This paper presents the framework employed by the Central Bank of Brazil for the projection of administered prices. Such framework is applied in the generation of short and medium term forecasts and combines econometric models with the “accounting” modeling based on expert analysis. The text...

The aim of this paper is to examine empirically whether the default of borrower companies in the Brazilian market rises in downturns. To this end, a probit model for the probability of default is developed based on credit microdata taken from the Credit Information System of the Central Bank of...

The purpose of this paper is to verify, based on the portfolio balance exchange rate determination theory, the impact of the foreign exchange swaps offered by the Central Bank of Brazil on the attributes of the local foreign exchange interest rate term structure. For this, it is used the...

This present paper aims at evaluating the discrete american barrier options. The model developed consists in an adaption of the Grant, Vora e Weeks (GVW) method (1997), so as to contemplate the barriers. The Hybrid Quasi-Monte Carlo Method was applied in the realized simulations, while the...

A recent literature shows that cross-listing in the U.S., mainly through ADRs, protects minority shareholders of countries that offer weak legal protection to investors. Yet, this literature does not show evidence of corporate decisions that ADRs are likely to discipline. This paper uses data on...

After being one the fastest growing countries in the world during the 1940-80 period, with an average growth rate of 6.8%, Brazil has experienced a severe growth slowdown since the 1980s, which coincided with the steep rise in inflation as of 1980. At the same time, real investment rates have...

Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, we propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive...

In this paper, we test two static theories of capital structure Static Tradeoff Theory (STT) e a Pecking Order Theory (POT) so as to analyze the capital structure of Brazilian firms. We built the optimum capital structure of firms estimating a state space model with a smooth Kalman Filter. Our...

Since 2000, Banco Central do Brasil (BCB) announces measures of core inflation in its Inflation Reports. Throughout this period, the set of measures has been altered as the result of either the evolution of the Brazilian economy or the incorporation of new approaches to measuring core inflation....