Working Papers Series

From Central Bank of Brazil, Research Department
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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

181: Monetary Channels in Brazil through the Lens of a Semi-Structural Model

André Minella and Nelson Sobrinho

180: A Class of Incomplete and Ambiguity Averse Preferences

Leandro Nascimento and Gil Riella

179: Are Interest Rate Options Important for the Assessment of Interest Rate Risk?

Caio Almeida and José Valentim Vicente

178: An Econometric Contribution to the Intertemporal Approach of the Current Account

Wagner Gaglianone and João Issler

177: Preference for Flexibility and Bayesian Updating

Gil Riella

176: Fiat Money and the Value of Binding Portfolio Constraints

Mario Pascoa, Myrian Petrassi and Juan Pablo Torres-Martinez

175: Evaluating Asset Pricing Models in a Fama-French Framework

Carlos Gutierrez and Wagner Gaglianone

174: Foreign Exchange Market Volatility Information: An Investigation of Real-Dollar Exchange Rate

Frederico Gomes, Marcelo Takami and Vinicius Brandi

173: Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions

Eduardo Lima and Benjamin Tabak

172: Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap

Marta Areosa

171: Modelos para a Utilização das Operações de Redesconto pelos Bancos com Carteira Comercial no Brasil

Sérgio Koyama and Marcio Nakane

170: Política de Fechamento de Bancos com Regulador Não-Benevolente: Resumo e Aplicação

Adriana Sales