This work describes the main characteristics of an inflation targeting regime and derives the optimal solution for interest rates according to an original methodology for two models based on the Phillips and IS curves containing general exogenous variables and a complete loss-function.

This paper brings evidences about the hypotheses of financial crisis contagion over Latin American stock markets in the 90's using a multivariate GARCH model. Beside the traditional volatility structure, we added a leverage term like GJR framework in order to avoid problems due to the use of...

This paper examines the empirical evidence that official interventions are associated with periods of high predictability in exchange rate markets. We employ a block bootstrap methodology to build critical values for the Variance Ratio statistics and test for predictability within moving windows...

The aim of this paper is to examine the relevance of a money-in-the-utility-function model for the Brazilian economy. In addition to consumption, the household is supposed to derive utility from leisure and from the holdings of real balances. The system, formed by the first-order conditions of...

This work analyzes the determinants of the banking interest rate margin in Brazil from 2001 to 2004. Based on the Ho and Saunders' (1981) theoretical model, we verify the impacts of risk factors - interest-rate risk and default risk - and administrative costs over the banking interest rate...

This article evaluates ways of adapting the structure implemented by the Central Bank of Brasil to calculate capital requirements for market risk of fixed interest rates to transactions involving the USD interest rate in Brazil (<i>cupom cambial</i>). Changes to the volatility estimation procedure and...

Central Bank of Brazil is implementing a Value At Risk (V.A.R.) methodology to establish minimum capital requirements for financial institutions to bear market risk derived from interest rate fluctuations. This article shows that the construction of the correlation matrix of the Brazilian...

The article examines the performance, between 1995 and 1998, of two alternative early warning models of bank insolvency - logistic regression and Cox´s proportional risk. The models provide estimates of the conditional probability of a bank staying in good standing longer than a certain period...

The goal of this paper is to identify the determinants of the risk premium on Brazilian government debt traded in the emerging markets bonds. The empirical evidence presented does not reject the hypotheses that fiscal solvency and the size of the public debt affect the risk premium as measured...

In this paper the Expectations Hypothesis (EH) is tested using cointegration techniques, for maturities ranging from 1-month to 12-months, for the Brazilian market. We found evidence suggesting that for the period 1995-2001, the cointegration implication generally seems to hold. We also found...