Working Papers Series

From Central Bank of Brazil, Research Department
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169: Mensuração do Risco Sistêmico no Setor Bancário com Variáveis Contábeis e Econômicas

Lucio Capelletto, Eliseu Martins and Luiz Corrar

168: An Integrated Model for Liquidity Management and Short-Term Asset Allocation in Commercial Banks

Wenersamy de Alcantara

167: O Poder Discriminante das Operações de Crédito das Instituições Financeiras Brasileiras

Clodoaldo Annibal

166: Testing Hyperinflation Theories Using the Inflation Tax Curve: A Case Study

Fernando Barbosa and Tito Nícias da Silva Filho

165: Avaliação de Opções de Troca e Opções de Spread Européias e Americanas

Giuliano Souza, Carlos Samanez and Gustavo Raposo

164: Foreign Banks' Entry and Departure: The Recent Brazilian Experience (1996-2006)

Pedro Fachada

163: Searching for the Natural Rate of Unemployment in a Large Relative Price Shocks' Economy: the Brazilian Case

Tito Nícias da Silva Filho

162: Balance Sheet Effects in Currency Crises: Evidence from Brazil

Marcio Janot, Marcio Garcia and Walter Novaes

161: Evaluating Value-at-Risk Models via Quantile Regressions

Wagner Gaglianone, Luiz Lima and Oliver Linton

160: The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden?

Fabia Carvalho and Cyntia Azevedo

159: Behavior and Effects of Equity Foreign Investors on Emerging Markets

Barbara Alemanni and Jose Ornelas

158: Characterizing the Brazilian Term Structure of Interest Rates

Osmani Guillén and Benjamin Tabak

157: Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil

Tito Nícias da Silva Filho

156: Escolha do Banco e Demanda por Empréstimos: um Modelo de Decisão em Duas Etapas Aplicado para o Brasil

Sérgio Koyama and Marcio Nakane

155: Does Curvature Enhance Forecasting?

Caio Almeida, Romeu Gomes, André Leite and José Valentim Vicente

154: Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves

Adriana Sales and Maria Tannuri-Pianto

153: Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro

Jaqueline Marins

152: Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation

Fernando Oliveira and Walter Novaes

151: Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability

Eduardo Lima and Benjamin Tabak

150: A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks

Roberta Staub, Geraldo Silva and Souza Souza

149: Joint Validation of Credit Rating PDs under Default Correlation

Ricardo Schechtman

148: Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial

Felipe Pinheiro, Caio Almeida and José Valentim Vicente

147: Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998)

Adriana Sales and Maria Tannuri-Pianto

146: Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial

Caio Almeida, Romeu Gomes, André Leite and José Valentim Vicente

145: The Stability-Concentration Relationship in the Brazilian Banking System

Benjamin Tabak, Solange Guerra, Eduardo Lima and Eui Chang

144: The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options

Claudio Barbedo and Eduardo Lemgruber

143: Price Rigidity in Brazil: Evidence from CPI Micro Data

Solange Gouvea

142: Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o Expected Shortfall

Alan Cosme Silva, Eduardo Lemgruber, José Baranowski and Renato Carvalho

141: Forecasting Bonds Yields in the Brazilian Fixed Income Market

José Valentim Vicente and Benjamin Tabak

140: Inflation Targeting, Credibility and Confidence Crises

Aloisio Araujo and Rafael Santos

139: Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features

Carlos Gutiérrez, Reinaldo Souza and Osmani Guillén

138: Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil

Marcos Abe, Eui Chang and Benjamin Tabak

137: Monetary Policy Design under Competing Models of Inflation Persistence

Solange Gouvea and Abhijit Sen Gupta

136: Identifying Volatility Risk Premium from Fixed Income Asian Options

Caio Almeida and José Valentim Vicente

135: Evaluation of Default Risk for The Brazilian Banking Sector

Marcelo Takami and Benjamin Tabak

134: Amostragem Descritiva no Apreçamento de Opções Européias através de Simulação Monte Carlo: o Efeito da Dimensionalidade e da Probabilidade de Exercício no Ganho de Precisão

Eduardo Saliby, Sergio Gouvêa and Jaqueline Marins

133: A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives

Gilneu Vivan and Benjamin Tabak

132: Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling

Jaqueline Marins and Eduardo Saliby

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