Working Papers Series

From Central Bank of Brazil, Research Department
Bibliographic data for series maintained by Rodrigo Barbone Gonzalez ().

Access Statistics for this working paper series.
Is something missing from the series or not right? See the RePEc data check for the archive and series.

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

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