Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial [PDF]
This article evaluates ways of adapting the structure implemented by the Central Bank of Brasil to calculate capital requirements for market risk of fixed interest rates to transactions involving the USD interest rate in Brazil ( cupom cambial ). Changes
Alan Cosme Rodrigues da Silva +2 more
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Volatilidade Cambial e o Crescimento Económico: Um Estudo para os Países da OCDE
Dissertação de Mestrado em Contabilidade e Finanças apresentada à Faculdade de ...
openaire +1 more source
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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Forecasting Bonds Yields in the Brazilian Fixed Income Market [PDF]
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 ...
Benjamin M. Tabak, Jose Vicente
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Estimating Ibovespa's Volatility [PDF]
This paper estimates the conditional volatility of the main Brazilian stock market index (Ibovespa), using traditional models of the GARCH family and models of stochastic volatility (SV).
Souza-Sobrinho, Nelson
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The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options [PDF]
Although not explicitly reported, option traders on the Bovespa exchange pay an implicit bid-ask spread on each trade. Reported transaction prices that comprise the databases previously used to study the Brazilian options markets do not reflect actual ...
Claudio Henrique da Silveira Barbedo +1 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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Os impactos da volatilidade cambial nas exportações brasileiras de soja para a China [PDF]
, 2018 openaire +1 more source
A mudança do regime cambial português: Um balanço 15 anos depois de Maastricht [PDF]
A mudança de regime para a estabilidade e convertibilidade cambiais deve ser enquadrada numa mudança de regime económico e financeiro. A parte monetária foi feita por pressão europeia directa mas não se pode mudar a constituição fiscal a partir de fora ...
Macedo, Jorge Braga de
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Uma avaliação crítica da proposta de conversibilidade plena do real [PDF]
This paper aims at discussing critically Pérsio Arida’s proposal of adopting currency convertibility in Brazil. Arida (2003a, 2003b, 2004) points out that currency convertibility would make for lower interest rates in Brazil, as well as for lower ...
Fernando Ferrari-Filho +4 more
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