Wagner Piazza Gaglianone

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Education

Research Interests

Languages

Computer Skills

Papers in Refereed Journals

[2018a]
W.P. Gaglianone; O.T.C. Guillén and F.M.R. Figueiredo. Estimating Inflation Persistence by Quantile Autoregression with Quantile-Specific Unit Roots. Economic Modelling, Revise and Resubmit, 2018.
[2017d]
W.P. Gaglianone; J.V. Issler and S.M. Matos. Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. Empirical Economics, 53(1):137--163, 2017. [ http ]
[2017c]
W.P. Gaglianone and J.T.M. Marins. Evaluation of Exchange Rate Point and Density Forecasts: An Application to Brazil. International Journal of Forecasting, 33(3):707--728, 2017. [ http | .pdf ]
[2017b]
Y.A.C. Cordeiro; W.P. Gaglianone and J.V. Issler. Inattention in Individual Expectations. EconomiA, 18(1):40--59, 2017. [ http ]
[2017a]
F.F. Val; M.C. Klotzle; A.C.F. Pinto and W.P. Gaglianone. Estimating the Credibility of Brazilian Monetary Policy using a Kalman Filter Approach. Research in International Business and Finance, 41(C):37--53, 2017. [ http ]
[2014a]
W.P. Gaglianone and L.R. Lima. Constructing Optimal Density Forecasts from Point Forecast Combinations. Journal of Applied Econometrics, 29(5):736--757, 2014. [ http ]
[2012c]
C.E. Carrasco-Gutierrez and W.P. Gaglianone. Evaluating Asset Pricing Models in a Simulated Multifactor Approach. Brazilian Finance Review, 10(4):425--460, 2012. [ http ]
[2012b]
W.P. Gaglianone and L.R. Lima. Constructing Density Forecasts from Quantile Regressions. Journal of Money, Credit and Banking, 44(8):1589--1607, 2012. [ http ]
[2012a]
R. Schechtman and W.P. Gaglianone. Macro Stress Testing of Credit Risk Focused on the Tails. Journal of Financial Stability, 8(3):174--192, 2012. [ http ]
[2011a]
W.P. Gaglianone; L.R. Lima; O. Linton and D. Smith. Evaluating Value-at-risk Models via Quantile Regression. Journal of Business & Economic Statistics, 29(1):150--160, 2011. [ http ]
[2008a]
L.R. Lima; W.P. Gaglianone and R. Sampaio. Debt Ceiling and Fiscal Sustainability in Brazil: a Quantile Autoregression Approach. Journal of Development Economics, 86(2):313--335, 2008. [ http ]
[2005a]
W.P. Gaglianone and A.L.L. Pereira. An Essay on the Foreign Exchange Rate Expectations in Brazil. Brazilian Finance Review, 3(1):55--100, 2005. [ http ]

Book Chapters

[2013]
L.A. Pereira da Silva; A.S. Sales and W.P. Gaglianone. Financial Stability in Brazil. In Andreas Dombret and Otto Lucius, editors, Stability of The Financial System - Illusion or Feasible Concept?, pages 64--126. Edward Elgar Publishing, 2013. [ http ]
[2010]
C.H.V. Araújo and W.P. Gaglianone. Survey-based Inflation Expectations in Brazil. In Stephen Cecchetti, editor, Monetary Policy and the Measurement of Inflation: Prices, Wages and Expectations, volume 49, pages 107--114. Bank for International Settlements, 2010. [ http | .pdf ]

Work in Progress

[2018a]
W.P. Gaglianone; R. Giacomini; J.V. Issler and V. Skreta. Incentive-driven Inattention. Available soon, 2018.
[2018b]
F.N. Oliveira and W.P. Gaglianone. A New Credibility Index for the Central Bank of Brazil using Kalman Filter: Exploring Signals of Inflation Anchoring in the Long-Term. Available soon, 2018.
[2018c]
M.B.M. Areosa and W.P. Gaglianone. Anchoring Long-term VAR Forecasts based on Survey Data and State-Space Models. Available soon, 2018.

