This paper empirically evaluates Risk-Neutral Densities (RND) and Real-World Densities (RWD) as predictors of future outcomes of emerging markets currencies. The dataset consists of volatility surfaces from 11 emerging market currencies, with approximately six years of daily data, using options...

This study proposes a new methodology called Canonical FAVAR that incorporates the canonical correlation analysis in the estimation of two-step FAVAR models to obtain more appropriate factors for forecasting. The canonical correlation technique identifies a small number of linear combinations of...

Intuitively core inflation is understood as a measure of inflation where noisy price movements are avoided. This is typically achieved by either excluding or downplaying the importance of the most volatile items. However, some of those items show high persistence, and one certainly does not want...

We investigate whether banks that receive a positive liquidity shock make up for the reduction in the loan supply by banks that suffer a negative liquidity shock. For identification, we use the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 that...

In this paper, we propose a microfounded framework to investigate a panel of forecasts (e.g. model-driven or survey-based) and the possibility to improve their out-of-sample forecast performance by employing a bias-correction device. Following Patton and Timmermann (2007), we theoretically...

Our objective in this paper is to estimate the dynamics of firm investment in Brazil. For this purpose, we built an original database with confidential and public data containing balance sheet and financial information of 5,026 public and private firms from the third quarter of 1994 to the...

This paper assesses the predictive power of the main confidence índices available in Brazil to forecast economic activity. More specifically, we consider a set of economic activity variables and, for each of those, compare the predictive power of a univariate autoregressive model to that of a...

The aim of this study is to provide a preliminary measure of the impact of a mega sports event in consumer inflation. This measure can serve as a proxy of the impact of the FIFA World Cup 2014 and the 2016 Olympic Games in the evolution of inflation in Brazil, measured by the National Index of...

This paper assesses the evolution of the bank credit market concentration process in Brazil. We use an unbalanced panel data that covers the period from 2000 to 2013, with data from the banking segment’s active conglomerates and isolated financial institutions. This study empirically...

Government-driven credit had an important role in countervailing private credit crunch in Brazil during the recent financial crisis. However, government credit concessions continued to expand after the economy recovered. This paper investigates some important features of this expansion using a...