Working Papers Series

From Central Bank of Brazil, Research Department
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231: Capital Requirements and Business Cycles with Credit Market Imperfections

Pierre-Richard Agénor, Koray Alper and Luiz Awazu Pereira da Silva

230: Is Inflation Persistence Over?

Fernando Oliveira and Myrian Petrassi

229: Financial Fragility in a General Equilibrium Model: the Brazilian case

Benjamin Tabak, Daniel Cajueiro and Dimas Fazio

228: Forecasting Brazilian Inflation Using a Large Data Set

Francisco Rodrigues Figueiredo

227: Uma Nota sobre Erros de Previsão da Inflação de Curto Prazo

Emanuel Kohlscheen

226: A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector

Francisco Vazquez, Benjamin Tabak and Marcos Souto

225: Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro

Flávio Val, Claudio Barbedo and Marcelo Maia

224: Emerging Floaters: pass-throughs and (some) new commodity currencies

Emanuel Kohlscheen

223: Forecasting the Yield Curve with Linear Factor Models

Marco Matsumura, Ajax Moreira and José Valentim Vicente

222: O Comportamento Cíclico do Capital dos Bancos Brasileiros

R. Ferreira, A. Noronha, Benjamin Tabak and Daniel Cajueiro

221: Financial Instability and Credit Constraint: Evidence from the Cost of Bank Financing

Bruno Martins

220: Eficiência Bancária e Inadimplência: Testes de Causalidade

Benjamin Tabak, Giovana Craveiro and Daniel Cajueiro

219: The Brazilian Interbank Network Structure and Systemic Risk

Edson Santos and Rama Cont

218: The Role of Interest Rates in the Brazilian Business Cycle

Nelson Sobrinho

217: Financial Stability and Monetary Policy - The Case of Brazil

Benjamin Tabak, Marcela Laiz and Daniel Cajueiro

216: Cyclical Effects of Bank Capital Buffers with Imperfect Credit Markets: International Evidence

A. Fonseca, F. González and Luiz Awazu Pereira da Silva

215: The Effects of Loan Portfolio Concentration on Brazilian Banks' Return and Risk

Benjamin Tabak, Dimas Fazio and Daniel Cajueiro

214: Do Inflation-linked Bonds Contain Information about Future Inflation?

José Valentim Vicente and Osmani Guillén

213: Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case

Helder de Mendonça, Délio Galvão and Renato Loures

212: The Natural Rate of Unemployment in Brazil, Chile, Colombia and Venezuela: Some Results and Challenges

Tito Nícias da Silva Filho

211: Pessimistic Foreign Investors and Turmoil in Emerging Markets: the case of Brazil in 2002

Sandro Andrade and Emanuel Kohlscheen

210: Determinants of Bank Efficiency: the Case of Brazil

Patricia Tecles and Benjamin Tabak

209: Produção Industrial no Brasil: uma Análise de Dados em Tempo Real

Rafael Cusinato, André Minella and Sabino Porto Junior

208: Correlação de Default: uma Investigação Empírica de Créditos de Varejo no Brasil

Antonio Silva, Arnildo Correa, Jaqueline Marins and Myrian Neves

207: Brazilian Strategy for Managing the Risk of Foreign Exchange Rate Exposure During a Crisis

Antonio Jr.

206: Fluctuation Dynamics in US Interest Rates and the Role of Monetary Policy

Daniel Cajueiro and Benjamin Tabak

205: Model selection, Estimation and Forecasting in VAR Models with Short-run and Long-run Restrictions

George Athanasopoulos, Osmani Guillén, João Issler and Farshid Vahid

204: Fiscal and Monetary Policy Interaction: a Simulation Based Analysis of a Two-country New Keynesian DSGE Model with Heterogeneous Households

Marcos Valli and Fabia Carvalho

203: Hiato do Produto e PIB no Brasil: uma Análise de Dados em Tempo Real

Rafael Cusinato, André Minella and Sabino Porto Junior

202: Considerações sobre a Atuação do Banco Central na Crise de 2008

Mário Mesquita and Mario Torós

201: Efeitos da Globalização na Inflação Brasileira

Rafael Santos and Marcia Leon

200: Evolution of Bank Efficiency in Brazil: A DEA Approach

Roberta Staub, Geraldo Souza and Benjamin Tabak

199: Delegated Portfolio Management and Risk Taking Behavior

José Fernandes, Juan Peña and Benjamin Tabak

198: Impacto dos Swaps Cambiais na Curva de Cupom Cambial: uma análise segundo a regressão de componentes principais

Alessandra Viola, Margarida Gutierrez, Octavio Bessada Lion and Cláudio Barbedo

197: Forecasting the Yield Curve for Brazil

Daniel Cajueiro, Jose Angelo Divino and Benjamin Tabak

196: The role of macroeconomic variables in sovereign risk

Marcos Matsumura and José Valentim Vicente

195: From Default Rates to Default Matrices: a complete measurement of Brazilian banks' consumer credit delinquency

Ricardo Schechtman

194: Testes de contágio entre sistemas bancários - A crise do subprime

Benjamin Tabak and Manuela Souza

193: Loss Given Default: um estudo sobre perdas em operações prefixadas no mercado brasileiro

Antonio Silva, Jaqueline Marins and Myrian Neves

192: Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas

Clodoaldo Annibal

191: Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros

Patricia Tecles, Benjamin Tabak and Roberta Staub

190: Concentração Bancária, Lucratividade e Risco Sistêmico: uma abordagem de Contágio Indireto

Bruno Martins and Leonardo Alencar

189: Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks

Marcos Souto, Benjamin Tabak and Francisco Vazquez

188: Pricing Asian Interest Rate Options with a Three-Factor HJM Model

Claudio Barbedo, José Valentim Vicente and Octavio Bessada Lion

187: The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default

Alan Silva, Antônio Silva, Jaqueline Marins, Myrian Neves and Giovani Brito

186: Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas

André Leite, Romeu Filho and José Valentim Vicente

185: Market Forecasts in Brazil: performance and determinants

Fabia Carvalho and André Minella

184: Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

José Fernandes, Juan Peña and Benjamin Tabak

183: Ganhos da Globalização do Capital Acionário em Crises Cambiais

Marcio Janot and Walter Novaes

182: Avaliação de Opções Americanas com Barreiras Monitoradas de Forma Discreta

Giuliano Souza and Carlos Samanez