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Articles 1 - 7 of 7
Full-Text Articles in Social and Behavioral Sciences
Testing The Equilibrium Exchange Rate Model, Sergio Da Silva, Guilherme Moura
Testing The Equilibrium Exchange Rate Model, Sergio Da Silva, Guilherme Moura
Sergio Da Silva
We find favorable evidence for the textbook equilibrium exchange rate model of Stockman using Blanchard and Quah’s decomposition. Real shocks are shown to account for more than 90 percent of movements in the real exchange rate between Brazil and the United States of America, and for more than half of the nominal exchange rate changes. Impulse response functions also suggest that real shocks alter these countries’ relative prices.
The Canonical Econophysics Approach To The Flash Crash Of May 6, 2010, Joao Mazzeu, Thiago Otuki, Sergio Da Silva
The Canonical Econophysics Approach To The Flash Crash Of May 6, 2010, Joao Mazzeu, Thiago Otuki, Sergio Da Silva
Sergio Da Silva
We carry out a statistical physics analysis of the flash crash of May 6, 2010 using data from the Dow Jones Industrial Average index sampled at a one-minute frequency from September 1, 2009 to May 31, 2010. We evaluate the hypothesis of a non-Gaussian Levy-stable distribution to model the data and pay particular attention to the distribution-tail behavior. We conclude that there is non-Gaussian scaling and thus that the flash crash cannot be considered an anomaly. From the study of tails, we find that the flash crash followed a power-law pattern outside the Levy regime, which was not the inverse …
Overconfidence And Excess Entry: A Comparison Between Students And Managers, A. Felipe Rodrigues, Newton Da Costa Jr, Sergio Da Silva
Overconfidence And Excess Entry: A Comparison Between Students And Managers, A. Felipe Rodrigues, Newton Da Costa Jr, Sergio Da Silva
Sergio Da Silva
Overconfidence can lead to excessive business entry. Here we replicate the pioneer experiment finding this nexus (Camerer and Lovallo 1999) and extend it in two major directions: (1) to consider managers as well as student subjects and (2) to explicitly take into account selected characteristics of the manager subjects. We find that managers are more prone to the nexus overconfidence-excess entry than students are. In particular, we find that left-handed, married, and emotionally aroused managers are more prone to excess entry.
A Log-Periodic Fit For The Flash Crash Of May 6, 2010, Raul Matsushita, Sergio Da Silva
A Log-Periodic Fit For The Flash Crash Of May 6, 2010, Raul Matsushita, Sergio Da Silva
Sergio Da Silva
We show that a two-harmonic log-periodic formula fits the high-frequency data from the Dow Jones Industrial Average index, which encompass the recent episode known as the “flash crash” of May 6, 2010.
Impacts Of China's Growth On The Brazilian Trade, Tatiana Ferrari, Milton Biage, Sergio Da Silva
Impacts Of China's Growth On The Brazilian Trade, Tatiana Ferrari, Milton Biage, Sergio Da Silva
Sergio Da Silva
We evaluate whether the presence of China in world trade is ultimately beneficial or whether it is a threat to Brazil. Using a gravitational model and a panel data method, we find that the Chinese exports to countries other than Brazil are not hurting the Brazilian exports, although the exports of Brazilian manufactured goods have been displaced by commodities as a result of its commerce with China.
Revisiting Staggered Wages To Consider Discounting, Patricia Bonini, Sergio Da Silva
Revisiting Staggered Wages To Consider Discounting, Patricia Bonini, Sergio Da Silva
Sergio Da Silva
In the literature of staggered wages, the discount factor is neglected in the workers’ loss function. Yet, discounting is to be viewed as an extra piece of microfoundation with implications for discretionary monetary policy. We revisit the issue and show that discounting in the model of staggered wages actually lowers the time-consistent steady inflation.
Algorithmic Complexity Theory Detects Decreases In The Relative Efficiency Of Stock Markets In The Aftermath Of The 2008 Financial Crisis, Cleiton Taufemback, Ricardo Giglio, Sergio Da Silva
Algorithmic Complexity Theory Detects Decreases In The Relative Efficiency Of Stock Markets In The Aftermath Of The 2008 Financial Crisis, Cleiton Taufemback, Ricardo Giglio, Sergio Da Silva
Sergio Da Silva
The relative efficiency of financial markets can be evaluated using algorithmic complexity theory. Using this approach we detect decreases in efficiency rates of the major stocks listed on the Sao Paulo Stock Exchange in the aftermath of the 2008 financial crisis.