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Contágio marginal no novo Sistema de Pagamentos Brasileiro

Rodrigo Andrés Peñaloza ()

No 354, Working papers - Textos para Discussao do Departamento de Economia da Universidade de Brasilia from Departamento de Economia da Universidade de Brasilia

Abstract: In this paper we adapt Penaloza (2005)s nite-dimensional model of shadow-prices in real-time gross settlement systems to the new Brazilian Payment System. The novelty of our application is a better treatment of securities and their role in the smoothing of the ow of payments during the day.

Keywords: shadow-prices; duality theory; Brazilian Central Bank. (search for similar items in EconPapers)
JEL-codes: C61 E51 E52 E58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban
Date: 2011-01
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