Paulo Matos

Paulo Matos
Federal University of Ceará (UFC) · CAEN Graduate School of Economics

PhD in Economics - EPGE/FGV
Director, Faculty of Economics, Administration, Actuaries, Accounting, Executive Secretariat and Finance (FEAAC/UFC)

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68
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154
Citations

Publications

Publications (68)
Article
We build a stochastic discount factor - SDF - using U.S. domestic financial data only, and provide evidence that it accounts for stylized facts about foreign markets that escape SDFs generated by consumption-based models. When our SDF is interpreted as the projection of the pricing kernel from a fully specified model in the space of returns, our re...
Article
The forward premium puzzle is usually evidenced by the rejection of the null hypothesis in the uncovered interest parity (UIP) regression. Because this parity need only hold in a risk-neutral world, a risk adjustment term is missing from the equation if speculation in foreign exchange markets is risky. We deal with this issue following the literatu...
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I incorporate household debt and delinquency decisions into a standard model of lifecycle consumption-saving-investment. I also impose a punishment to the delinquent behavior by assuming that the percentage of endowment available is a linear function of the default decision. Theoretically such additional investor decisions are playing a relevant ro...
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Our empirical investigation reveals that the variance of foreign consumption is much higher than the variance of domestic consumption growth for the domestic United States of America (US) resident. We show that precautionary savings in foreign currency arise because of this volatility differential between domestic and imported consumption growth. T...
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We address instrumentalized co-movements across time and frequencies between macro-finance variables and household decisions in terms of consumer loans, home mortgage and its respective delinquency rates in U.S. Methodologically, we use partial wavelet coherency, partial phase-difference diagram and partial regression coefficient. We provide insigh...
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We add to the discussion on the transmission of business cycles, by modeling worldwide banking sector indices cycle synchronization, accounting for the time-varying and frequency-specific behavior of the variables. Based on the multiple coherence, partial coherence, partial phase-difference, and partial gain, we find regions of strong and significa...
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We study the Brazilian stock market response to the COVID-19 pandemic. Considering the COVID-19 data from January 22, 2020, to August 31, 2021, and a daily dataset comprised of the Bovespa index - the main performance indicator of the stocks in the Brazilian capital market -, its sector components, and COVID-19 cases and deaths in the most affected...
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We study the Brazilian stock market response to the COVID-19 pandemic. Considering the COVID-19 data from January 22, 2020, to August 31, 2021, and a daily dataset comprised of the Bovespa index - the main performance indicator of the stocks in the Brazilian capital market -, its sector components, and COVID-19 cases and deaths in the most affected...
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We assess the conditional relationships in the time-frequency domain between the return on Brazilian financial index, IFNC, and the COVID-19 cases or deaths in Hubei, in countries who stood out in this health crisis scenario and the world, considering the period from January 29 to December 31, 2021. Second, we study the banking sector behaviour dur...
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We revisit the discussion on banking system contagion by proposing a risk-based empirical analysis during the current pandemic period. We use daily returns on G7 banking sector indices from 1 January 2015 to 31 December 2019 (pre-pandemic), and from 1 January 2020 to 16 October 2020 (pandemic). Based on the dissimilarities, the pandemic has intensi...
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We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in sectoral connectedness and stylized facts regarding specific sectors during the COVID-19 pandemic. Among several results...
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We assess the conditional relationship in the time-frequency domain between the return on S&P 500 and confirmed cases and deaths by COVID-19 in Hubei, China, countries with record deaths and the world, for the period from January 29 to June 30, 2020. Methodologically, we follow Aguiar-Conraria et al. (2018), by using partial coherencies, phase-diff...
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Este artigo aborda a solvência da dívida pública do estado do Ceará, a partir do arcabouço de reação fiscal para o período compreendido entre o 1º bimestre de 2008 e o 3º bimestre de 2019 (2008b1 – 2019b3). A relevância está associada ao monitoramento da solvência de um ente vulnerável socialmente com dívida externa com elevado crescimento, tendo e...
