When Low Rates Speak Loud: Exchange Rate Dynamics under Different Interest Rate Regimes (with Jaqueline Marins, José Valentim Vicente)
Macroeconomic Drivers of Brazil’s Yield Curve (with Gustavo Araujo, José Valentim Vicente)
Determinants of the Risk Premium in Brazilian Nominal Interest Rates (with Gustavo Araujo, José Valentim Vicente)
Gaglianone, Issler, Kira (2025). A Dynamic Rational Inattention Model under Mixed Frequency: Estimation and Testing using a Panel of Forecasts. Mimeo, FGV EPGE, Getulio Vargas Foundation.
Gaglianone, Guillén, Issler, Rodrigues, Vahid-Araghi (2024). Predicting U.S. Recessions in Real Time in a Big Data Setting. Mimeo, FGV EPGE, Getulio Vargas Foundation.
Costa, Ferreira, Gaglianone, Guillén, Issler and Rodrigues (2023). Predicting Recessions in (almost) Real Time in a Big-data Setting, Working Paper n.587, Central Bank of Brazil.
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.
Gaglianone and Issler (2023). Microfounded Forecasting. Revised Mimeo, FGV EPGE, Getulio Vargas Foundation.
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.