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,...

This work has objective to verify, from causality and cointegration tests, if monetary aggregates can anticipate fluctuations in by products and prices in Brazil. Monthly data, for monetary aggregates, IPCA and real GDP, from jan/95 to mar/02 have been used. The broad money supply were evaluated...

The aim of this paper is to develop a business cycle analysis for Brazil, Argentina and the United States, emphasizing the regime switches that occurred throughout the economic fluctuations experienced by these countries. Recent studies on business cycles have favored the international business...

The goal of this project is to construct leading indicators that anticipate inflation cycle turning points on a real time monitoring basis. As a first step, turning points of the IPCA inflation are determined using a periodic stochastic Markov switching model. These turning points are the event...

This paper presents an application of the model of Black, Derman & Toy related to the pricing of options of fixed income assets. The model is a non-stationary one, where the mean reversion or volatility reversion or both are functions of time. The model makes it possible to calculate the price...

The Basel Committee on Banking Supervision recognizes that one of the greatest technical challenges to the implementation of the new Basel II Accord lies on the validation of the banks’ internal credit rating models (CRMs). This study investigates new proposals of statistical tests for...

This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series for Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical...

This paper extends the general equilibrium literature on bank competition in order to evaluate its role on the performance of the monetary policy. A new formulation of a financial contract taking into consideration both market power by banks as well as costly state verification is proposed here....