Article
We revisit the discussion on banking system contagion by proposing a risk-based empirical analysis during the current pandemic period. We use daily returns on G7 banking sector indices from January 01, 2015 to December 31, 2019 (pre-pandemic), and from January 01, 2020 to October 16, 2020 (pandemic). Based on the dissimilarities, the pandemic has i...
Article
We examine volatility connectedness of 11 sectoral indices in the US using daily data from January 01, 2013 to December 31, 2020. We employ the connectedness measures of Diebold and Yilmaz (2009, 2012, 2014), unveiling changes in the US sectoral connectedness and stylized facts regarding specific sectors occurred during the COVID-19 pandemic. Among...
Article
We address G7 banking contagion during the COVID-19 crisis using wavelet-based techniques. We find an increase (20%) of the lowest frequencies banking contagion during the pandemic period based on stronger coherence between all pairs of financial indices. We also find that COVID-19 world cases and deaths are relevant to understand banking cycles co...
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We add to the debate on risk management applied to public finance. We propose forecasting one year ahead the worst scenario for the time series of each disaggregated public debt – by indexer or currency – of the state of Ceará. Methodologically, we follow Matos et al. (2015) by using a parametric Value at Risk approach based on the best fitting dis...
Article
We add to the discussion on risk management by proposing an innovative measure of Value-at-Risk (VaR) which relaxes some statistical assumptions. We provide a VaR based on time-varying moments of the best fitting probability distribution function. This risk measure can capture the cross-effects associated with contagion and integration through the...
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We add to the literature on financial system and development by proposing an empirical exercise to better understand the channels through which credit drivers are able to promote economic growth. We estimate an extended version of Barro-style growth panel regression in difference. We measure the individual impact of household credit, enterprise cre...
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We add to the discussion on the shadow economy in Latin America by applying multiple indicators and multiple causes (MIMIC) approach. We use an innovative and broad set of drivers and indicators aiming to measure shadow to GDP for 18 emerging countries during the period from 1990 to 2013. We are able to measure the liquidity elasticity of shadow, 0...
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We analyze the solvency scenario for Brazilian household credit by using an extended version of the fiscal reaction approach. This model enables us to assess the impact of credit risk proxies. We take into account disaggregated credit for different sources of financing. Our results suggest that non-earmarked and total household credit are insolvent...
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We address the discussion on the credit disbursement of US$ 28.6 billion from Brazilian National Economic and Social Development Bank (BNDES) to Brazilian state governments during the period from 2009 to 2014. We try to identify the main drivers of the credit allocation in both cross-state and time series data. We use a dynamic balanced panel to es...
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We propose modeling the linear dependence between non-earmarked household credit decisions and variations of expectation of most relevant macroeconomic variables in Brazil. Addressing this issue is relevant since Brazilian household credit market seems to be heterogeneous, apparently inconsequential, driven by demand variables and explosive. Our ev...
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Esta nota agrega à discussão sobre as finanças públicas dos estados brasileiros, atendo-se à pela fragilidade fiscal e corrupção crescente. Propõe-se a estimação de três distintas abordagens utilizadas na literatura internacional com o intuito de mensurar o impacto do Índice de Corrupção Governamental na Dívida Consolidada Líquida como razão do Pro...
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According to Matos et al. (2013) credit policy in Brazil has been discriminatory and strongly characterized by a regional bias. We address this issue by aiming to identify Brazilian cross-state credit drivers. Methodologically we follow Matos (2017) by proposing a panel model to estimate relationships between real per capita Brazilian household cre...
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With the growth of international reserves in the last decades, the existence of contagion and financial integration between Argentina, Brazil, Chile, Colombia and Peru is found by Matos, Siqueira and Trompieri (2014). We add to the international reserve literature using the Frenkel and Jovanovic (1981) buffer stock model. Our fundamental innovation...
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We add to the discussion about risk management by testing different specifications of Value at Risk-VaR measures for the main stock market indices in South America: the MERVAL (Argentina), IBOVESPA (Brazil), IPSA (Chile), IGBC (Colombia), and IGBVL (Peru). As a benchmark Value at Risk, we rely on the hypotheses of the unconditional moments of a Gau...
