About me
Hello, thank you for visiting my website! I am a Ph.D. candidate in economics at the University of California, Santa Cruz (UCSC). My research primarily investigates the dynamics of firm investments, the predictability of financial series, and the impact of green technologies on firms’ productivity.
Prior to the Ph.D., I have worked at the research department of the Central Bank of Brazil, where I published papers on the predictability of volatility risk premium of commodity currencies and the implied volatility term structure of exchange rates on multiple asset classes.
Research Highlights
Investment response to a 1 p.p. increase in the interest rate. Firms with a low concentration of intangible capital.
Investment response to a 1 p.p. increase in the interest rate. Firms with a high concentration of intangible capital.
Intangible capital includes assets that are hard to quantify, like patents, intellectual property, brand recognition, organizational systems, and the expertise of highly skilled employees. The provided graphs illustrate the variable impact of interest rate fluctuations on firms' capital spending based on their level of intangible capital. The key factor at play is that companies rich in intangible assets tend to rely less on debt financing. This is because such assets, despite their value, often do not serve as strong collateral for loans. Therefore, firms with a high level of intangible capital are less affected by changes in interest rates, as their financing strategies do not heavily depend on borrowing. See Mauad (2024) for details.
Exchange rate investment strategies
Portfolio comparison with benchmark strategies: G10
Portfolio comparison with benchmark strategies: emerging markets
Exchange rate returns using three proposed strategies: ATM, left tail, and right tail, compared to benchmark strategies carry trade, risk reversal, and volatility risk premium (VRP). See Ornelas and Mauad (2019) for details.