This study seeks to evaluate some effects of the heterogeneity of economic agents, borrowers and lenders, in the bank credit market, and how these differences are reflected in their decision-making and in the operations features. For this, we analyze default data in vehicle financing from May...

The macroeconomic effects of shocks in models of nominal rigidity depend crucially on the degree of strategic complementarity among price setters. However, the empirical evidence on its magnitude is indirect and ambiguous: the one based on macroeconomic data suggest strong strategic...

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has had an adverse effect on almost all EU...

We empirically test the effects of anticipated and unanticipated monetary policy shocks on the growth rate of real industrial production and explicitly test for different types of asymmetries in monetary policy implementation for two major international economies, the U.S. and Brazil. We depart...

In this paper, we construct several multi-step-ahead density forecasts for the foreign exchange (FX) rate based on statistical, financial data and economic-driven approaches. The objective is to go beyond the standard conditional mean investigation of the FX rate and (for instance) allow for...

This paper aims to describe the structure of the Quarterly Survey of Credit Conditions in Brazil conducted by the Central Bank of Brazil. It presents the results of the first survey, March 2011, the methodology to construct several indicators that summarize the responses of financial...

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...