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Este artigo agrega à discussão sobre as características de uma sociedade que podem ser úteis para a compreensão da heterogeneidade existente no comportamento poupador das famílias brasileiras em termos de contribuição previdenciária. Através de um painel balanceado considerando as famílias por unidade federativa subnacional durante o período de 200...
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We enter the debate about the ability of Brazilian investors to diversify risk and improve performance by allocating resources to international stock market indices, taking into account the evidence of financial integration and contagion in the countries of South America reported by Matos, Bueno and Trompieri (2014). Based on unleveraged strategies...
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In this paper, we suggest a technology process assuming that a stock mutual fund, as an usual firm, can be seen as a decision-making unit, so that we can measure the effect of its decisions regarding allocation of resources for administrative and non-administrative expenses on its own levels of gain and risk. Theoretically, this approach enables us...
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We add to the literature about credit in Latin America by assessing what has been driving the recent and heterogeneous expansion of credit to GDP based on supply and demand variables. We chose working with these emerging economies due to the low levels of human capital, the divergent patterns of evolution of economic variables and the vulnerability...
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We add to the empirical literature of asset pricing, by proposing a forward-looking conditional approach for the volatility of Brazilian sectorial indices. We aim to identify statistically which series of expectations of main macroeconomic variables are relevant to the variance equation of a GARCH model of the Brazilian sectorial indices, assuming...
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We revisit the literature that explores the relationship between domestic and foreign markets asset pricing puzzles, by evaluating the relative performance of different consumption based models. We estimate and test the overidentifying restrictions of Euler equations associated with the Consumption Capital Asset Pricing Model, in its canonical and...
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We add to the debate promoted by Misra and Mahakud (2009) and Chittedi (2010) aiming to measure the levels of financial integration and contagion of BRIC. We follow Vahid and Engle (1993) and Johansen et al (2000) in order to extract individual and common trends and cycles of BRIC major stock market indices. Our evidence in the short-run suggests a...
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Este artigo faz uso da técnica de Análise Envoltória de Dados em painel, para uma amostra balanceada com dados anuais de 2004 a 2013, visando modelar o processo de geração de bem-estar social por parte das unidades da federação. Uma primeira inovação está no uso de fontes de insumos associados às receitas tradicionais, como transferências e tributo...
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We add to the literature on international reserves in emerging countries, by incorporating to the buffer stock framework developed by Frenkel and Jovanovic (1981) the evidence of contagion in BRIC. We take into account cross effects by means the joint estimation of this linear framework using an auto regression vector with error correction model. W...
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We measure the significance and direction of main economic drivers of Brazilian household loan delinquency, using panel data during the period from 2004 to 2013 for all federal subnational entities. Addressing this issue for Brazil is relevant due to the recent crises in this economy. Our evidences about the role of poverty and unemployment in hous...
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Este artigo contribui com a teoria de apreçamento de ativos, ao propor um modelo linear de fatores construídos especificamente para a indústria brasileira de fundos de investimento em ações, utilizando-o na sequência para analisar a performance destes fundos através da metodologia proposta em Fama & French (2010). A principal inovação deste trabalh...
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In this paper, we would like to contribute to the asset pricing discussion, by proposing a linear model of factors built specifically for the Brazilian stock mutual funds and by using it to analyze the performance of these funds through the methodology proposed in Fama & French (2010). The main innovation of this study is using this framework deriv...
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This paper aims at modeling the conduct policy of the interest rate by the Monetary Policy Committee of the Central Bank of Brazil (COPOM), following methodologically a statistical framework developed by Engle & Russel (1998) and used by Hamilton & Jordà (2002) in studying the decisions of the Federal Reserve of the United States. The results, once...
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This article analy zes patterns of convergence in series of return of investment funds in shares in Brazil, from the use of the methodology of Phillips and Sul (2007). Unlike the theory of portfolios and in disagreement with the characteristics of this market -regulation, t ransparency, efficiency and informational transaction costs-, it shows a he...
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This paper addresses the risk management of financial assets through Value-at-Risk (VaR) approach, proposing an innovative technique to measure VaR based on a specific parametric best fitting probability distribution function, which enables us to incorporate time-varying first and second moments extracted from an Autoregressive Moving Average-Gener...
