Wagner Piazza Gaglianone

Contact Information

• Central Bank of Brazil - Research Department

• Email: wagner.gaglianone@bcb.gov.br

Education

• Doctor in Economics [2007] Graduate School of Economics (EPGE), Getulio Vargas Foundation (FGV), Rio de Janeiro, Brazil.

  • Thesis Advisor: Prof. João Victor Issler , Co-advisor: Prof. Luiz Renato Lima

    Title: "Essays on Macroeconometrics and Finance" (presentation.pdf)

• Visiting Research Student [2006/2007] Department of Economics - The London School of Economics (LSE), London, United Kingdom.

  • Advisor: Prof. Oliver Linton

• Master in Economics [2004] Graduate School of Economics (EPGE), Getulio Vargas Foundation (FGV), Rio de Janeiro, Brazil.

  • Advisor: Prof. João Victor Issler

    Dissertation: "Current Account and Capital Mobility Hypothesis: evidence from the G-7"

• Bachelor in Civil Engineering [1996] Graduate School of Engineering - Federal University of Rio de Janeiro (UFRJ), Rio de Janeiro, Brazil.

  • Advisor: Prof. Humberto Lima Soriano

    Field of specialization: Structural Engineering

Research Interests

• Econometric Theory
• Applied Econometrics

Languages

• Portuguese (native), English and Italian

Computer Skills

• R, Ox, Pascal, Eviews, Gauss, Matlab

Papers in Refereed Journals

• Evaluating Value-at-Risk models via Quantile Regression. [with Luiz Renato Lima, Oliver Linton and Daniel Smith], forthcoming in Journal of Business & Economic Statistics (JBES).

• Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach. 2008 [with Luiz Renato Lima and Raquel Sampaio], Journal of Development Economics 86(2), 313-335. (JDE.pdf)

• An essay on the foreign exchange rate expectations in Brazil. 2005 [with Ana Luiza Pereira], Brazilian Finance Review 03(01), 55-100. (RBFin.pdf)

Working Papers

• Constructing Density Forecasts from Quantile Regressions. 2010 [with Luiz Renato Lima], available soon.

• Evaluating Value-at-Risk models via Quantile Regression. 2009 [with Luiz Renato Lima, Oliver Linton and Daniel Smith], Working Paper 09-46, Universidad Carlos III de Madrid. http://www.eco.uc3m.es/temp/09-46-25.pdf

• Teste de estresse na ligação macro-risco de crédito: uma aplicação ao setor doméstico de pessoas físicas. 2009 [with Ricardo Schechtman], http://www.bcb.gov.br/Pec/Depep/Seminarios/2009_IVSemRiscosBCB/Arquivos/2009_IVSemRiscosBCB_11h30_Ricardo.pdf

• An econometric contribution to the intertemporal approach of the current account. 2008 [with João Victor Issler], Working Paper n.178, Central Bank of Brazil. wps178

• Evaluating asset pricing models in a Fama-French framework. 2008 [with Carlos Gutierrez], Working Paper n.175, Central Bank of Brazil. wps175

• Evaluating Value-at-Risk models via quantile regressions. 2008 [with Luiz Renato Lima and Oliver Linton], Ensaios Econômicos EPGE n.1718, Getulio Vargas Foundation. epge679

• Evaluating Value-at-Risk models via quantile regressions. 2008 [with Luiz Renato Lima and Oliver Linton], Working Paper n.161, Central Bank of Brazil. wps161

• Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach. 2006 [with Luiz Renato Lima and Raquel Sampaio], Ensaios Econômicos EPGE n.631, Getulio Vargas Foundation. epge631

• Stochastic simulation of a DSGE model for Brazil. 2006 [with Hui Lok Sin], article presented for the Monetary Policy course at EPGE. (MP.pdf)

• Limite de Endividamento e Sustentabilidade Fiscal no Brasil: Uma abordagem via modelo Quantílico Auto-Regressivo (QAR). 2005 [with Luiz Renato Lima and Raquel Sampaio], Ensaios Econômicos EPGE n.602, Getulio Vargas Foundation. epge602

Curriculum Vitae

• English: (cv_short_version.pdf)

• Portuguese: CV Lattes

Links

• Central Bank of Brazil (BCB)

• Graduate School of Economics (EPGE/FGV)

• The London School of Economics and Political Science (LSE)

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