Working Papers Series

From Central Bank of Brazil, Research Department
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131: Long-Range Dependence in Exchange Rates: the case of the European Monetary System

Sergio Souza, Benjamin Tabak and Daniel Cajueiro

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

Daniel Cajueiro and Benjamin 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 Ornelas

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

Benjamin Tabak

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

Flavia 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 Alves and Mirta Bugarin

120: Forecasting Interest Rates: an application for Brazil

Eduardo Lima, Felipe Luduvice and Benjamin 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

Aloisio Araujo 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 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 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 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 Silva, João Maurício Moreira and Myrian 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 Alves

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

Eduardo Rodrigues, Victorio Chu, Leonardo Alencar and Tony Takeda

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

Marcio Nakane, Leonardo 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

José Rodrigues-Neto

104: Extração de Informação de Opções Cambiais no Brasil

Eui Chang and Benjamin 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 De Mello

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

Marcelo Muinhos and Marcio Nakane

100: Targets and Inflation Dynamics

Sergio 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 Araujo, 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, Jose Costa and Silva Silva

96: O que é Estratégia: uma Abordagem Multiparadigmática para a Disciplina

Anthero Meirelles

95: Comment on Market Discipline and Monetary Policy by Carl Walsh

Maurício Bugarin and Fabia Carvalho

94: Simulação Histórica Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares

Claudio Barbedo, Gustavo Araujo and Eduardo Lemgruber

93: Avaliação de Métodos de Cálculo de Exigência de Capital para Risco Cambial

Claudio Barbedo, Gustavo Araujo, João Maurício Moreira and Ricardo Clemente

92: Steady State Analysis of an Open Economy General Equilibrium Model for Brazil

Mirta Bugarin, Roberto Ellery, Victor Gomes and Marcelo Muinhos

91: Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis

Ricardo Schechtman, Valéria Garcia, Sérgio Koyama and Guilherme Parente

90: Bank Privatization and Productivity: Evidence for Brazil

Marcio Nakane and Daniela Weintraub

89: O Mercado de Hedge Cambial no Brasil: Reação das Instituições Financeiras a Intervenções do Banco Central

Fernando Oliveira

88: Ciclos Internacionais de Negócios: Uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos

Arnildo Correa and Ronald Hillbrecht

87: Mercado de Crédito: Uma Análise Econométrica dos Volumes de Crédito Total e Habitacional no Brasil

Ana Costa

86: Identificação do Fator Estocástico de Descontos e Algumas Implicações Sobre Testes de Modelos de Consumo

Fabio Araújo and João Issler

85: Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002

André Loureiro and Fernando Barbosa

84: Speculative Attacks on Debts and Optimum Currency Area: A Welfare Analysis

Aloisio Araujo and Marcia Leon

83: Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries

Thomas Wu

82: Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro

Claudio Barbedo and Gustavo Araujo