Working Papers Series

From Central Bank of Brazil, Research Department
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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

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