Most of the recent research in monetary policy has focused on the use of a single exogenously specified standard ad hoc loss function to evaluate policy performance. This literature has come to the conclusion that backward looking models are more difficult to control i.e. monetary policy...

During the last years, administered by contract and monitored prices have risen much more sharply than free prices, pressuring the price index used for the inflation targeting regime (IPCA). This paper examines the adjustment mechanisms of administered prices and the main factors behind their...

The aim of the present research is to use a model economy built for Brazil, based on an optimizing dynamic general equilibrium model, in order to perform numerical simulations to derive the ability of the artificial economy to explain the impact of monetary policy interventions on short run...

A large body of literature has stressed the institution-development nexus as critical in explaining differences in countries' economic performance. The empirical evidence, however, has been mainly at the aggregate level, associating macro performance with measures of quality of institutions....

This paper analyses the price-concentration relationship for the Brazilian banking industry. Interest rate on loans proxies for price and the Herfindahl-Hirschman index proxies for concentration. A positive price-concentration relationship may be associated with anti-competitive behaviour while...

In this paper, an unrestricted aggregation method for heterogeneous log-linear functions is presented. It employs inequality measures derived from information theory in the construction of an exact representation of the aggregate behavior of the economy. A condition for the identification of...

The Value at Risk calculation for options has a lot of difficulties. The non-normality and the non-linearity of these assets cause sufficient unaccuracy in this measurement, mainly for the parametric models. The purpose of this article is to analyze the results of the VaR estimate for a...

This paper tests hyperinflation theories using the inflation tax curve. This curve is estimated directly instead of the usual approach which is a by-product of demand for money empirical estimates. The inflation tax functional form encompasses several specifications as particular cases and...

This paper employs new methods to measure and monitor risk in the Brazilian banking sector. We prove that the option-based risk measure is negatively sensitive to interest rates. As this is an important issue for emerging market economies, the risk measures are built as deviations from mean....

We provide approximation formulas for at-the-money asian option prices to extract volatility risk premium from a joint dataset of bonds and option prices. The dynamic model generates stochastic volatility and a time-varying volatility risk premium, which explicitly depends on the average cross...