The Brazilian position on the issue of private sector participation in the efforts to forestall and resolve emerging markets crises is that there should be an approach of contacting and convincing a large number, but not the totality, of private creditors. They should be convinced that the...

In this article the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk and banking concentration is empirically tested. While evaluating this relation, we use a dynamic specification with fixed effects, using a panel data...

Brazil has experienced crucial changes in its inflation process since the adoption of inflation targeting in mid 1999. This article addresses changes in the analytical framework employed to track the inflation dynamics, specifically the relevance of an explicit target for inflation. A...

The paper studies the relationship between exchange rate depreciations and inflation using a sample of 71 countries in the period 1980-1998. The main determinants of the extent of inflationary pass-through of the depreciations (appreciations) are the cyclical component of output, the extent of...

We propose an alternative backtest to evaluate the performance of Value-at-Risk (VaR) models. The presented methodology allows us to directly test the performance of many competing VaR models, as well as identify periods of an increased risk exposure based on a quantile regression model (Koenker...

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)....