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Details about Daniel Oliveira Cajueiro

Homepage:https://sites.google.com/site/danielocajueiro/home
Workplace:Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science), Universidade de Brasília (University of Brasilia), (more information at EDIRC)
Departamento de Economia (Department of Economics), Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação (FACE) (Faculty of Economics, Administration, Accounting and Information Science), Universidade de Brasília (University of Brasilia), (more information at EDIRC)

Access statistics for papers by Daniel Oliveira Cajueiro.

Last updated 2018-02-24. Update your information in the RePEc Author Service.

Short-id: pca1024


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Working Papers

2018

  1. Inflation Targeting and Financial Stability: does the quality of institutions matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2016

  1. Interbank network and regulation policies: an analysis through agent-based simulations with adaptive learning
    MPRA Paper, University Library of Munich, Germany Downloads
  2. THE 2D:4D RATIO AND MYOPIC LOSS AVERSION (MLA): AN EXPERIMENTAL INVESTIGATION
    Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    See also Journal Article in Journal of Behavioral and Experimental Finance (2015)

2014

  1. Inflation Targeting and Banking System Soundness: A Comprehensive Analysis
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  2. The Adequacy of Deterministic and Parametric Frontiers to Analyze the Efficiency of Indian Commercial Banks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
  3. The Efficiency of Chinese Local Banks: A comparison of DEA and SFA
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2013

  1. Do Capital Buffers Matter? A Study on the Profitability and Funding Costs Determinants of the Brazilian Banking System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2012

  1. Determinantes da Estrutura de Capital das Empresas Brasileiras: uma abordagem em regress˜ao quantílica
    Working Papers Series, Central Bank of Brazil, Research Department Downloads

2011

  1. BANK CAPITAL BUFFERS, LENDING GROWTH ANDECONOMIC CYCLE: EMPIRICAL EVIDENCE FOR BRAZIL
    Anais do XXXVIII Encontro Nacional de Economia [Proceedings of the 38th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads View citations (6)
  2. Bank Efficiency and Default in Brazil: Causality Tests
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (5)
  3. Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2014)
  4. Forecasting the Yield Curve for the Euro Region
    Working Papers Series, Central Bank of Brazil, Research Department Downloads
    See also Journal Article in Economics Letters (2012)
  5. Modeling Default Probabilities: the case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (6)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2011)
  6. O COMPORTAMENTOCÍCLICO DO CAPITAL DOS BANCOS BRASILEIROS
    Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting], ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics] Downloads
    Also in Working Papers Series, Central Bank of Brazil, Research Department (2010) Downloads

    See also Journal Article in Economia (2010)
  7. Profit, Cost and Scale Efficiency for Latin American Banks: Concentration-Performance Relationship
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (6)
  8. The Relationship Between Banking Market Competition and Risk-taking: Do Size and Capitalization Matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (9)
    See also Journal Article in Journal of Banking & Finance (2012)

2010

  1. Eficiência Bancária e Inadimplência: testes de Causalidade
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
  2. Financial Fragility in a General Equilibrium Model: the Brazilian case
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (1)
    See also Journal Article in Annals of Finance (2013)
  3. Financial Stability and Monetary Policy - The case of Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
  4. Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (13)
    See also Journal Article in Finance Research Letters (2010)
  5. Teoria de Redes Complexas e o Poder de Difusão dos Municípios
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads
  6. The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in Journal of Banking & Finance (2011)

2009

  1. Forecasting the Yield Curve for Brazil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (2)

2007

  1. Long-Range Dependence in Exchange Rates: the case of the European Monetary System
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (4)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2008)
  2. The role of banks in the Brazilian Interbank Market: Does bank type matter?
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (7)
    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2008)

2006

  1. Econophysics of interest rates and the role of monetary policy
    Papers, arXiv.org Downloads View citations (2)
  2. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Working Papers Series, Central Bank of Brazil, Research Department Downloads View citations (13)
    See also Journal Article in Revista Brasileira de Economia - RBE (2006)
  3. Long-range dependence in Interest Rates and Monetary Policy
    Papers, arXiv.org Downloads

2005

  1. Modelo de Localização Industrial para o Planejamento de um Pólo de Alta Tecnologia
    Discussion Papers, Instituto de Pesquisa Econômica Aplicada - IPEA Downloads

2003

  1. Volatility Estimation and Option Pricing with Fractional Brownian Motion
    Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa Downloads View citations (1)

