MODELAGEM DO COMPORTAMENTO ÓTIMO DOS BANCOS NO MERCADO DE RESERVAS BRASILEIRO

Christiano Arrigoni Coelho and Julio Cesar Costa Pinto

Anais do XXXII Encontro Nacional de Economia [Proceedings of the 32nd Brazilian Economics Meeting] from ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics]

Abstract: This paper uses numerical methods to solve bank's cost minimization problem. Following Clouse and Dow (2002), we model bank's behavior using stochastic dynamic programming. We take account of institutional aspects of Brazilian regime that influence the bank's choice of reserves in the end of the day. The overlap of the account and accomplishment periods increases bank's demand for reserves in the first three days of the accomplishment period. This result is different from the American market where the reserve demand has upward trend over the accomplishment period, except on Fridays. We show that reserve demand in Brazil would present smaller variance during the accomplishment period if the uncertainty about requirement in the first three days were abolished.

JEL-codes: E52 (search for similar items in EconPapers)
Date: 2004
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