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

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Title Author(s)

Determinants of Bank Efficiency: the case of Brazil

Paper: 210, 21.10.2010

Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions

Paper: 205, 03.07.2010

Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

Paper: 184, 28.06.2010

Brazilian Strategy for Managing the Risk of Foreign Exchange Rate Exposure During a Crisis

Paper: 207, 17.06.2010

Preference for Flexibility and Bayesian Updating

Paper: 177, 16.06.2010

An Econometric Contribution to the Intertemporal Approach of the Current Account

Paper: 178, 15.06.2010

Fluctuation Dynamics in US interest rates and the role of monetary policy

Paper: 206, 12.06.2010

The role of macroeconomic variables in sovereign risk

Paper: 196, 01.06.2010

Fiat Money and the Value of Binding Portfolio Constraints

Paper: 176, 02.03.2010

Forecasting the Yield Curve for Brazil

Paper: 197, 21.02.2010

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

Paper: 164, 21.02.2010

Market Forecasts in Brazil: performance and determinants

Paper: 185, 25.01.2010

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

Paper: 181, 25.01.2010

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

Paper: 160, 16.10.2009

Behavior and Effects of Equity Foreign Investors on Emerging Markets

Paper: 159, 16.10.2009

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

Paper: 173, 29.12.2008

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

Paper: 172, 29.12.2008

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

Paper: 168, 29.12.2008

Balance Sheet Effects in Currency Crises: Evidence from Brazil

Paper: 162, 22.10.2008

Evaluating Value-at-Risk Models via Quantile Regressions

Paper: 161, 05.04.2008

Characterizing the Brazilian Term Structure of Interest Rates

Paper: 158, 04.03.2008

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

Paper: 157, 15.01.2008

 

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

Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil

Paper: 127, 22.12.2006

Risk Premium: Insights Over The Threshold

Paper: 126, 21.12.2006

 

Herding Behavior by Equity Foreign Investors on Emerging Markets

Paper: 125, 21.12.2006

 

The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil

Paper: 124, 06.12.2006

A Neoclassical Analysis of the Brazilian "Lost-Decades"

Paper: 123, 28.11.2006

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