Journal Articles

2017

  1. A comparison of DEA and SFA using micro- and macro-level perspectives: Efficiency of Chinese local banks
    Physica A: Statistical Mechanics and its Applications, 2017, 469, (C), 216-223 Downloads View citations (6)
  2. Economic growth, volatility and their interaction: What’s the role of finance?
    Economic Systems, 2017, 41, (3), 433-444 Downloads
  3. The effects of capital buffers on profitability: An empirical study
    Economics Bulletin, 2017, 37, (3), 1468-1473 Downloads

2016

  1. Financial stability and bank supervision
    Finance Research Letters, 2016, 18, (C), 322-327 Downloads View citations (4)

2015

  1. Inflation targeting: Is IT to blame for banking system instability?
    Journal of Banking & Finance, 2015, 59, (C), 76-97 Downloads View citations (10)
  2. The 2D:4D ratio and Myopic Loss Aversion (MLA): An experimental investigation
    Journal of Behavioral and Experimental Finance, 2015, 5, (C), 81-84 Downloads View citations (1)
    See also Working Paper (2016)

2014

  1. Directed clustering coefficient as a measure of systemic risk in complex banking networks
    Physica A: Statistical Mechanics and its Applications, 2014, 394, (C), 211-216 Downloads View citations (13)
    See also Working Paper (2011)

2013

  1. Combining term structure of interest rate forecasts: The Brazilian case
    Economia, 2013, 14, (2), 102_121 Downloads View citations (2)
  2. Financial fragility in a general equilibrium model: the Brazilian case
    Annals of Finance, 2013, 9, (3), 519-541 Downloads View citations (2)
    See also Working Paper (2010)
  3. Systemically important banks and financial stability: The case of Latin America
    Journal of Banking & Finance, 2013, 37, (10), 3855-3866 Downloads View citations (22)

2012

  1. A top–bottom price approach to understanding financial fluctuations
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (4), 1489-1496 Downloads View citations (2)
  2. Detecting switching points using asymmetric detrended fluctuation analysis
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (1), 170-179 Downloads View citations (9)
  3. Forecasting the yield curve for the Euro region
    Economics Letters, 2012, 117, (2), 513-516 Downloads View citations (1)
    See also Working Paper (2011)
  4. The relationship between banking market competition and risk-taking: Do size and capitalization matter?
    Journal of Banking & Finance, 2012, 36, (12), 3366-3381 Downloads View citations (68)
    See also Working Paper (2011)

2011

  1. Enforcing social behavior in an Ising model with complex neighborhoods
    Physica A: Statistical Mechanics and its Applications, 2011, 390, (9), 1695-1703 Downloads View citations (1)
  2. Inflation, unemployment, and the time consistency of the US monetary policy
    Structural Change and Economic Dynamics, 2011, 22, (2), 173-179 Downloads View citations (2)
  3. Modeling default probabilities: The case of Brazil
    Journal of International Financial Markets, Institutions and Money, 2011, 21, (4), 513-534 Downloads View citations (5)
    See also Working Paper (2011)
  4. The effects of loan portfolio concentration on Brazilian banks' return and risk
    Journal of Banking & Finance, 2011, 35, (11), 3065-3076 Downloads View citations (31)
    See also Working Paper (2010)

2010

  1. Constrained information minority game: How was the night at El Farol?
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (6), 1230-1238 Downloads
  2. Controlling self-organized criticality in complex networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 77, (2), 291-296 Downloads
  3. Fluctuation dynamics in US interest rates and the role of monetary policy
    Finance Research Letters, 2010, 7, (3), 163-169 Downloads View citations (13)
    See also Working Paper (2010)
  4. Network evolution based on minority game with herding behavior
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 76, (1), 147-156 Downloads View citations (2)
  5. O Comportamento Cíclico do Capital dos Bancos Brasileiros
    Economia, 2010, 11, (3), 671_690 Downloads
    See also Working Paper (2011)
  6. Optimal navigation for characterizing the role of the nodes in complex networks
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (9), 1945-1954 Downloads
  7. Topological properties of commodities networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2010, 74, (2), 243-249 Downloads View citations (18)
  8. Topological properties of stock market networks: The case of Brazil
    Physica A: Statistical Mechanics and its Applications, 2010, 389, (16), 3240-3249 Downloads View citations (31)

2009

  1. Can we predict crashes? The case of the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (8), 1603-1609 Downloads View citations (6)
  2. Does financial market liberalization increase the degree of market efficiency? The case of the Athens stock exchange
    International Review of Financial Analysis, 2009, 18, (1-2), 50-57 Downloads View citations (52)
  3. Quantifying price fluctuations in the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (1), 59-62 Downloads View citations (4)
  4. TOPOLOGICAL PROPERTIES OF BANK NETWORKS: THE CASE OF BRAZIL
    International Journal of Modern Physics C (IJMPC), 2009, 20, (08), 1121-1143 Downloads View citations (1)
  5. The expectation hypothesis of interest rates and network theory: The case of Brazil
    Physica A: Statistical Mechanics and its Applications, 2009, 388, (7), 1137-1149 Downloads View citations (16)

