Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998) [PDF]
We apply duration (survival) models with exponential hazard and exponential piecewise-constant hazard functions to study the determinants of bank failure over the period 1994 to 1998 in Brazil. The models deal empirically with left censoring in the data.
Adriana Soares Sales +1 more
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O prêmio de risco da taxa de câmbio no Brasil [PDF]
A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco.
Gino A. Olivares +1 more
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The Natural Rate of Unemployment in Brazil, Chile, Colombia and Venezuela: some results and challenges [PDF]
This paper summarises the research results obtained by the group of central banks (Brazil, Chile, Colombia and Venezuela) that joined the research program on the Natural Rate of Unemployment – under the coordination of the Central Bank of Brazil – within
Tito Nícias Teixeira da Silva Filho
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Determinants of Bank Efficiency: the case of Brazil [PDF]
This paper analyzes the efficiency of the Brazilian banking sector over the post-privatization period of 2000-2007. We employ a Bayesian stochastic frontier approach, which provides exact efficiency estimates and confidence intervals and thus, allows an ...
Benjamin M. Tabak, Patricia Tecles
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Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves [PDF]
We estimate an identified VAR (SVAR) with contemporaneous restrictions derived from a model of the market for bank reserves, which allows us to disentangle monetary policy shocks from demand shocks for reserves in Brazil.
Adriana Soares Sales +1 more
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Cost of capital and the new regulation of telecommunications services [PDF]
An adequate rate of return on capital yielded by the regulated firms is a central issue related to the new cost-based approach adopted by the Brazilian Telecommunication Regulatory Agency (Anatel).
Bragança, Gabriel +2 more
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The role of macroeconomic variables in sovereign risk [PDF]
We use a dynamic term structure model with default and observable factors to study the interaction between macro variables and the Brazilian sovereign yield curve.
José Valentim Vicente +1 more
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Balance Sheet Effects in Currency Crises: Evidence from Brazil [PDF]
"Third-generation currency crises models" argue that capital losses from exchange-rate depreciation propagate the crises to the productive sector. To test these models, we use a firm-level dataset that allows us to measure currency mismatches around the ...
Marcio M. Janot +2 more
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Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks [PDF]
This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks’ total assets and liabilities.
Benjamin M. Tabak +2 more
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A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector [PDF]
This paper proposes a model to conduct macro stress test of credit risk for the banking system based on scenario analysis. We employ an original bank level data set with disaggregated credit loans for business and consumer loans.
Benjamin M. Tabak +2 more
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