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...

This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions. It also analyzes the crucial issue of selecting optimal block sizes when block bootstrap procedures are used, by applying the methods...

This paper investigates the use of high frequency data in the estimation of daily and intradaily volatility, in order to compute value at risk (VaR) forecasts for the IBOVESPA. GARCH models and deterministic methods for the filtering of seasonal patterns have been used in the computation of...

This paper studies the predictive ability of a variety of models in forecasting the yield curve for the Brazilian fixed income market. We compare affine term structure models with a variation of the Nelson-Siegel exponential framework developed by Diebold and Li (2006). Empirical results suggest...

The purpose of this paper is to estimate the equilibrium real interest rate for Brazil using different approaches, in order to incorporate all the available information on the topic. The methods used are: historical interest rates, structural models, a long-run growth model, and through the...

This work seeks to analyze empirically the coherence of the VaR and the Expected Shortfall by the definition of Artzner et al. (1997) at the Brazilian Stock Market (Bovespa), calculated with three methodologies: the historical simulation, the analytical approach with EWMA volatility from...

This paper analyses four methods of calculating capital requirements for coverage of market risk generated by exposure in stocks and their derivatives, except options. For simulation purposes, two theoretical portfolios were created with some assets that compose Ibovespa. The methods evaluated...

We present a DSGE model with heterogeneously informed agents and two investment opportunities – stocks and bonds – to study the interaction between monetary policy and asset prices. The information is both sticky, as in Mankiw e Reis (2002), and dispersed, as in Morris e Shin (2002). This...

Recent empirical analysis of interest rate markets documents that bond demand and supply directly affect yield curve movements and bond risk premium. Motivated by those findings we propose a parametric interest rate model that allows for segmentation and local shocks in the term structure. We...

This paper proposes a working definition for “financial stability” related to systemic risk. Systemic risk is then measured as the probability of disruption of financial services taking into account its time and cross-sectional dimensions and several risk factors. The paper discusses the...