Evaluating Value-at-Risk Models via Quantile Regressions | by Wagner P. Gaglianone, Luiz Renato Lima and Oliver Linton | 161
(Feb 2008) | Abstract |
|
Characterizing the Brazilian Term Structure of Interest Rates | by Osmani T. Guillen and Benjamin M. Tabak | 158
(Feb 2008) | Abstract
Full text |
|
2007 |
Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil | by Tito Nícias Teixeira da Silva Filho | 157
(Dec 2007) | Abstract
Full text |
|
Does Curvature Enhance Forecasting? | by Caio Almeida, Romeu Gomes, André Leite and José Vicente | 155
(Dec 2007) | Abstract
Full text |
|
Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves | by Adriana Soares Sales and Maria Tannuri-Pianto | 154
(Dec 2007) | Abstract
Full text |
|
Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation | by Fernando N. de Oliveira and Walter Novaes | 152
(Dec 2007) | Abstract
Full text |
|
Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability | by Eduardo José Araújo Lima and Benjamin Miranda Tabak | 151
(Nov 2007) | Abstract
Full text |
|
A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks | by Roberta Blass Staub and Geraldo da Silva e Souza | 150
(Oct 2007) | Abstract
Full text |
|
Joint Validation of Credit Rating PDs under Default Correlation | by Ricardo Schechtman | 149
(Oct 2007) | Abstract
Full text |
|
Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998) | by Adriana Soares Sales and Maria Eduarda Tannuri-Pianto | 147
(Oct 2007) | Abstract
Full text |
|
The Stability-Concentration Relationship in the Brazilian Banking System (JEL G15, G21, O54) | by Benjamin Miranda Tabak, Solange Maria Guerra, Eduardo José Araújo Lima and Eui Jung Chang | 145
(Oct 2007) | Abstract
Full text |
|
The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options | by Claudio Henrique da Silveira Barbedo and Eduardo Facó Lemgruber | 144
(Oct 2007) | Abstract
Full text |
|
Price Rigidity in Brazil: Evidence from CPI Micro Data | by Solange Gouvea | 143
(Sep 2007) | Abstract
Full text |
|
Forecasting Bonds Yields in the Brazilian Fixed Income Market | by Jose Vicente and Benjamin M. Tabak | 141
(Aug 2007) | Abstract
Full text |
|
Inflation Targeting, Credibility and Confidence Crises | by Rafael Santos and Aloisio Araujo | 140
(Aug 2007) | Abstract
Full text |
|
Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features | by Carlos Enrique Carrasco Gutiérrez, Reinaldo Castro Souza and Osmani Teixeira de Carvalho Guillén | 139
(Jun 2007) | Abstract
Full text |
|
Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil | by Marcos M. Abe, Eui J. Chang and Benjamin M. Tabak | 138
(May 2007) | Abstract
Full text |
|
Monetary Policy Design under Competing Models of Inflation Persistence | by Solange Gouvea and Abhijit Sen Gupta | 137
(May 2007) | Abstract
Full text |
|
Identifying Volatility Risk Premium from Fixed Income Asian Options | by Caio Ibsen R. Almeida and José Valentim M. Vicente | 136
(May 2007) | Abstract
Full text |
|
Evaluation of Default Risk for The Brazilian Banking Sector | by Marcelo Y. Takami and Benjamin M. Tabak | 135
(May 2007) | Abstract
Full text |
|
A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives | by Gilneu F. A. Vivan and Benjamin M. Tabak | 133
(Mar 2007) | Abstract
Full text |
|
Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling | by Jaqueline Terra Moura Marins and Eduardo Saliby | 132
(Mar 2007) | Abstract
Full text |
|
Long-Range Dependence in Exchange Rates: the case of the European Monetary System | by Sergio Rubens Stancato de Souza, Benjamin M. Tabak and Daniel O. Cajueiro | 131
(Jan 2007) | Abstract
Full text |
|
The role of banks in the Brazilian Interbank Market: Does bank type matter? | by Daniel O. Cajueiro and Benjamin M. Tabak | 130
(Jan 2007) | Abstract
Full text |
|
Brazil: taming inflation expectations | by Afonso S. Bevilaqua, Mário Mesquita and André Minella | 129
(Jan 2007) | Abstract
Full text |
|
2006 |
Term Structure Movements Implicit in Option Prices | by Carlos Ibsen R. Almeida and José Valentim M. Vicente | 128
(Dec 2006) | Abstract
Full text |
|
Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil | by Ricardo Schechtman | 127
(Dec 2006) | Abstract
Full text |
|
