This paper analyzes causality and cointegration relationships among stock markets for Latin America and the United States. Within a simple framework causality and cointegration is tested for Argentina, Brazil, Chile, Colombia, Mexico, Peru, Venezuela and the US. We found no evidence of...

Recently, a myriad of factor models including macroeconomic variables have been proposed to analyze the yield curve. We present an alternative factor model where term structure movements are captured by Legendre polynomials mimicking the statistical factor movements identified by Litterman and...

This paper aims at verifying whether, for the Brazilian markets, option implied volatility contains information regarding large-magnitude returns in the future. Moreover, a practical tool was developed in order to capture the information provided by implied volatility. Statistical evidence shows...

This paper uses a money demand model to evaluate monetary policies under different regimes in Brazil. The consistency between monetary liquidity and the inflation rate path is considered. The concept is applied to the Brazilian case by modeling <i>M</i>1 and its components. Based on unit root and...

The aim of this paper is twofold: First to test the adequacy of Pareto distributions to describe the tail of financial returns in emerging and developed markets, and second to study the possible correlation between stock market indices observed returns and return’s extreme distributional...

Many models were used to identify the factors affecting the demand for overnight funds by commercial banks. Theses models overcome overdispersion problems caused by excess of zeros found in the dataset. Generalized Linear Latent and Mixed Models (GLLAMM) constitute a class of models which allows...

The Brazilian position on the issue of private sector participation in the efforts to forestall and resolve emerging markets crises is that there should be an approach of contacting and convincing a large number, but not the totality, of private creditors. They should be convinced that the...

In this article the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk and banking concentration is empirically tested. While evaluating this relation, we use a dynamic specification with fixed effects, using a panel data...

Brazil has experienced crucial changes in its inflation process since the adoption of inflation targeting in mid 1999. This article addresses changes in the analytical framework employed to track the inflation dynamics, specifically the relevance of an explicit target for inflation. A...

The paper studies the relationship between exchange rate depreciations and inflation using a sample of 71 countries in the period 1980-1998. The main determinants of the extent of inflationary pass-through of the depreciations (appreciations) are the cyclical component of output, the extent of...