Wagner Piazza Gaglianone
Education
Ph.D. in Economics [2007] Graduate School of Economics (EPGE), Getulio Vargas Foundation (FGV), Rio de Janeiro, Brazil.
- Advisor: Prof. João Victor Issler, Co-advisor: Prof. Luiz Renato Lima
Thesis: "Essays on Macroeconometrics and Finance"
- Advisor: Prof. João Victor Issler, Co-advisor: Prof. Luiz Renato Lima
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"
- Advisor: Prof. João Victor Issler
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: Structural Engineering
Undergraduate final project: "Recommendations for evaluating vibrations in structures" (in Portuguese)
- Advisor: Prof. Humberto Lima Soriano
Research Interests
- Time Series Econometrics, Applied Macroeconomics, Empirical Finance, Forecasting, Machine Learning
Languages
- Portuguese (native), English and Italian
Main Computer Skills
- Python, R, Ox, Pascal, Eviews, Stata, Matlab
Papers in Refereed Journals
Araujo and Gaglianone (2023). "Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models", Latin American Journal of Central Banking, vol. 4(2), 100087.
Gaglianone, Giacomini, Issler and Skreta (2022). "Incentive-driven Inattention", Journal of Econometrics, vol. 231(1), p. 188-212.
Vicente, Marins and Gaglianone (2022). "Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil", Brazilian Review of Finance, vol. 20(2), p. 1-19.
Costa, Ferreira, Gaglianone, Guillén, Issler and Lin (2021). "Machine Learning and Oil Price Point and Density Forecasting", Energy Economics, vol. 102, 105494.
Duarte, Gaglianone, Guillén and Issler (2021). "Commodity Prices and Global Economic Activity: A Derived-Demand Approach", Energy Economics, vol. 96, 105120.
Oliveira and Gaglianone (2020). "Expectations Anchoring Indexes for Brazil using Kalman Filter: Exploring Signals of Inflation Anchoring in the Long Term", International Economics, vol. 163, p. 72-91.
Gaglianone, Guillén and Figueiredo (2018). "Estimating Inflation Persistence by Quantile Autoregression with Quantile-Specific Unit Roots", Economic Modelling, vol. 73(C), p. 407-430.
Gaglianone, Issler and Matos (2017). "Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation", Empirical Economics, vol. 53(1), p. 137-163.
Gaglianone and Marins (2017). "Evaluation of Exchange Rate Point and Density Forecasts: An Application to Brazil", International Journal of Forecasting, vol. 33(3), p. 707-728.
Cordeiro, Gaglianone and Issler (2017). "Inattention in Individual Expectations", EconomiA, vol. 18(1), p. 40-59.
Val, Klotzle, Pinto and Gaglianone (2017). "Estimating the Credibility of Brazilian Monetary Policy using a Kalman Filter Approach", Research in International Business and Finance, vol. 41(C), p. 37-53.
Gaglianone and Lima (2014). "Constructing Optimal Density Forecasts from Point Forecast Combinations", Journal of Applied Econometrics, vol. 29(5), p. 736-757.
Gaglianone and Lima (2012). "Constructing Density Forecasts from Quantile Regressions", Journal of Money, Credit and Banking, vol. 44(8), p. 1589-1607.
Carrasco-Gutierrez and Gaglianone (2012). "Evaluating Asset Pricing Models in a Simulated Multifactor Approach", Brazilian Review of Finance, vol. 10(4), p. 425-460.
Schechtman and Gaglianone (2012). "Macro Stress Testing of Credit Risk Focused on the Tails", Journal of Financial Stability, vol. 8(3), p. 174-192.
Gaglianone, Lima, Linton and Smith (2011). "Evaluating Value-at-Risk Models via Quantile Regression", Journal of Business & Economic Statistics, vol. 29(1), p. 150-160.
