The aim of this paper is to promote a business cycles analysis for Brazil and Argentina, emphasizing the differences in their economic processes. The differences in economic fluctuations of each country are seen as a result of their differences in economic foundations and structural...

Using Boot and Thakor model (1993), the paper summarizes for which parameter interval regarding regulator’s reputation the closure of banks could signalize imperfect monitoring of banks assets choice. If the regulator is non-benevolent, that is if he maximizes a welfare function that gives...

Monte Carlo simulation is implemented in some of the main models for estimating portfolio credit risk, such as CreditMetrics, developed by Gupton, Finger and Bhatia (1997). As in any Monte Carlo application, credit risk simulation according to this model produces imprecise estimates. In order to...

The behavior of bank interest spreads in Brazil reveal two stylized facts. First, a remarkable fall in the average rates since early 1999. Second, a strong and persistent dispersion of rates across banks. Such stylized facts suggest that both the time series and the cross section dimensions are...

In the last years, regulatory agencies of many countries in the world, following recomendations of Basel Committee, have compeled financial institutions to maintain a minimum capital requirements to cover market and credit risks. This paper investigates the consequences about social welfare,...

This paper uses the cointegration framework to study the series of total private credit and housing finance volumes in the Brazilian banking system. A stationary long-term relationship is identified suggesting that the recent observed deviation can be classified as a short-term desequilibrium....

Although not explicitly reported, option traders on the Bovespa exchange pay an implicit bid-ask spread on each trade. Reported transaction prices that comprise the databases previously used to study the Brazilian options markets do not reflect actual option values at the time of the trades, but...

This paper assesses the first three years of the inflation-targeting regime in Brazil adopted in July 1999. The inflation-targeting framework has shown to be highly important for the macroeconomic stabilization. We stress three important challenges: construction of credibility, change in...

The purpose of this article is to contribute to the discussion of the financial aspects of dollarization and optimum currency areas. Based on the model of self-fulfilling debt crisis developed by Cole and Kehoe [4], it is possible to evaluate the comparative welfare of economies, which either...

This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample. It analyses the switch from a crawling peg exchange regime to a floating exchange regime,...