2008

  1. LONG-RANGE DEPENDENCE IN EXCHANGE RATES: THE CASE OF THE EUROPEAN MONETARY SYSTEM
    International Journal of Theoretical and Applied Finance (IJTAF), 2008, 11, (02), 199-223 Downloads View citations (5)
    See also Working Paper (2007)
  2. Measuring Bank Efficiency in Brazil – The Inclusion of Macro-prudential Indicators
    Brazilian Review of Finance, 2008, 6, (3), 413-438 Downloads
  3. Minority games, diversity, cooperativity and the concept of intelligence
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (2), 557-566 Downloads View citations (1)
  4. The role of banks in the Brazilian interbank market: Does bank type matter?
    Physica A: Statistical Mechanics and its Applications, 2008, 387, (27), 6825-6836 Downloads View citations (30)
    See also Working Paper (2007)

2007

  1. Are the crude oil markets becoming weakly efficient over time? A test for time-varying long-range dependence in prices and volatility
    Energy Economics, 2007, 29, (1), 28-36 Downloads View citations (102)
  2. Characterizing bid–ask prices in the Brazilian equity market
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 627-633 Downloads View citations (2)
  3. Is the expression H=1/(3-q) valid for real financial data?
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 593-602 Downloads View citations (3)
  4. Long-range dependence and multifractality in the term structure of LIBOR interest rates
    Physica A: Statistical Mechanics and its Applications, 2007, 373, (C), 603-614 Downloads View citations (47)
  5. Mapping dynamical systems onto complex networks
    The European Physical Journal B: Condensed Matter and Complex Systems, 2007, 58, (4), 469-474 Downloads View citations (1)

2006

  1. A note on the relevance of the q-exponential function in the context of intertemporal choices
    Physica A: Statistical Mechanics and its Applications, 2006, 364, (C), 385-388 Downloads View citations (22)
  2. Assessing inefficiency in euro bilateral exchange rates
    Physica A: Statistical Mechanics and its Applications, 2006, 367, (C), 319-327 Downloads View citations (9)
  3. Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil
    Revista Brasileira de Economia - RBE, 2006, 60, (2) Downloads View citations (1)
    See also Working Paper (2006)
  4. Testing for predictability in equity returns for European transition markets
    Economic Systems, 2006, 30, (1), 56-78 Downloads View citations (29)
  5. Testing for rational bubbles in banking indices
    Physica A: Statistical Mechanics and its Applications, 2006, 366, (C), 365-376 Downloads View citations (5)
  6. The long-range dependence phenomena in asset returns: the Chinese case
    Applied Economics Letters, 2006, 13, (2), 131-133 Downloads View citations (12)

2005

  1. Periodic market closures and the long-range dependence phenomena in the Brazilian equity market
    Physica A: Statistical Mechanics and its Applications, 2005, 351, (2), 512-522 Downloads View citations (6)
  2. Possible causes of long-range dependence in the Brazilian stock market
    Physica A: Statistical Mechanics and its Applications, 2005, 345, (3), 635-645 Downloads View citations (9)
  3. Testing for time-varying long-range dependence in volatility for emerging markets
    Physica A: Statistical Mechanics and its Applications, 2005, 346, (3), 577-588 Downloads View citations (51)
  4. The long-range dependence behavior of the term structure of interest rates in Japan
    Physica A: Statistical Mechanics and its Applications, 2005, 350, (2), 418-426 Downloads View citations (26)
  5. The rescaled variance statistic and the determination of the Hurst exponent
    Mathematics and Computers in Simulation (MATCOM), 2005, 70, (3), 172-179 Downloads View citations (8)

2004

  1. Evidence of long range dependence in Asian equity markets: the role of liquidity and market restrictions
    Physica A: Statistical Mechanics and its Applications, 2004, 342, (3), 656-664 Downloads View citations (54)
  2. Optimal Portfolio and Consumption in a Switching Diffusion Market
    Brazilian Review of Econometrics, 2004, 24, (2) Downloads View citations (2)
  3. The Hurst exponent over time: testing the assertion that emerging markets are becoming more efficient
    Physica A: Statistical Mechanics and its Applications, 2004, 336, (3), 521-537 Downloads View citations (117)

2001

  1. Fractal characterization of the distribution of reactive sites over a rough catalyst surface
    Physica A: Statistical Mechanics and its Applications, 2001, 295, (3), 323-332 Downloads View citations (1)
 
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