Working Papers

[2017d]
A.P. Viola; M.C. Klotzle; A.C.F. Pinto and W.P. Gaglianone. Predicting Exchange Rate Volatility in Brazil: An Approach using Quantile Autoregression. Working Paper n.466, Central Bank of Brazil, 2017. [ .pdf ]
[2017c]
W.P. Gaglianone. Empirical Findings on Inflation Expectations in Brazil: a survey. Working Paper n.464, Central Bank of Brazil, 2017. [ .pdf ]
[2017b]
F.F. Val; W.P. Gaglianone; M.C. Klotzle and A.C.F. Pinto. Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model. Working Paper n.463, Central Bank of Brazil, 2017. [ .pdf ]
[2017a]
W.P. Gaglianone and W.D. Areosa. Financial Conditions Indicator for Brazil. IDB Working Paper Series n. IDB-WP-826, Inter-American Development Bank, 2017. [ http ]
[2016d]
W.P. Gaglianone and J.T.M. Marins. Evaluation of Exchange Rate Point and Density Forecasts: An Application to Brazil. Working Paper n.446, Central Bank of Brazil, 2016. [ .pdf ]
[2016c]
Y.A.C. Cordeiro; W.P. Gaglianone and J.V. Issler. Inattention in Individual Expectations. Ensaios Econômicos EPGE n.776, Getulio Vargas Foundation, 2016. [ .pdf ]
[2016b]
W.P. Gaglianone; J.V. Issler and S.M. Matos. Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation. Working Paper n.436, Central Bank of Brazil, 2016. [ .pdf ]
[2016a]
W.P. Gaglianone and W.D. Areosa. Financial Conditions Indicators for Brazil. Working Paper n.435, Central Bank of Brazil, 2016. [ .pdf ]
[2015c]
W.P. Gaglianone; O.T.C. Guillén and F.M.R. Figueiredo. Local Unit Root and Inflationary Inertia in Brazil. Working Paper n.406, Central Bank of Brazil, 2015. [ .pdf ]
[2015b]
Y.A.C. Cordeiro; W.P. Gaglianone and J.V. Issler. Inattention in Individual Expectations. Working Paper n.395, Central Bank of Brazil, 2015. [ .pdf ]
[2015a]
W.P. Gaglianone and J.V. Issler. Microfounded Forecasting. Ensaios Econômicos EPGE n.766, Getulio Vargas Foundation, 2015. [ http ]
[2014b]
W.P. Gaglianone and J.V. Issler. Microfounded Forecasting. Working Paper n.372, Central Bank of Brazil, 2014. [ .pdf ]
[2014a]
W.P. Gaglianone and J.T.M. Marins. Risk Assessment of the Brazilian FX Rate. Working Paper n.344, Central Bank of Brazil, 2014. [ .pdf ]
[2012b]
L.A. Pereira da Silva; A.S. Sales and W.P. Gaglianone. Financial Stability in Brazil. Working Paper n.289, Central Bank of Brazil, 2012. [ .pdf ]
[2012a]
W.P. Gaglianone and L.R. Lima. Constructing Optimal Density Forecasts from Point Forecast Combinations. Texto para Discussão n.5, 2012, UFPB-PPGE, 2012. [ .pdf ]
[2011a]
R. Schechtman and W.P. Gaglianone. Macro Stress Testing of Credit Risk Focused on the Tails. Working Paper n.241, Central Bank of Brazil, 2011. [ .pdf ]
[2009a]
W.P. Gaglianone; L.R. Lima; O. Linton and D. Smith. Evaluating Value-at-Risk Models via Quantile Regression. Working Paper n.09-46, Universidad Carlos III de Madrid, 2009. [ .pdf ]
[2008d]
W.P. Gaglianone and J.V. Issler. An Econometric Contribution to the Intertemporal Approach of the Current Account. Working Paper n.178, Central Bank of Brazil, 2008. [ .pdf ]
[2008c]
C.E. Carrasco-Gutierrez and W.P. Gaglianone. Evaluating Asset Pricing Models in a Fama-French Framework. Working Paper n.175, Central Bank of Brazil, 2008. [ .pdf ]
[2008b]
W.P. Gaglianone; L.R. Lima and O. Linton. Evaluating Value-at-Risk Models via Quantile Regressions. Working Paper n.161, Central Bank of Brazil, 2008. [ .pdf ]
[2008a]
W.P. Gaglianone; L.R. Lima and O. Linton. Evaluating Value-at-Risk Models via Quantile Regressions. Ensaios Econômicos EPGE n.679, Getulio Vargas Foundation, 2008. [ http ]
[2006b]
L.R. Lima; R. Sampaio and W.P. Gaglianone. Debt Ceiling and Fiscal Sustainability in Brazil: a Quantile Autoregression Approach. Ensaios Econômicos EPGE n.631, Getulio Vargas Foundation, 2006. [ http ]
[2006a]
H.L. Sin and W.P. Gaglianone. Stochastic Simulation of a DSGE Model for Brazil. Paper for the Monetary Policy course, Getulio Vargas Foundation, FGV-EPGE, 2006. [ .pdf ]
[2005a]
L.R. Lima; R. Sampaio and W.P. Gaglianone. Limite de Endividamento e Sustentabilidade Fiscal no Brasil: Uma Abordagem via Modelo Quantílico Auto-Regressivo (QAR). Ensaios Econômicos EPGE n.602, Getulio Vargas Foundation, 2005. [ http ]

Curriculum Vitae


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WagnerGaglianone (last edited 2018-03-01 11:21:45 by WagnerGaglianone)