This paper consists of an empirical investigation of Brazilian banks' profitability determinants. The panel data is composed of quarterly information for 71 banks between the first quarter of 2002 and the second quarter of 2012. Using data from the Brazilian banking system, we study the...

This study applies data envelopment analysis and stochastic frontier approach to a sample of Indian commercial banks to discuss the inconsistencies between these models. We find that DEA average efficiency scores are, in general, lower than those from the SFA model. However, both models indicate...

Several specialists and authorities blame inflation targeting (IT) regime for not responding to the increasing systemic risk and the development of asset bubbles. Nevertheless, we employ a database with commercial banks from 71 countries between 1998 and 2012, and we present evidence that: banks...

This paper aims to study the effect of banking competition on Latin American banks' risk-taking and whether capitalization and size changes this relationship. We conclude that: (1) competition affects risk in a non-linear manner: high/low (average) competition are related to more (less)...

Periods of Financial Stability are associated to low bank efficiency and high non-performing loans in credit portfolios. Therefore, this paper studies the relationship between bank efficiency and non-performing loans. To evaluate the bank efficiency, we employ a Data Envelopment Analysis. We...

Recent literature has focused on the study of systemic risk in complex networks. It is clear now, after the crisis of 2008, that the aggregate behavior of the interaction among agents is not straightforward and it is very difficult to predict. Contributing to this debate, this paper shows that...

This paper compares the forecast precision of the Functional Signal plus Noise (FSN), the Dynamic Nelson-Siegel (DL), and a random walk model. The empirical results suggest that both outperform the random walk at short horizons (one-month) and that the the FSN model outperforms the DL at the...

This paper presents an empirical analysis of the Brazilian interbank network structure. The Brazilian interbank market clearly presents a topology that is compatible to the free-scale networks. This market is characterized by money centers, which have exposures to many banks and are the most...

In this work we measure the evolution of the long-range dependence phenomenon of returns and volatilities of nominal British exchange rates (British pound against US dollar) futures contracts negotiated on the Chicago Mercantile Exchange from 1986 to 2004. The measurement employs the R/S classic...

This paper investigates the effects of monetary policy over banks' loans growth and non-performing loans for the recent period in Brazil. We contribute to the literature on bank lending and risk taking channel by showing that during periods of loosening/tightening monetary policy, banks...