Central Bank Research Hub - Series: Central Bank of Brazil Working Papers 2007

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Title Author(s)

Does Curvature Enhance Forecasting?

Paper: 155, 28.12.2007

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

Paper: 154, 28.12.2007

Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation

Paper: 152, 18.12.2007

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

Paper: 151, 22.11.2007

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

Paper: 150, 20.11.2007

Joint Validation of Credit Rating PDs under Default Correlation

Paper: 149, 16.11.2007

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

Paper: 147, 27.10.2007

The Stability-Concentration Relationship in the Brazilian Banking System

Paper: 145, 12.10.2007

JEL: G15, G21, O54

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

Paper: 144, 09.10.2007

Price Rigidity in Brazil: Evidence from CPI Micro Data

Paper: 143, 21.09.2007

Forecasting Bonds Yields in the Brazilian Fixed Income Market

Paper: 141, 06.09.2007

Inflation Targeting, Credibility and Confidence Crises

Paper: 140, 28.08.2007

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

Paper: 139, 20.07.2007

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

Paper: 138, 20.07.2007

Monetary Policy Design under Competing Models of Inflation Persistence

Paper: 137, 25.05.2007

Identifying Volatility Risk Premium from Fixed Income Asian Options

Paper: 136, 19.05.2007

Evaluation of Default Risk for The Brazilian Banking Sector

Paper: 135, 14.05.2007

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

Paper: 133, 11.04.2007

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

Paper: 132, 04.04.2007

Long-Range Dependence in Exchange Rates: the case of the European Monetary System

Paper: 131, 19.02.2007

The role of banks in the Brazilian Interbank Market: Does bank type matter?

Paper: 130, 19.02.2007

Brazil: taming inflation expectations

Paper: 129, 19.02.2007

Term Structure Movements Implicit in Option Prices

Paper: 128, 01.02.2007

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