Carlos Enrique Carrasco-Gutierrez

• PhD
• Graduate Program Coordinator Professional Master in Public Policy at Catholic University of Brasília

An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inferences in this model depend on the correct model specification. There have been many studies on how to select the lag order of a nonstationary VAR model subject to cointegration restrictions. In this work, we consid...

In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns...

This study explores the relationship between firm performance and business cycles. These cycles are deviations from the trend of an economy-wide variable, in our case, GDP. Using a sample of Brazilian listed firms and accounting measures of performance, we find a generally positive contemporaneous relationship between the cycle and firm performance...

The aim of this work is to analyze the business cycles of Mercosur member countries in order to investigate their degree of synchronization. The econometric model uses the Beveridge-Nelson-Stock-Watson multivariate trend-cycle decomposition, taking into account the presence of common features such as common trend and common cycle. Once the business...

Este livro trata, de maneira simples e didática, os conceitos da avaliação econômica, tema de muito interesse e que vem ganhando a cada dia um espaço na agenda dos formuladores de políticas públicas. O texto foi planejado tendo em vista um público formado por alunos da graduação e de cursos profissionalizantes relacionados ao tema, e também para ge...

Os preços de commodities estão sujeitos a variações e incertezas, e, por isso, o entendimento dos movimentos e previsões tem um papel importante na tomada de decisão dos agentes econômicos, seja para planejamento produtivo, hedge e até especulações. Assim, este trabalho teve como objetivo investigar e prever o preço do açúcar no mercado futuro de N...

Este estudo investiga o impacto da transmissão monetária por meio do novo canal de tomada de risco, que possui o potencial de desencadear crises financeiras. Utilizamos os modelos ARDL e VEC com dados brasileiros no período de 2003 a 2021. Os resultados indicam uma relação negativa e significativa entre as taxas de juros de política monetária e o r...

This paper examines the influence of domestic and international monetary policies on the risk-taking behavior of Brazilian banks from 2003 to 2021. Using a dynamic panel model and macroeconomic data, we find a negative correlation between interest rates and banks' risk-taking. Lower interest rates heighten risk activities, evidenced by expanded cre...

Industrial Production is considered a relevant measure for analyzing the economic situation and making decisions within a country. In this study, we propose several alternative short-term forecasting models for the Industrial Production series in Brazil. In our analysis, we consider the univariate ARIMA model, the dynamic distributed lag ARDL model...

This paper explores the interconnections between metal and energy commodities by assessing the transmission of volatility within their futures markets. Achieved through the spillover index, the analysis reveals the impact of shocks on asset pairs—highlighting which assets absorb and transmit volatility, thereby explaining market connectivity. The d...

This paper seeks to identify the effect of macroeconomic, industry-specific and bank-specific determinants on the profitability of the Brazilian banking sector. Profitability is measured by return on assets (ROA), return on equity (ROE) and economic value added (EVA). We incorporate in the analysis-independent variables of this sector that have not...

A avaliação das expectativas e do comportamento futuro das taxas juros na economia está entre as principais áreas da economia monetária, e tem assumido protagonismo nos noticiários e pesquisas em todo o mundo. O Brasil adota o regime de metas de inflação, situação em que o Banco Central ajusta a taxa de juros nominal de curto prazo (a taxa Selic) c...

We assessed volatility transmissions that occurred (inter and intra) commodities of metals and energy from October 16, 1998 to October 17, 2018. With a total of 5220 price observations for each commodity, we estimate spillover indexes. We measure such transmissions among twelve commodities and computed the parcels of shock's effects in each pairwis...

Este artigo objetiva desenvolver um IDH genérico (IDHG) e testá-lo para os estados brasileiros no período de 1994 a 2016. Nesse contexto, propomos uma ampliação do modelo MRW, transformando o capital humano em três outras variáveis que representariam melhor o desenvolvimento humano: capital habilidade, capital biofísico e capital social. Os resulta...

O Programa de Pós-Graduação em Políticas Públicas da Universidade Católica de Brasília (MPPP-UCB) apresenta o segundo volume da série Ensaios sobre Políticas Públicas, dando continuidade a um importante projeto que busca contribuir para a literatura de avaliação de políticas públicas de modo geral e, em particular, para melhorias nas políticas públ...

Understanding consumers' short- and long-run response to electricity prices is essential for efficient market regulations, supplier planning decisions, and evaluation of policies for the economic development of the country. This work estimates the determinants of residential electricity demand for Brazil and for each of its five geographic regions,...

This work aims to understand the determinants of the prices of corn and soybean futures traded on the Brazilian Stock Exchange (B3) based on the influence of international commodity prices on domestic prices. Using a theoretical model developed by Mundlack and Larson (1993) that considers the one-price law hypothesis, we estimate the Autoregressive...

In this work we apply the arbitrage pricing theory (APT) model to study the effects of macroeconomic variables on investment strategies involving value and growth stocks listed on the Brazilian Stock Exchange (B3). To build and order the portfolios, we use four fundamental market indicators that permit identifying value and growth stocks. The macro...

