Working Papers Series

from Central Bank of Brazil, Research Department
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146: Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial

Caio Almeida, Romeu Gomes, André Leite and José Vicente

145: The Stability-Concentration Relationship in the Brazilian Banking System

Benjamin Miranda Tabak, Solange Guerra, Eduardo José Araújo Lima and Eui Chang

144: The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options

Claudio Barbedo and Eduardo Lemgruber

143: Price Rigidity in Brazil: Evidence from CPI Micro Data

Solange Gouvea

142: Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o Expected Shortfall

Alan Cosme Rodrigues da Silva, Eduardo Lemgruber, José Baranowski and Renato Carvalho

141: Forecasting Bonds Yields in the Brazilian Fixed Income Market

Jose Vicente and Benjamin Miranda Tabak

140: Inflation Targeting, Credibility and Confidence Crises

Rafael Chaves Santos and Aloisio Araujo

139: Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

Carlos Enrique Carrasco Gutierrez, Reinaldo Souza and Osmani Teixeira de Carvalho Guillén

138: Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil

Marcos Abe, Eui Chang and Benjamin Miranda Tabak

137: Monetary Policy Design under Competing Models of Inflation Persistence

Solange Gouvea and Abhijit Sen Gupta

136: Identifying Volatility Risk Premium from Fixed Income Asian Options

Caio Almeida and José Valentim Vicente

135: Evaluation of Default Risk for The Brazilian Banking Sector

Marcelo Takami and Benjamin Miranda Tabak

134: Amostragem Descritiva no Apreçamento de Opções Européias através de Simulação Monte Carlo: o Efeito da Dimensionalidade e da Probabilidade de Exercício no Ganho de Precisão

Eduardo Saliby, Sergio Gouvêa and Jaqueline Marins

133: A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives

Gilneu Vivan and Benjamin Miranda Tabak

132: Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling

Jaqueline Marins and Eduardo Saliby

131: Long-Range Dependence in Exchange Rates: the case of the European Monetary System

Sergio Souza, Benjamin Miranda Tabak and Daniel Cajueiro

130: The role of banks in the Brazilian Interbank Market: Does bank type matter?

Daniel Cajueiro and Benjamin Miranda Tabak

129: Brazil: taming inflation expectations

Afonso Bevilaqua, Mário Mesquita and André Minella

128: Term Structure Movements Implicit in Option Prices

Caio Almeida and José Valentim Vicente

127: Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil

Ricardo Schechtman

126: Risk Premium: Insights Over The Threshold

José Fernandes, Augusto Hasman and Juan Peña

125: Herding Behavior by Equity Foreign Investors on Emerging Markets

Barbara Alemanni and Jose Renato Haas Ornelas

124: The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil

Benjamin Miranda Tabak

123: A Neoclassical Analysis of the Brazilian "Lost-Decades"

Flávia Graminho

122: Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil

Arnildo Correa and André Minella

121: The Role of Consumer's Risk Aversion on Price Rigidity

Sergio A. Lago Alves and Mirta Bugarin

120: Forecasting Interest Rates: an application for Brazil

Eduardo José Araújo Lima, Felipe Luduvice and Benjamin Miranda Tabak

119: A Central de Risco de Crédito no Brasil: uma análise de utilidade de informação

Ricardo Schechtman

118: Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint

Aloísio Araújo and José Valentim Vicente

117: An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks

Theodore Barnhill, Marcos Souto and Benjamin Miranda Tabak

116: Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling

Jaqueline Marins, Eduardo Saliby and Joséte Santos

115: Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach

José Fernandes, Juan Peña and Benjamin Miranda Tabak

114: The Inequality Channel of Monetary Transmission

Marta Areosa and Waldyr Areosa

113: Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil

Sergio Souza, Benjamin Miranda Tabak and Daniel Cajueiro

112: Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets

Angelo Fasolo

111: Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial

Alan Cosme Rodrigues da Silva, João Maurício Moreira and Myrian Beatriz Eiras Das Neves

110: Fatores de Risco e o Spread Bancário no Brasil

Fernando Bignotto and Eduardo Rodrigues

109: The Recent Brazilian Disinflation Process and Costs

Alexandre Tombini and Sergio A. Lago Alves

108: O Efeito da Consignação em Folha nas Taxas de Juros dos Empréstimos Pessoais

Eduardo Rodrigues, Victorio Chu, Leonardo Soriano de Alencar and Tony Takeda

107: Demand for Bank Services and Market Power in Brazilian Banking

Márcio Nakane, Leonardo Soriano de Alencar and Fabio Kanczuk

106: Testing Nonlinearities Between Brazilian Exchange Rate and Inflation Volatilities

Christiane Albuquerque and Marcelo Portugal

105: Representing Roomates' Preferences with Symmetric Utilities

Jose Alvaro Rodrigues Neto

104: Extração de Informação de Opções Cambiais no Brasil

Eui Chang and Benjamin Miranda Tabak

103: The Effect of Adverse Supply Shocks on Monetary Policy and Output

Maria Araújo, Mirta Bugarin, Marcelo Muinhos and Jose Silva

102: Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans

Ana Costa and Joao Manoel Pinho De Mello

101: Comparing equilibrium real interest rates: different approaches to measure Brazilian rates

Marcelo Muinhos and Márcio Nakane

100: Targets and Inflation Dynamics

Sergio A. Lago Alves and Waldyr Areosa

99: Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro

Gustavo Araújo, Claudio Barbedo and Eduardo Lemgruber

98: Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies

Helio Mori and Marcelo Muinhos

97: Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching

Ryan Compton and Jose Silva