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...

Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital...

This paper presents an analysis, both in theoretical and empirical terms, of the fungibility of international private capital flows. For this, we adopt an open investigative position, implementing univariate and multivariate investigation of the capital movements related to Brazilian economy...

Using a New Keynesian framework, this paper compares the effects on the welfare of optimal monetary policies under commitment and discretion, and examines the consequences of the presence of inflation persistence. A policy under commitment generates a better-weighted average of the variances of...

The aim of this paper is to discuss the use of the Generalized Hyperbolic Distributions to fit Brazilian assets returns. Selected subclasses are compared regarding goodness of fit statistics and distances. Empirical results show that these distributions fit data well. Then we show how to use...

This article presents a brief survey about core inflation and shows the first results obtained in the computation of such indicator for the Brazilian IPCA for the period from January/1996 to ay/2000. The performance of five alternative measures of core inflation (exclusion method, symmetric...