This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results...

In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rate means. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor captures a second type of curvature. The new factor increases model...

This article analyzes empirically the herding behavior on emerging markets, measuring the degree of herding by foreign investors on emerging equity markets, and evaluating the effects of this behavior on the riskiness of the markets. We use an adaptation of the LSV Herding measure and calculate...

The purpose of this paper is to analyze the main features in the conduct of monetary policy in Brazil. Initially, we focus on the inflation targeting regime, reviewing the background that led to its adoption in mid-1999, the institutional framework implemented in the country, and the challenges...

According to Bernanke and Gertler (1995), the Credit Channel amplifies the traditional monetary transmission and this amplification effect comes through the <i>firm's external finance premium,</i> which is a wedge between the expected return for the funds generated internally and the costs of funds...

This article aims at providing a new alternative for the collection of information on risks taken by financial institutions, which enables the calculation of risk tools usually used in risk management, such as VaR and stress tests. This approach should help risk managers, off-site supervision...

This paper analyzes how including options in the estimation of a dynamic term structure model impacts the way it captures term structure movements. Two versions of a multi-factor Gaussian model are compared: One adopting only bonds data, and the other adopting a joint dataset of bonds and...

An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model depends on the correct model specification. Literature has shown important studies of how to select the lag order of a nonstationary VAR...

The crises of the 1990s convinced many observers that intermediate exchange rate arrangements are fragile and crisis prone. But advising emerging markets to abandon the exchange rate as an anchor for policy compels those issuing the call to offer an alternative. This paper asks whether inflation...