Lima, Gaglianone and Sampaio (2008). "Debt Ceiling and Fiscal Sustainability in Brazil: a Quantile Autoregression Approach", Journal of Development Economics, vol. 86(2), p. 313-335.
Gaglianone and Pereira (2005). "An Essay on the Foreign Exchange Rate Expectations in Brazil", Brazilian Review of Finance, vol. 3(1), p. 55-100.
Book Chapters
Oliveira and Gaglianone (2020). "Expectations Anchoring Indexes for Brazil Using Kalman Filter: Exploring Signals of Inflation Anchoring in the Long Term", In: Inflation Expectations, their Measurement and the Estimate of their Degree of Anchoring, Eds. Guarín, Melo and González, p.177-219, Joint Research Program - XXII Meeting of the Central Bank Researchers Network, Centro de Estudios Monetarios Latinoamericanos (CEMLA).
Pereira da Silva, Sales and Gaglianone (2013). "Financial Stability in Brazil", In: Stability of The Financial System - Illusion or Feasible Concept?, Eds. Dombret, Andreas and Lucius, Otto, p.64-126, Edward Elgar Publishing.
Araújo and Gaglianone (2010). "Survey-based Inflation Expectations in Brazil", In: Monetary Policy and the Measurement of Inflation: Prices, Wages and Expectations, Ed. Cecchetti, Stephen, vol. 49, p.107-114, Bank for International Settlements (BIS).
Work in Progress
"Microfounded Forecasting" (Revise and Resubmit), with Issler, J.V.
"Predicting recessions in real time using big data and canonical correlation", with Guillén, O.T.C., Issler, J.V., and Rodrigues, A.B.F.
"Risk modeling of GDP growth in Brazil using financial conditions indicators", with Oliveira, F.N.
"Exchange rate dynamics under low-interest rate regime: A cross-country mixed-effect analysis", with Marins, J.T. and Vicente, J.V.
Working Papers
Areosa and Gaglianone (2023). "Anchoring long-term VAR forecasts based on survey data and state-space models", Working Paper n.574, Central Bank of Brazil.
Araujo and Gaglianone (2022). "Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models", Working Paper n.561, Central Bank of Brazil.
Vicente, Marins and Gaglianone (2021). "Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil", Working Paper n.552, Central Bank of Brazil.
Costa, Ferreira, Gaglianone, Guillén, Issler and Lin (2021). "Machine Learning and Oil Price Point and Density Forecasting", Working Paper n.544, Central Bank of Brazil.
Duarte, Gaglianone, Guillén and Issler (2020). "Commodity Prices and Global Economic Activity: A Derived-Demand Approach", Working Paper n.539, Central Bank of Brazil.
Gaglianone and Oliveira (2020). "Financial Conditions Indicator", Special Study n.76/2020, originally released as Inflation Report Box (March/2020), Central Bank of Brazil. | English | Portuguese |
Gaglianone and Issler (2019). "Microfounded Forecasting", Ensaios Econômicos EPGE n.813, Getulio Vargas Foundation.
Oliveira and Gaglianone (2019). "Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term", Working Paper n.497, Central Bank of Brazil.
Gaglianone, Giacomini, Issler and Skreta (2019). "Incentive-driven Inattention", Ensaios Econômicos EPGE n.811, Getulio Vargas Foundation.
Gaglianone, Giacomini, Issler and Skreta (2019). "Incentive-driven Inattention", CEPR Discussion Papers 13619.
Gaglianone, Giacomini, Issler and Skreta (2018). "Incentive-driven Inattention", Working Paper n.485, Central Bank of Brazil.
Areosa and Gaglianone (2018). "Vector autoregression model with long-term anchoring", Special Study n.19/2018, originally released as Inflation Report Box (June/2018), Central Bank of Brazil. | English | Portuguese |
Gaglianone and Areosa (2017). "Financial Conditions Indicator for Brazil", IDB Working Paper Series n. IDB-WP-826, Inter-American Development Bank.
