The article evaluates the performance of the small-scale macro model (SSMM) of the Central Bank of Brazil as a tool for supporting the monetary policy decision process. The forecasts of IPCA inflation for 1 to 3 quarters ahead were compared to market forecasts as well as to the projections of a...

This work develops an integrated model for optimal asset allocation in commercial banks that incorporates uncertain liquidity constraints that are currently ignored by RAROC and EVA models. While the economic profit accounts for the opportunity cost of risky assets, what may even incorporate a...

This paper investigates cost, technical and allocative efficiency for Brazilian banks in the recent period (2000-2007). The empirical results imply that non-performing loans is an important indicator of efficiency level, as well as market share. Evidence is in favor of the home field advantage...

This paper discusses the measures that were undertaken by the central bank of brazil in the crisis of 2008. Besides, it presents the lessons that can be learned from the crisis. these lessons cover i) the areas of monitoring and prevention; ii) the necessity of improving regulation mechanisms;...

Using survey data, we document that foreign-owned institutions became more pessimistic than locally owned institutions about the strength of the Brazilian currency around the 2002 presidential elections. As a result of their relative pessimism, foreign-owned institutions made larger forecast...

From data in the Central Bank of Brazil’s Credit Information System we empirically estimated the default correlation matrices of retail loans made between 2003 and 2008. The loan modalities studied were Consumer Credit and Vehicle Financing. We identified an increased probability and...

In this paper we present a dynamic stochastic general equilibrium (DSGE) model, which aims at evaluating the effects of trade globalization over inflation. The period of the inflation targeting regime (1999-2008) is employed to estimate the parameters for the Brazilian economy. The results show...

This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000-2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an accurate comparison across institutions...

The recent literature on real-time data analysis has shown that several economic activity measures go through important revisions over time, limiting the use of those measures. We organize a real-time data set for industrial production (IP) in Brazil and assess the revisions of the series of IP...

Economic agents make decisions using real-time data. However, recent literature has shown that several economic activity measures go through important revisions over time, impairing the reliability of real-time data. We organize a real-time dataset for Brazil’s GDP, and assess the revisions of...