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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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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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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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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Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features [PDF]
An important aspect of empirical research based on the vector autoregressive (VAR) model is the choice of the lag order, since all inference in the VAR model depends on the correct model specification.
Carlos Enrique Carrasco Gutiérrez +2 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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Do Inflation-linked Bonds Contain Information about Future Inflation? [PDF]
There is a widespread belief that inflation-linked bonds are a direct source of information about inflation expectations. In this paper we address this issue by analyzing the relationship between break-even inflation (the difference between nominal and ...
José Valentim Machado Vicente +1 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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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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Does Curvature Enhance Forecasting? [PDF]
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rate means. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor captures a second type of ...
André Leite +3 more
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