Viola, Klotzle, Pinto and Gaglianone (2017). "Predicting Exchange Rate Volatility in Brazil: An Approach using Quantile Autoregression", Working Paper n.466, Central Bank of Brazil.
Gaglianone (2017). "Empirical Findings on Inflation Expectations in Brazil: a survey", Working Paper n.464, Central Bank of Brazil.
Val, Gaglianone, Klotzle and Pinto (2017). "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model", Working Paper n.463, Central Bank of Brazil.
Gaglianone and Marins (2016). "Evaluation of Exchange Rate Point and Density Forecasts: An Application to Brazil", Working Paper n.446, Central Bank of Brazil.
Gaglianone, Issler and Matos (2016). "Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation", Working Paper n.436, Central Bank of Brazil.
Gaglianone and Areosa (2016). "Financial Conditions Indicators for Brazil", Working Paper n.435, Central Bank of Brazil.
Cordeiro, Gaglianone and Issler (2016). "Inattention in Individual Expectations", Ensaios Econômicos EPGE n.776, Getulio Vargas Foundation.
Cordeiro, Gaglianone and Issler (2015). "Inattention in Individual Expectations", Working Paper n.395, Central Bank of Brazil.
Gaglianone, Guillén and Figueiredo (2015). "Local Unit Root and Inflationary Inertia in Brazil", Working Paper n.406, Central Bank of Brazil.
Gaglianone and Issler (2015). "Microfounded Forecasting", Ensaios Econômicos EPGE n.766, Getulio Vargas Foundation.
Gaglianone and Issler (2014). "Microfounded Forecasting", Working Paper n.372, Central Bank of Brazil.
Gaglianone and Marins (2014). "Risk Assessment of the Brazilian FX Rate", Working Paper n.344, Central Bank of Brazil.
Pereira da Silva, Sales and Gaglianone (2012). "Financial Stability in Brazil", Working Paper n.289, Central Bank of Brazil.
Gaglianone and Lima (2012). "Constructing Optimal Density Forecasts from Point Forecast Combinations", Texto para Discussão n.5, 2012, UFPB-PPGE.
Schechtman and Gaglianone (2011). "Macro Stress Testing of Credit Risk Focused on the Tails", Working Paper n.241, Central Bank of Brazil.
Gaglianone, Lima, Linton and Smith (2009). "Evaluating Value-at-Risk Models via Quantile Regression", Working Paper n.09-46, Universidad Carlos III de Madrid.
Gaglianone and Issler (2008). "An Econometric Contribution to the Intertemporal Approach of the Current Account", Working Paper n.178, Central Bank of Brazil.
Carrasco-Gutierrez and Gaglianone (2008). "Evaluating Asset Pricing Models in a Fama-French Framework", Working Paper n.175, Central Bank of Brazil.
Gaglianone, Lima and Linton (2008). "Evaluating Value-at-Risk Models via Quantile Regressions", Working Paper n.161, Central Bank of Brazil.
Gaglianone, Lima and Linton (2008). "Evaluating Value-at-Risk Models via Quantile Regressions", Ensaios Econômicos EPGE n.679, Getulio Vargas Foundation.
Lima, Sampaio and Gaglianone (2006). "Debt Ceiling and Fiscal Sustainability in Brazil: a Quantile Autoregression Approach", Ensaios Econômicos EPGE n.631, Getulio Vargas Foundation.
Sin and Gaglianone (2006). "Stochastic Simulation of a DSGE Model for Brazil", MPRA Paper No. 20853.
Lima, Sampaio and Gaglianone (2005). "Limite de Endividamento e Sustentabilidade Fiscal no Brasil: Uma Abordagem via Modelo Quantílico Auto-Regressivo (QAR)", Ensaios Econômicos EPGE n.602, Getulio Vargas Foundation.
Curriculum Vitae
Portuguese: CV Lattes