There are few studies directly addressing exchange rate and inflation volatilities, and lack of consensus among them. However, this kind of study is necessary, especially because they can help monetary authorities to know price behavior better. This article analyses the relation between exchange...

In this paper, we examine optimal portfolio decisions within a decentralized framework. There are many portfolio managers choosing optimal portfolio weights in a mean-variance framework and taking decisions in a decentralized way. However, the overall portfolio may not be efficient, as the...

This paper deals with the efficiency of the Brent Crude oil future contracts and tests whether futures can be used to predict realized oil spot prices. Evidence suggests that future prices up to three-months contracts on Brent Crude are unbiased predictors of future spot prices but the...

This paper presents a medium-scale structural model for the Brazilian economy with more than 30 equations. The potential output is derived from a Cobb-Douglas production function and the demand side is divided in estimated equation for: consumption of the families, investment in machinery and...

This paper examines empirically the demand of foreign exchange derivatives by Brazilian corporations. We build an original database of 25,457 contracts of foreign exchange swaps between firms and financial institutions open at the end of 2002. From these contracts we identify 53 corporations...

This article presents an empirical application illustrating the use of a nonparametric frontier model relying on a probabilistic definition of the production frontier. The significance of the variable nonperforming loans in productive efficiency is assessed, for a sample of Brazilian banks,...

This paper investigates an intertemporal optimization model to analyze the current account through Campbell & Shiller’s (1987) approach. In this setup, a Wald test is conducted to analyze a set of restrictions imposed to a VAR, used to forecast the current account for a set of countries. We...

In this paper the random walk hypothesis is tested for a set of daily Brazilian stock data given by the São Paulo Stock Exchange Index (IBOVESPA) in the period of 1986-1998. A rolling variance ratio test for different investment horizons was conducted, and it is concluded that prior to 1994 the...

We study the interplay between the central bank transparency, its credibility, and the inflation target level. Based on a model developed in the spirit of the global games literature, we argue that whenever a weak central bank adopts a high degree of transparency and a low target level, a bad...