Risk Premium: Insights Over The Threshold | by José L. B. Fernandes, Augusto Hasman e Juan Ignacio Peña | 126
(Dec 2006) | Abstract
Full text |
|
Herding Behavior by Equity Foreign Investors on Emerging Markets | by Barbara Alemanni e José Renato Haas Ornelas | 125
(Dec 2006) | Abstract
Full text |
|
The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil | by Benjamin M. Tabak | 124
(Nov 2006) | Abstract
Full text |
|
A Neoclassical Analysis of the Brazilian "Lost-Decades" | by Flávia Mourão Graminho | 123
(Nov 2006) | Abstract
Full text |
|
Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil | by Arnildo da Silva Correa and André Minella | 122
(Nov 2006) | Abstract
Full text |
|
The Role of Consumer's Risk Aversion on Price Redigity | by Sergio A. Lago Alves and Mirta N. S. Bugarin | 121
(Nov 2006) | Abstract
Full text |
|
Forecasting Interest Rates: an application for Brazil | by Eduardo J. A. Lima, Felipe Luduvice and Benjamin M. Tabak | 120
(Oct 2006) | Abstract
Full text |
|
Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint | by Aloísio P. Araújo and José Valentim M. Vicente | 118
(Oct 2006) | Abstract
Full text |
|
An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks | by Theodore M. Barnhill, Marcos R. Souto and Benjamin M. Tabak | 117
(Sep 2006) | Abstract
Full text |
|
Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling | by Jaqueline Terra Moura Marins, Eduardo Saliby and Joséte Florencio do Santos | 116
(Sep 2006) | Abstract
Full text |
|
Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach | by José L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak | 115
(Sep 2006) | Abstract
Full text |
|
The Inequality Channel of Monetary Transmission | by Marta Areosa and Waldyr Areosa | 114
(Aug 2006) | Abstract
Full text |
|
Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets | by Angelo Marsiglia Fasolo | 112
(Jul 2006) | Abstract
Full text |
|
The Recent Brazilian Disinflation Process and Costs | by Alexandre A. Tombini and Sergio A. Lago Alves | 109
(Jun 2006) | Abstract
Full text |
|
Demand for Bank Services and Market Power in Brazilian Banking | by Márcio I. Nakane, Leonardo S. Alencar and Fabio Kanczuk | 107
(Jun 2006) | Abstract
Full text |
|
Testing Nonlinearities Between Brazilian Exchange Rate and Inflation Volatilities | by Christiane R. Albuquerque and Marcelo S. Portugal | 106
(May 2006) | Abstract
Full text |
|
Representing Roomates' Preferences with Symmetric Utilities | by José Álvaro Rodrigues Neto | 105
(Apr 2006) | Abstract
Full text |
|
The Effect of Adverse Supply Shocks on Monetary Policy and Output | by Maria da Glória D. S. Araújo, Mirta Bugarin, Marcelo Kfoury Muinhos and Jose Ricardo C. Silva | 103
(Apr 2006) | Abstract
Full text |
|
Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans | by Ana Carla A. Costa and João M. P. de Mello | 102
(Apr 2006) | Abstract
Full text |
|
Comparing equilibrium real interest rates: different approaches to measure Brazilian rates (JEL E43, F34) | by Marcelo Kfoury Muinhos and Márcio I. Nakane | 101
(Mar 2006) | Abstract
Full text |
|
2005 |
Targets and Inflation Dynamics | by Sergio A. L. Alves and Waldyr D. Areosa | 100
(Oct 2005) | Abstract
Full text |
|
Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies | by Helio Mori and Marcelo Kfoury Muinhos | 098
(Aug 2005) | Abstract
Full text |
|
Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching | by Ryan A. Compton and Jose Ricardo da Costa e Silva | 097
(Aug 2005) | Abstract
Full text |
|
Comment on Market Discipline and Monetary Policy by Carl Walsh | by Maurício S. Bugarin and Fabia A. de Carvalho | 095
(Apr 2005) | Abstract
Full text |
|
Steady State Analysis of an Open Economy General Equilibrium Model for Brazil | by Mirta Noemí Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva and Marcelo Kfoury Muinhos | 092
(Apr 2005) | Abstract
Full text |
|
2004 |
Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis | by Ricardo Schechtman, Valéria Salomão Garcia, Sergio Mikio Koyama and Guilherme Cronemberger Parente | 091
(Dec 2004) | Abstract
Full text |
|
Bank Privatization and Productivity: Evidence for Brazil | by Márcio I. Nakane and Daniela B. Weintraub | 090
(Dec 2004) | Abstract