The study aims to analyze the efficiency and change in productivity in Labor Courts in Brazil. We use Data Envelopment Analysis (DEA) and Malmquist’s Index, for a Panel Data structure spanning the 24 Regional Labor Court (TRT’s), from 2009 to 2019. The results showed that until 2017 had an increase in efficiency in the TRT’s, especially related to...

This article investigates the problem of optimal intertemporal consumption in the CCAPM setup from a new empirical perspective. The econometric analysis is based on use of the equality between the stochastic discount factor (SDF) and the marginal rate of intertemporal substitution of consumption, which in the CCAPM is equivalent to the Euler equati...

In this paper, we investigate the relationships between trade and labor productivity for nine Latin American countries in terms of the trade-led growth hypothesis. We use a vector error-correction model and perform independent tests of the short-run and long-run relationship among exports, imports and productivity to examine the direction of causal...

This article examines the long‐ and short‐run effects of rural credit on the gross value added of agricultural output in Brazil. We apply the dynamic vector error correction model (VECM) to the estimation and testing. The main finding is that there is a positive long‐run relationship between agricultural sector production and loans from financial i...

This study aims to study the effect of family background on the academic performance of higher education students. We used microdata from the National Student Performance Examination (ENADE) and the Klein and Vella (2009) model, which controls for concurrency problems. The results showed that the family background exerts a great influence on the pe...

The macroprudential policy mechanism of Time Deposits with Special Guarantee (TDSG) was introduced in Brazil after the 2008 global financial crisis to prevent a liquidity shock in the banking sector. The TDSG is a form of deposit insurance established to avoid bank runs and protect depositors in the event of bankruptcy of financial institutions. In...

Esta coletânea de artigos traz contribuições importantes para a literatura de avaliação de políticas públicas, principalmente com foco nas áreas de Educação e Desenvolvimento Econômico. A avaliação de políticas públicas tem um papel fundamental na orientação da tomada de decisões por parte dos governos, de modo a garantir que sejam obtidos os melho...

Este artigo estuda os determinantes do spread bancário ex-post na economia brasileira, em particular evidências dos efeitos da implementação do acordo de Basileia III no spread. Baseados no modelo teórico de Ho & Saunders (1981), estimamos um modelo dinâmico para dados em painel para 73 bancos comerciais em operação no Brasil no período 2009:2-2016...

Este trabalho tem como objetivo analisar as diferenças de rendimento com base em sexo e raça no mercado de trabalho brasileiro e em suas regiões. Para tanto, utilizamos a decomposição de Oaxaca-Blinder para identificar e medir o quanto da desigualdade de renda entre grupos de sexo e raça é explicado por fatores discriminatórios e quanto dessa desig...

The main goal of this manuscript is to introduce a discrete dynamical system defined by symmetric matrices and a real parameter. By construction, we rediscovery the Power Iteration Method from the Projected Gradient Method. Convergence of the discrete dynamical system solution is established. Finally, we consider two applications, the first one con...

The main goal of this manuscript is to introduce a discrete dy-namical system defined by symmetric matrices and a real parameter. By construction, we rediscovery the Power Iteration Method from the Projected Gradient Method. Convergence of the discrete dynamical system solution is established. Finally, we consider two applications, the first one co...

Este artigo analisa o comportamento da demanda por jornais impressos vendidos em banca no Brasil. Estimamos as elasticidades preço e renda e os impactos dos produtos considerados como potenciais substitutos: a modalidade de venda por assinatura, jornal popular e acesso à internet. O universo deste estudo contempla a demanda de jornais que circulam...

Esta pesquisa tem como objetivo investigar no âmbito do mercado acionário brasileiro a relação de causa e efeito entre o retorno contábil (ROE) e o retorno do mercado de ações (RET) no Brasil, analisando precedência temporal e procurando evidências sobre a capacidade preditiva. O estudo é baseado em uma investigação empírica sobre a relação de caus...

A Revista Ambiente Contábil (Ambiente) apresenta na sua 19ª edição 20 (vinte) artigos que tratam de assuntos relevantes para a área contábil. Artigo 1 - CAUSALIDADE ENTRE OS RETORNOS CONTÁBEIS E OS RETORNOS DO MERCADO DE AÇÕES BRASILEIRO de Raquel Berger Deorce, Carlos Enrique Carrasco Gutierrez, Anderson de Oliveira Reis e Elizangela Lourdes de C...

This research aims to investigate within the scope of the Brazilian stock market the cause and effect relationship between the accounting rate-of-return (ROE) and the return of the stock market (RET) in Brazil. Analyzes temporal precedence and looks for evidence on predictive capacity. The study is based on an empirical investigation of the cause a...

O objetivo dessa pesquisa foi avaliar a aceitação e adoção da computação em nuvem por meio do Modelo de Aceitação de Tecnologia (TAM) e validar um instrumento de obtenção desta medida. Participaram da pesquisa 55 funcionários de uma escola de capacitação para a indústria que utiliza serviços de nuvem (e-mail, armazenamento em disco, agenda, grupos,...

The purpose of this article is to investigate the effects of mergers and acquisitions on the stock performance of acquiring companies traded on the Brazilian Stocks (BM&FBovespa). To that end, we evaluated the cumulative abnormal returns in order to measure their performance in the short and long term after the announcement date of the transaction....

