relative-risk-aversion (CRRA) utility function model-rule of thumb and habit. First, based on the critique in Carroll (2001) and Weber (2002) of the...

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel...

The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and habit. First, we show that rule-of-thumb behavior in consumption is...

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model...