This paper investigates the consequences on loan spreads of a within-sector macro prudential capital measure in Brazil. Due to concerns related to a possibly too fast and unbalanced expansion of the auto-loan sector, regulatory capital was raised for auto-loans with specific long maturities and...

This paper proposes a novel way to model a network of firm-bank and bank-bank interrelationships using a unique dataset for the Brazilian economy. We show that distress originating from firms can be propagated through the interbank network. Furthermore, we present evidence that the distribution...

This paper analyzes the financial institutions (FIs) that operate in the Brazilian Interbank Market, investigating, through simulations, the potential contagion that they present, the contagion losses' and the contagion route associated to FIs' bankruptcies, and the value of the 1-year expected...

The unemployment rate can be expressed by two components: the probability that an unemployed worker finds a job and the probability that an employed worker becomes unemployed. According to the methodology developed in Shimer (2012) and Elsby et al. (2009) this article calculates these factors...

Reserve requirements are used as an additional policy instrument in many countries. The present paper examines whether the use of this instrument helps to improve macroeconomic stability. The analysis is conducted by estimating and simulating a semi structural model for the Brazilian economy....

The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard...

Asymmetric information and transportation costs incurred by borrowers may raise spatial price discrimination in bank lending. This paper exploits the large geographic dispersion in the market structure of the Brazilian banking sector to investigate the relationship between market concentration...

This study investigates the role of the group of foreign banks in Brazil between 2005 and 2011. It focuses on their involvement on foreign exchange derivatives and credit markets, especially during the financial crisis in 2008/2009. Foreign banks account for almost a quarter of the supply of...

This paper presents measures for the mitigation of systemic risk adopted in the Brazilian Payment System, and payments processed by this system are analyzed in order to identify potential sources of systemic risk. Measures for the mitigation of systemic risk within the Brazilian Payment System...

This paper discusses the effects of the recent financial crisis on the Brazilian banking system. It discusses how liquidity risks have risen during the crisis and preventive measures that were taken in order to cope with these risks. It presents the liquidity stress testing approach that is...