Forecasting Interest Rates: an application for Brazil [PDF]
Understanding the links between long and short-term interest rates is crucial for monetary policy makers, since Central Banks decide and set short-term interest rates in order to affect indirectly long-term interest rates, which affects aggregate ...
Benjamin M. Tabak +2 more
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A convergência para a União Económica e Monetária: objectivo nacional ou constrangimento externo? [PDF]
In Portugal, as in most other European Union (EU) countries, the challenge of Economic and Monetary Union (EMU) has worked as a mechanism for economic stabilisation.
Francisco Torres
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Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil [PDF]
This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market.
Benjamin M. Tabak +2 more
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Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling [PDF]
Monte Carlo simulation is implemented in some of the main models for estimating portfolio credit risk, such as CreditMetrics, developed by Gupton, Finger and Bhatia (1997). As in any Monte Carlo application, credit risk simulation according to this model
Eduardo Saliby +1 more
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A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks [PDF]
This article presents an empirical application illustrating the use of a nonparametric frontier model relying on a probabilistic definition of the production frontier.
Geraldo da Silva e Souza +1 more
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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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O efeito inflacionário da política cambial na Argentina, Brasil e Uruguai 1995-2002 [PDF]
, 2003 Passos, Adriano Domingo dos
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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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A tendência à sobreapreciação da taxa de câmbio [PDF]
In developing countries there is a tendency to the overvaluation of the exchange rate.It has two structural causes: the Dutch disease and the attraction that higher profit and interestrates usually prevailing in developing countries exert on foreign ...
Pereira, Luiz Carlos Bresser
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