O modelo intertemporal tradicional da conta corrente assume que todos os indivíduos seguem a teoria da renda permanente. A inovação propostanestetrabalhoéincorporaraomodeloclássicodadinâmicadaconta corrente a ideia de que uma parte dos consumidores apresenta comportamento do tipo rule of thumb. São estimadas a parcela da renda agregada que segue o...

RESUMO O objetivo desta pesquisa é identificar a relação entre o desempenho setorial e o ciclo de negócios na economia brasileira. A observação desta relação pode ser útil na gestão de carteiras de ativos. Utilizamos os dados das empresas listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 1995 a 2005 para obter Retorno sobre Ativos (...

In this paper we use the standard factor models to compose common-factor portfolios by a novel linear transformation extracted from large data sets of asset returns. Although the transformation proposed here retains the basic properties of the usual common factors, some interesting new properties are further included in them. The advantages of usin...

This paper investigates whether there is a fraction of consumers that do not be have as fully forward-looking optimal consumers in the Brazilian economy. The generalized method of moments technique was applied to nonlinear Euler equations of the consumption-based capital assets model contemplating utility functions with time separability and non-se...

Resumo: O Brasil se destaca como maior produtor de café do mundo sendo res-ponsável por 30% do mercado internacional, além de maior exportador e o segundo maior consumidor, atrás somente dos Estados Unidos. Este trabalho tem como finalidade encontrar um modelo econométrico na presença de quebra estrutural, que seja capaz de prever o preço do café n...

According to the intertemporal approach, one of the most important ways to describe the dynamics of international capital is the current account. This paper applies to Brazilian data econometric technique developed by Campbell and Shiller (1987) to test the intertemporal current account model for the period 1947 to 2010. It compares the results obt...

Technological innovations in agribusiness world did not allow the Malthusian theory became a reality. According to FAO studies of the introduction of more refined techniques of cultivation and soil treatment, as well as the findings of chemical fertilizers and genetically modified crops have led to a remarkable growth of agricultural productivity....

Technological innovations in agribusiness world did not allow the Malthusian theory became a reality. According to FAO studies of the introduction of more refined techniques of cultivation and soil treatment, as well as the findings of chemical fertilizers and genetically modified crops have led to a remarkable growth of agricultural productivity....

In this paper a methodology to compare the performance of different stochastic discount factor (SDF) models is suggested. The starting point is the estimation of several factor models in which the choice of the fundamental factors comes from different procedures. Then, a Monte Carlo simulation is designed in order to simulate a set of gross returns...

In this paper we construct common-factor portfolios using a novel linear transformation of standardfactor models extracted from large data sets of asset returns. The simple transformation proposed herekeeps the basic properties of the usual factor transformations, although some new interesting propertiesare further attached to them. Some theoretica...

O objetivo desta pesquisa é identificar a relação entre o desempenho setorial e o ciclo de negócios na economia brasileira. A observação desta relação pode ser útil na gestão de carteiras de ativos. Utilizamos os dados das empresas listadas na Bolsa de Valores de São Paulo (Bovespa) no período de 1995 a 2005 para obter Retorno sobre Ativos (ROA) e...

The identification of the economical effects of public policies is essential for the formulation of such policies, as well as for the adequate allocation of the financial resources obtained by the government. The present work studies the Brazilian public policies regarding oil and natural gas royalties. Its main goal is to uncover the effects of ro...

RESUMO Identificar os impactos que a política pública provoca na economia é essencial para a sua formulação e para o direcionamento da aplicação dos recursos financeiros auferidos pelo Estado. Este trabalho estuda a política pública brasileira de royalties de petróleo e gás natural e tem como objetivo identificar os efeitos das receitas de royalti...

Identificar os impactos que a política pública provoca na economia é essencial para a sua formulação e para o direcionamento da aplicação dos recursos financeiros auferidos pelo Estado. Este trabalho estuda a política pública brasileira de royalties de petróleo e gás natural e tem como objetivo identificar os efeitos das receitas de royalties dos g...

In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S. economy could be explained by relative factors linked to characteristics of the firms. In this sense, we const...

The aim of this work is to analyze the business cycles of Mercosur member countries in order to investigate their degree of synchronization. The econometric model uses the Beveridge-Nelson-Stock-Watson multivariate trend-cycle decomposition, taking into account the presence of common features such as common trend and common cycle. Once the business...

In this paper we test di¤erent representative classes of consumption-based asset pricing models (CCAPM). A critical point of testing these models, which is implied by the Euler conditions of the agent's optimization problem, is the choice of a measure for the asset returns. We use the factor model to construct a small set of portfolios that summari...

A crucial aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model is based on the correct model specic- ation. Literature has showed important studies of how select the lag order of a non stationary VAR models subject to cointegration restrictions. In this work...

The aim of this work is to analyze the business cycles of the Mercosur's member countries in order to investigate their degree of synchronization. The estimation used is the Beveridge-Nelson-Stock-Watson multivariate trend-cycle decomposition, taking into account the presence of common features such as common trend and common cycle. Once the busine...