Banco Central do Brasil

The Working Papers should not be reported as representing the views of the Banco Central do Brasil. The views expressed in the papers are those of the author(s) and do not necessarily reflect those of the Banco Central.

2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | 2000

2010 top
201.	Efeitos da Globalização na Inflação Brasileira (Portuguese) Rafael Santos and Márcia S. Leon January/2010 Abstract Text
2009 top
200.	Evolution of Bank Efficiency in Brazil: A DEA Approach Roberta B. Staub, Geraldo Souza and Benjamin M. Tabak December/2009 Abstract Text * Published in Evolution of bank efficiency in Brazil: A DEA approach, European Journal of Operational Research, Volume 202, Issue 1, 1 April 2010, Pages 204-213.
199.	Delegated Portfolio Management and Risk Taking Behavior José Luiz Barros Fernandes, Juan Ignacio Peña and Benjamin Miranda Tabak December/2009 Abstract Text
198.	*Impacto dos Swaps* Cambiais na Curva de Cupom Cambial: uma análise segundo a regressão de componentes principais** (Portuguese) Alessandra Pasqualina Viola, Margarida Sarmiento Gutierrez, Octávio Bessada Lion and Cláudio Henrique Barbedo November/2009 Abstract Text
197.	Forecasting the Yield Curve for Brazil Daniel O. Cajueiro, Jose A. Divino and Benjamin M. Tabak November/2009 Abstract Text
196.	The role of macroeconomic variables in sovereign risk Marcos S. Matsumura and José Valentim Vicente October/2009 Abstract Text
195.	From Default Rates to Default Matrices: a complete measurement of Brazilian banks' consumer credit delinquency Ricardo Schechtman October/2009 Abstract Text
194.	Testes de contágio entre sistemas bancários - A crise do subprime (Portuguese) Benjamin M. Tabak and Manuela M. de Souza September/2009 Abstract Text
193.	Loss Given Default: um estudo sobre perdas em operações prefixadas no mercado brasileiro (Portuguese) Antonio Carlos Magalhães da Silva, Jaqueline Terra Moura Marins and Myrian Beatriz Eiras das Neves September/2009 Abstract Text
192.	Inadimplência do Setor Bancário Brasileiro: uma avaliação de suas medidas (Portuguese) Clodoaldo Aparecido Annibal September/2009 Abstract Text
191.	Concentração e Inadimplência nas Carteiras de Empréstimos dos Bancos Brasileiros (Portuguese) Patricia L. Tecles, Benjamin M. Tabak and Roberta B. Staub September/2009 Abstract Text
190.	Concentração Bancária, Lucratividade e Risco Sistêmico: uma abordagem de Contágio Indireto (Portuguese) Bruno Silva Martins and Leonardo S. Alencar September/2009 Abstract Text
189.	Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks Marcos Souto, Benjamin M. Tabak and Francisco Vazquez July/2009 Abstract Text
188.	Pricing Asian Interest Rate Options with a Three-Factor HJM Model Claudio Henrique da Silveira Barbedo, José Valentim Machado Vicente and Octávio Manuel Bessada Lion June/2009 Abstract Text
187.	The Influence of Collateral on Capital Requirements in the Brazilian Financial System: an approach through historical average and logistic regression on probability of default Alan Cosme Rodrigues da Silva, Antônio Carlos Magalhães da Silva, Jaqueline Terra Moura Marins, Myrian Beatriz Eiras da Neves and Giovani Antonio Silva Brito June/2009 Abstract Text
186.	Previsão da Curva de Juros: um modelo estatístico com variáveis macroeconômicas (Portuguese) André Luís Leite, Romeu Braz Pereira Gomes Filho and José Valentim Machado Vicente May/2009 Abstract Text
185.	Market Forecasts in Brazil: performance and determinants Fabia A. de Carvalho and André Minella April/2009 Abstract Text
184.	Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization José Luiz Barros Fernandes, Juan Ignacio Peña and Benjamin Miranda Tabak April/2009 Abstract Text
183.	Ganhos da Globalização do Capital Acionário em Crises Cambiais (Portuguese) Marcio Janot and Walter Novaes April/2009 Abstract Text
182.	Avaliação de Opções Americanas com Barreiras Monitoradas de Forma Discreta (Portuguese) Giuliano Carrozza Uzêda Iorio de Souza and Carlos Patrício Samanez April/2009 Abstract Text
181.	Monetary Channels in Brazil through the Lens of a Semi-Structural Model André Minella and Nelson F. Souza-Sobrinho April/2009 Abstract Text
2008 top
180.	A Class of Incomplete and Ambiguity Averse Preferences Leandro Nascimento and Gil Riella December/2008 Abstract Text
179.	Are Interest Rate Options Important for the Assessment of Interest Rate Risk? Caio Almeida and José Vicente December/2008 Abstract Text * Published in Are Interest Rate Options Important for the Assessment of Interest Rate Risk? Journal of Banking and Finance, Vol. 33, 2009, 1376-1387.
