Detalhes bibliográficos
| Ano de defesa: |
2018 |
| Autor(a) principal: |
Martins, Hecirlane Gomes |
| Orientador(a): |
Não Informado pela instituição |
| Banca de defesa: |
Não Informado pela instituição |
| Tipo de documento: |
Dissertação
|
| Tipo de acesso: |
Acesso aberto |
| Idioma: |
por |
| Instituição de defesa: |
Não Informado pela instituição
|
| Programa de Pós-Graduação: |
Não Informado pela instituição
|
| Departamento: |
Não Informado pela instituição
|
| País: |
Não Informado pela instituição
|
| Palavras-chave em Português: |
|
| Link de acesso: |
http://www.repositorio.ufc.br/handle/riufc/30118
|
Resumo: |
This article adds to the discussion about microfunded risk premium modeling, revisiting the Euler equations associated with consumption and saving decisions, incorporating new equations into the system associated with credit and default decisions. This theoretical innovation is tested in an empirical exercise applied to two sets of portfolios in Brazil, one composed by the main market indices and the other by sector indices. It is believed that, due to the considerable volatility of credit and default series, the estimation of the parameters associated with consumer preferences, especially the elasticity of intertemporal substitution, are even more satisfactory than the results previously obtained for the United States by Matos (2017). The improvements proposed in this article proved to be very effective in presenting robust conclusions for the Brazilian economy. Different from the diagnosis given to the North American economy, our results corroborate with the research developed by Issler and Pigueira (2000) which confirms the absence of Equity Premium Puzzle for the Brazilian market. |
