This paper discusses the effects of the recent financial crisis on the Brazilian banking system. It discusses how liquidity risks have risen during the crisis and preventive measures that were taken in order to cope with these risks. It presents the liquidity stress testing approach that is...

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...

A short review of the literature discusses different approaches on strategy, their agreeded and disagreeded points, and also discusses the foundations that are used to separate multiple perspectives on the subject according to several scholars. The paradigm distinction proposed by Burrell &...

This paper presents a small-scale structural model to the Brazilian economy with an external block. The nominal exchange rate forecast is based on an uncovered interest rate, which is estimated in monthly terms since the switching of the exchange regime in 1999. As a risk premium measurement,...

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...

This paper examines the impact of payroll debit loans - a Brazilian new modality of credit - on interest rates. The main characteristic of the new credit operation is the enforcement of a direct deduction of amortizations from personal payroll checks. Adapting a matching strategy proposed by...

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...

The purpose of this paper is to evaluate the effect of dimensionality and probability of exercise of a European call option on the precision improvements obtained by the usage of Descriptive Sampling on a Monte Carlo Simulation to price such derivative as opposed to the use of traditional Simple...