This paper aims at correcting flaws in the way expectations are set in a paper by Walsh (2000) in order to assess with precision the impact of complex market rigidities and market expectations in the optimal choices of inflation in a monetary game between society and central bankers. After...

This paper analyzes the advantages and disadvantages of maintaining the banking supervisory functions at the Banco Central do Brasil (BCB). First, these pros and cons are identified and listed using the economic literature, after a brief analysis of the ongoing debate and international...

In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S. economy could be explained by relative factors linked to...

There is consensus in the economic literature that the reserve requirements are a tax levied upon financial intermediation, yet the incidence of the tax remains controversial. In this paper, we test whether changes in reserve requirements in Brazil impact the stock returns of the financial...

This paper conducts a study of the pass-through from the exchange rate devaluation to inflation considering the recent change in the foreign exchange regime in Brazil. Econometric estimations were performed using the specifications of the pass-through suggested by Goldfajn and Werlang (2000)....

Brazil has evolved a financial system with a smaller presence of public banks and larger participation of foreign banks, less directed credit, and well capitalized banks. Over the years it has been resilient to shocks and was able to preserve the real value of savings in the system, thus...

"Third-generation currency crises models" argue that capital losses from exchange-rate depreciation propagate the crises to the productive sector. To test these models, we use a firm-level dataset that allows us to measure currency mismatches around the 2002 Brazilian currency crisis. We find...

In this paper the eight variants of the Brazilian exchange rate are analyzed. After putting the evolution of this indicator into historical context, univariate analysis of the level and the volatility of the series is implemented. In this task, the research especially emphasizes the effects of...

This paper investigates monetary policy and basic macroeconomic relation-ships involving output, inflation rate, interest rate, and money in Brazil. Based on a vector autoregressive (VAR) estimation, it compares three different periods: moderately increasing inflation (1975-1985), high inflation...

In this paper, we discuss the recent evolution of the domestic interest rate curves. Our approach is original, due to the fact that the data we used were observations of the values of the interest rate functions corresponding to particular arguments, the maturities associated with related...