The estimation of the impact of macroeconomic announcements in the Brazilian futuresmarkets is used to uncover the relationship between macroeconomic fundamentals andasset prices. Using intraday data from October 2008 to January 2011, we find thatexternal macroeconomic announcements dominate...

Brazilian Foreign Exchange (FX) markets have a unique structure: most trades are conducted in the derivatives (futures) market. We study price discovery in the FX markets in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. We find that...

We analyze the unique intervention strategy of the BCB using DNDFs (Domestic-Non-Deliverable Forwards): currency forwards that settle in domestic currency. We show the mechanisms through which DNDFs provide efficient hedging instruments for economic agents in times of reduced capital inflows and...

We analyze the impact of the controls and restrictions on capital inflows that Brazil has adopted since late 2009. We document that these measures had some success in segmenting the Brazilian and global financial markets, as measured by wedges between onshore and offshore prices of similar fixed...

If country and currency risk premiums are positively correlated, a negative international liquidity shock harms twice the economy, thereby substantially increasing interest rates. This harmful positive correlation between country and currency risk premiums observed in some countries is called...

This paper uses regression tree analysis to locate changes in the real interest rate process from the early 1950s to the early 1990s. We find important changes in the mean and variance of the process in 1972:Q4, 1980:Q1, and 1986:Q2. Removing the changing mean from the ex post real interest rate...

In this paper we study the question of debt sustainability from a risk management perspective. The debt accumulation equation for any country involves variables that are stochastic and closely intertwined. When these aspects are taken into consideration the notion of debt sustainability is...

We study how monetary policy affects bank lending behavior with an unique database and an event-study approach. Using the daily frequencies of interest rates and new loans in our data as a source of identification, we estimate banks´ reactions to monetary policy committee (Copom) decisions and...

This paper introduces cash transfers targeting the poor in an incomplete marketsmodel with heterogeneous agents facing idiosyncratic risk. These transfers change the degree of insurance in the economy and affect precautionary motives asymmetrically,leading the poorest households to decrease...