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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Characterizing the Brazilian Term Structure of Interest Rates [PDF]
This paper studies the Brazilian term structure of interest rates and characterizes how the term premia has changed over time. We employ a Kalman filter approach, which is extended to take into account regime switches and overlapping forecasts errors ...
Benjamin M. Tabak, Osmani T. Guillen
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Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil [PDF]
This paper presents measures of long-range dependence in daily exchange rates of the Brazilian Real against the US Dollar, taken from 1995 to 2004 employing the classical R/S analysis with a rolling sample.
Benjamin Miranda Tabak +2 more
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CÂMBIO, INFLAÇÃO E JUROS NA TRANSIÇÃO DO REGIME CAMBIAL BRASILEIRO: UMA ANÁLISE DE VETORES AUTO-REGRESSIVOS E CAUSALIDADE [PDF]
The present work examines the exchange regime transition in Brazil (1994 to 2003) based on the hypothesis of the existence of changes in the interaction of exchange rate, interest rates and inflation.
Carlos de Almeida Cardoso +1 more
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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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Volatilidade Cambial e Efeito nos Mercados, no Contexto da Crise Soberana Europeia
, 2014 Durante o desenrolar da crise da dívida soberana da área do euro, muito se falou em aumentos da dívida pública, endividamento excessivo, pacotes de ajuda externa, cortes para recuperar a economia dos países mais afetados pela crise e possíveis saídas do euro.
openaire +1 more source
Evaluating Asset Pricing Models in a Fama-French Framework [PDF]
In this work we propose a methodology to compare different stochastic discount factor (SDF) proxies based on relevant market information. The starting point is the work of Fama and French, which evidenced that the asset returns of the U.S.
Carlos Enrique Carrasco Gutierrez +1 more
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MECANISMOS NÃO-LINEARES DE REPASSE CAMBIAL: UM MODELO DE CURVA DE PHILLIPS COM THRESHOLD PARA O BRASIL [PDF]
This paper investigates the presence of non-linear mechanisms of the pass- through from exchange rate to inflation in Brazil. In particular, it estimates a Phillips curve with a threshold for the passthrough.
André Minella, Arnildo da Silva Correa
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A ECONOMIA POLÍTICA DA CONVERSIBILIDADE DO REAL: UMA CRÍTICA A ARIDA [PDF]
This paper aims at discussing critically Pérsio Arida's proposal of adopting full currency convertibility in Brazil. Arida (2003a, 2003b, 2004) points out that currency convertibility would make for lower domestic interest rates in Brazil, as well as for
Fernando Ferrari-Filho +4 more
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The Recent Brazilian Disinflation Process and Costs [PDF]
This work revisits the recent disinflation process in Brazil and finds that solely the agents' perception that a policy rupture could occur is capable of triggering a change in the way firms and households used to behave in their pricing and consuming ...
Alexandre A. Tombini +1 more
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