Financial Instability and Credit Constraint: Evidence from the Cost of Bank Financing [PDF]
This paper examines the relation between the degree of firms’ financial constraint and the observed rise in the cost of bank financing during the global financial crisis of 2008.
Bruno S. Martins
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Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap [PDF]
Many models were used to identify the factors affecting the demand for overnight funds by commercial banks. Theses models overcome overdispersion problems caused by excess of zeros found in the dataset. Generalized Linear Latent and Mixed Models (GLLAMM)
Marta Areosa
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Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas [PDF]
One of the main variables observed in the performance evaluation of banking credit is the index that measures the default rate. Different approaches are used, or were proposed, to perform the calculation of this index. However, the difficulty of defining
Clodoaldo Aparecido Annibal
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Estimation of Economic Capital Concerning Operational Risk in a Brazilian Banking Industry Case [PDF]
The advance of globalization of the international financial market has implied a more complex portfolio risk for the banks. Furthermore, several points such as the growth of e-banking and the increase in accounting irregularities call attention to ...
Délio José Cordeiro Galvão +2 more
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Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability [PDF]
This paper compares different versions of the multiple variance ratio test based on bootstrap techniques for the construction of empirical distributions.
Benjamin Miranda Tabak +1 more
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Pessimistic Foreign Investors and Turmoil in Emerging Markets: the case of Brazil in 2002 [PDF]
Using survey data, we document that foreign-owned institutions became more pessimistic than locally owned institutions about the strength of the Brazilian currency around the 2002 presidential elections.
Emanuel Kohlscheen, Sandro C. Andrade
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The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default [PDF]
Using data drawn from the Brazilian Central Bank Credit Information System, this paper evaluates the impact of the use of collateral on the probability of default and, consequently, on capital requirement levels in the Brazilian financial system ...
Alan Cosme Rodrigues da Silva +4 more
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Behavior and Effects of Equity Foreign Investors on Emerging Markets [PDF]
This paper analyzes empirically the behavior of foreign investors on emerging equity markets in a cross-country setting, including 14 emerging markets from the year 2000 to 2005. We could find little evidence that these investors have brought problems to
Barbara Alemanni +1 more
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Identifying Volatility Risk Premium from Fixed Income Asian Options [PDF]
We provide approximation formulas for at-the-money asian option prices to extract volatility risk premium from a joint dataset of bonds and option prices. The dynamic model generates stochastic volatility and a time-varying volatility risk premium, which
Caio Ibsen R. Almeida +1 more
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Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions [PDF]
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 ...
Benjamin Miranda Tabak +1 more
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