Results 51 to 60 of about 7,269 (107)
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
core
Mudanças de Regime no Câmbio Brasileiro [PDF]
In this paper the eight variants of the Brazilian exchange rate are analyzed. After putting the evolution of this indicator into historical context, univariate analysis of the level and the volatility of the series is implemented.
Carlos Hamilton V. Araújo +1 more
core
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
core
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
core
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
core
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
Is Inflation Persistence Over? [PDF]
We analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies.
Fernando N. de Oliveira, Myrian Petrassi
core
The Stability-Concentration Relationship in the Brazilian Banking System [PDF]
In this article the relation between non-performing loans (NPL) of the Brazilian banking system and macroeconomic factors, systemic risk and banking concentration is empirically tested.
Benjamin Miranda Tabak +3 more
core
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
core
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
core