Full text |
|
Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002 (JEL E44, E62, F32, F34) | by André Soares Loureiro and Fernando de Holanda Barbosa | 085
(May 2004) | Abstract
Full text |
|
Speculative Attacks on Debts and Optimum Currency Area: A Welfare Analysis (JEL F34, F36, F47, H63) | by Aloisio Araujo and Marcia Leon | 084
(May 2004) | Abstract
Full text |
|
Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries (JEL E42, E52, E58) | by Thomas Y. Wu | 083
(May 2004) | Abstract
Full text |
|
Bank Competition, Agency Costs and the Performance of the Monetary Policy (JEL E44, E50, G21) | by Leonardo Soriano de Alencar and Márcio I. Nakane | 081
(Jan 2004) | Abstract
Full text |
|
2003 |
Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility (JEL E31, E52, E58) | by André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos | 077
(Jul 2003) | Abstract
Full text |
|
Inflation Targeting in Emerging Market Economies (JEL E31, E52, E58) | by Arminio Fraga, Ilan Goldfajn and André Minella | 076
(Jun 2003) | Abstract
Full text |
|
Brazil's Financial System: Resilience to Shocks, no Currency Substitution, but Struggling to Promote Growth (JEL G21, G28, O16) | by Ilan Goldfajn, Katherine Hennings and Hélio Mori | 075
(Jun 2003) | Abstract
Full text |
|
On Shadow-Prices of Banks in Real-Time Gross Settlement Systems | by Rodrigo Andrés de Souza Peñaloza | 071
(Apr 2003) | Abstract
Full text |
|
Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates (JEL E4, G1) | by Benjamin Miranda Tabak | 070
(Feb 2003) | Abstract
Full text |
|
r-filters: a Hodrick-Prescott Filter Generalization (JEL C22, C52, E32) | by Fabio Araujo, Marta Baltar Moreira Areosa and José Alvaro Rodrigues Neto | 069
(Feb 2003) | Abstract
Full text |
|
Real Balances in the Utility Function: Evidence for Brazil (JEL D91, E21, E49) | by Leonardo Soriano de Alencar and Márcio I. Nakane | 068
(Feb 2003) | Abstract
Full text |
|
On the Information Content of Oil Future Prices (JEL C53, G14, G15) | by Benjamin Miranda Tabak | 065
(Feb 2003) | Abstract
Full text |
|
Medium-Size Macroeconomic Model for the Brazilian Economy (JEL E12, E27, F43, F47) | by Marcelo Kfoury Muinhos and Sergio Afonso Lago Alves | 064
(Feb 2003) | Abstract
Full text |
|
Optimal Monetary Rules: The Case of Brazil (JEL E43, E52) | by Charles Lima de Almeida, Marco Aurélio Peres, Geraldo da Silva e Souza and Benjamin Miranda Tabak | 063
(Feb 2003) | Abstract
Full text |
|
2002 |
Delegated Portfolio Management | by Paulo Coutinho and Benjamin Miranda Tabak | 060
(Dec 2002) | Abstract
Full text |
|
The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case (JEL G14, G15) | by Benjamin Miranda Tabak | 058
(Dec 2002) | Abstract
Full text |
|
Causality and Cointegration in Stock Markets: The Case of Latin America (JEL G15) | by Benjamin Miranda Tabak and Eduardo José Araújo Lima | 056
(Dec 2002) | Abstract
Full text |
|
Stock Returns and Volatility (JEL C53, G10) | by Benjamin Miranda Tabak and Solange Maria Guerra | 054
(Nov 2002) | Abstract
Full text |
|
Inflation Targeting in Brazil: Lessons and Challenges (JEL E31, E52, E58) | by André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos | 053
(Nov 2002) | Abstract
Full text |
|
Generalized Hyperbolic Distributions and Brazilian Data (JEL C52, G10) | by José Fajardo and Aquiles Farias | 052
(Sep 2002) | Abstract
Full text |
|
Credit Channel with Sovereign Credit Risk: an Empirical Test (JEL E44, E50, N16) | by Victorio Yi Tson Chu | 051
(Sep 2002) | Abstract
Full text |
|
Macroeconomic Coordination and Inflation Targeting in a Two-Country Model (JEL E52, E61, F42) | by Eui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho Teixeira | 050
(Sep 2002) | Abstract
Full text |
|
Should Government Smooth Exchange Rate Risk? (JEL F30, G28) | by Ilan Goldfajn and Marcos Antonio Silveira | 048
(Sep 2002) | Abstract
Full text |
|
The Determinants of Bank Interest Spread in Brazil (JEL E43, E44, G21) | by Tarsila Segalla Afanasieff, Priscilla Maria Villa Lhacer and Márcio I. Nakane | 046
(Aug 2002) | Abstract
Full text |
|
Optimal Monetary Policy, Gains from Commitment, and Inflation Persistence (JEL E31, E52) | by André Minella | 045
(Aug 2002) | Abstract
|