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...

We develop and estimate a medium-size, semi-structural model for Brazil's economy during the inflation targeting period. The model captures key features of the economy, and allows us to investigate the transmission mechanisms of monetary policy. We decompose the monetary channels into household...

Our goal in this paper is to study the Bankruptcy Laws under the approach of the Economic Theory. In this sense, we present some suggestions of the recent literature and study the convenience of their practical use. We also show, through numerical examples, how to obtain a Pareto improvement by...

Despite of its popularity, empirical studies have failed to find evidence of the causal effect of a country's adoption of the Inflation Targeting regime on that country's inflation rate decline. This paper applies the multi-period differences-in-differences estimation to the quarterly CPI...

This paper tests the Rational Expectations Hypothesis in Brazil from July 1996 to December 2001 for maturities ranging from 1 day to 1 year. It shows that (i) the estimated coefficients in the regressions of the short-run changes of the long rate on the yield spread and in the regressions of the...

This paper assesses inflation targeting in emerging market economies (EMEs), and develops applied prescriptions for the conduct of monetary policy and inflation-targeting design in EMEs. We verify that EMEs have faced more acute trade-offs - higher output and inflation volatility - and worse...

A two-parameter family of filters is proposed in which the HP filter is considered as the lowest order member. While the HP filter converges to linear time trend as the smoothing factor grows, the higher order members of the proposed family converge to higher order polynomial time trends. The...

Historical models are being quite used in the value at risk (VaR) estimation due to the fact that many returns of financial assets cannot be described by a theoretical distribution. In these models, each observation of the past can be a possible scenery and for each scenery there is a price for...

We estimate an identified VAR (SVAR) with contemporaneous restrictions derived from a model of the market for bank reserves, which allows us to disentangle monetary policy shocks from demand shocks for reserves in Brazil. The main results are: i) the Central Bank of Brazil acts in order to...