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We enter the debate promoted by Mejía-Reyes (2000) and Hecq (2001) on financial integration and contagion in the countries of South America, based on the methodology of common characteristics in the long and short run of the major stock indexes time paths. Although this is a continent with diverse economic fundamentals, our results suggest that the...
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Is it possible that the positive effect of the internet usage by population on the democratization process of a society, seemingly intuitive, is actually spurious? As part of this discussion, we propose here using linear statistical frameworks to make inferences about the sign and significance of the internet access on democracy, along with the eff...
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Este estudo trata da solvência do Regime Próprio da Previdência Social do Estado do Ceará (RPPS), um sistema que invariavelmente necessita de aportes financeiros públicos para pagar os seus aposentados e pensionistas. O estudo utilizou modelos econométricos para avaliar a sustentabilidade do regime previdenciário no período de 2003 a 2012, com dado...
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O proposito deste trabalho e fazer uma analise de causalidade da mortalidade das pequenas empresas no Brasil, baseada em situacoes conjunturais pre e posimplantacao do plano real no ano de 1994, no intervalo de 1985 a 2005. Para isso serao utilizados recursos econometricos que auxiliem a identificar caracteristicas dos efeitos multiplicador, compet...
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This article contributes to the debate on the solvency of the General Social Security System (RGPS) in Brazil, a simple distribution system whose parameters differ from international standards in terms of population, economy and social aspects. Following mainly the methodology of Bohn (1998, 2007), we can evidence that, during the period from Janua...
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This article analyzes the stock investment fund market in Brazil and proposes dynamic rankings constructed from different risk-return metrics, during the period from 1998 to 2009. We find an uncommon level of persistence, mainly among the best performing funds, due to the expertise of the managers. The quadrimestral rebalancing of the portfolios ba...
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This paper uses the Capital Asset Pricing Model (CAPM), in its canonic version and with non-linear extensions, aiming at pricing a panel of 75 stock investment funds in Brazil, throughout the last 11 years. The result suggests that the linear version of said framework is not capable of pricing or forecasting actual returns of funds which have high...
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We use principal components to extract a time series for the Stochastic Discount Factor based on returns on Brazilian mutual funds that invest in fixed-income securities and foreign currency. This factor is then used to model the Brazilian Real/American Dolar Exchange rate using a Bivariate Generalized Autoregressive Conditional Heteroskedasticity-...
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This paper studies the behavior of the most relevant worldwide stock exchanges indices. The semiparametric time series technique proposed by Phillips and Sul (2007) is used to a panel containing 36 stock exchanges allocated in economies with different development levels situated on all continents, during the period from January 1998 to December 200...
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This paper studies the behavior of the most relevant worldwide stock exchanges indices. The semiparametric time series technique proposed by Phillips and Sul (2007) is used to a panel containing 36 stock exchanges allocated in economies with different development levels situated on all continents, during the period from January 1998 to December 200...
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Este artigo analisa a questão do conservadorismo no que concerne à gestão de recursos por tesourarias de instituições financeiras públicas, que incorrem em um trade-off por não ter essa gestão como prioridade, mas sim as atividades associadas ao desenvolvimento. Fazendo-se uso do capital asset pricing model (CAPM), as evidências para o Banco do Nor...
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This article analyzes the conservative behavior of public financial institutions' treasuries, which incur a trade-off for prioritizing their development-related activities instead of their funds management. Using the capital asset pricing model (CAPM), evidence from the Northeast Bank of Brazil, the largest regional development bank in Latin Americ...
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Estuda os mecanismos de tomada de decisão em cooperativas de crédito brasileiras, instituições com forte e crescente representatividade no sistema financeiro, cujas operações são caracterizadas pelo trade-off na gestão inerente ao problema de incentivos e de monitoramento. Neste contexto, realizaram-se análises descritivas a respeito do comportamen...
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In this article we analyze the capacity to price and predict the returns of stock mutual funds in the Brazilian market, using the capital asset pricing model (CAPM) and the factor models developed by Fama and French (1993) and Carhart (1997). The first results show an expected outcome: better pricing performance of the CAPM vis-à-vis the other mode...
Article
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 returns, our results indicate that a model that accounts...

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