178.	An Econometric Contribution to the Intertemporal Approach of the Current Account Wagner Piazza Gaglianone and João Victor Issler December/2008 Abstract Text
177.	Preference for Flexibility and Bayesian Updating Gil Riella December/2008 Abstract Text
176.	Fiat Money and the Value of Binding Portfolio Constraints Mário R. Páscoa, Myrian Petrassi and Juan Pablo Torres-Martínez December/2008 Abstract Text
175.	Evaluating Asset Pricing Models in a Fama-French Framework Carlos Enrique Carrasco Gutierrez and Wagner Piazza Gaglianone December/2008 Abstract Text
174.	Foreign Exchange Market Volatility Information: An Investigation of Real-Dollar Exchange Rate Frederico Pechir Gomes, Marcelo Yoshio Takami and Vinicius Ratton Brandi August/2008 Abstract Text
173.	Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions Eduardo José Araújo Lima and Benjamin Miranda Tabak August/2008 Abstract Text
172.	Combining Hodrick-Prescott Filtering with a Production Function Approach to Estimate Output Gap Marta Areosa August/2008 Abstract Text
171.	Modelos para a Utilização das Operações de Redesconto pelos Bancos com Carteira Comercial no Brasil (Portuguese) Sérgio Mikio Koyama and Márcio Issao Nakane August/2008 Abstract Text
170.	Política de Fechamento de Bancos com Regulador Não-Benevolente: Resumo e Aplicação (Portuguese) Adriana Soares Sales July/2008 Abstract Text
169.	Mensuração do Risco Sistêmico no Setor Bancário com Variáveis Contábeis e Econômicas (Portuguese) Lucio Rodrigues Capelletto, Eliseu Martins and Luiz João Corrar July/2008 Abstract Text
168.	An Integrated Model for Liquidity Management and Short-Term Asset Allocation in Commercial Banks Wenersamy Ramos de Alcântara July/2008 Abstract Text
167.	O Poder Discriminante das Operações de Crédito das Instituições Financeiras Brasileiras (Portuguese) Clodoaldo Aparecido Annibal July/2008 Abstract Text
166.	Testing Hyperinflation Theories Using the Inflation Tax Curve: A Case Study Fernando de Holanda Barbosa and Tito Nícias Teixeira da Silva Filho July/2008 Abstract Text
165.	*Avaliação de Opções de Troca e Opções de Spread* Européias e Americanas** (Portuguese) Giuliano Carrozza Uzêda Iorio de Souza, Carlos Patrício Samanez and Gustavo Santos Raposo July/2008 Abstract Text
164.	Foreign Banks' Entry and Departure: The Recent Brazilian Experience (1996-2006) Pedro Fachada June/2008 Abstract Text
163.	Searching for the Natural Rate of Unemployment in a Large Relative Price Shocks' Economy: the Brazilian Case Tito Nícias Teixeira da Silva Filho May/2008 Abstract Text
162.	Balance Sheet Effects in Currency Crises: Evidence from Brazil Marcio M. Janot, Márcio G. P. Garcia and Walter Novaes April/2008 Abstract Text
161.	Evaluating Value-at-Risk Models via Quantile Regressions Wagner P. Gaglianone, Luiz Renato Lima and Oliver Linton February/2008 Abstract Text
160.	The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden? Fabia A. de Carvalho and Cyntia F. Azevedo February/2008 Abstract Text * Published in Journal of Applied Economics, Vol. XI, 2008, 61-90.
159.	Behavior and Effects of Equity Foreign Investors on Emerging Markets Barbara Alemanni and José Renato Haas Ornelas February/2008 Abstract Text
158.	Characterizing the Brazilian Term Structure of Interest Rates Osmani T. Guillen and Benjamin M. Tabak February/2008 Abstract Text * Published in International Journal of Monetary Economics and Finance, Vol. 2, No. 2 (January 2009), 103-114.
2007 top
157.	Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil Tito Nícias Teixeira da Silva Filho December/2007 Abstract Text
156.	Escolha do Banco e Demanda por Empréstimos: um Modelo de Decisão em Duas Etapas Aplicado para o Brasil (Portuguese) Sérgio Mikio Koyama and Márcio I. Nakane December/2007 Abstract Text
155.	Does Curvature Enhance Forecasting? Caio Almeida, Romeu Gomes, André Leite and José Vicente December/2007 Abstract Text
154.	Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves Adriana Soares Sales and Maria Tannuri-Pianto December/2007 Abstract Text
153.	Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro (Portuguese) Jaqueline Terra Moura Marins December/2007 Abstract Text
152.	Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation Fernando N. de Oliveira and Walter Novaes December/2007 Abstract Text
151.	Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability Eduardo José Araújo Lima and Benjamin Miranda Tabak November/2007 Abstract Text
150.	A Probabilistic Approach for Assessing the Significance of Contextual Variables in Nonparametric Frontier Models: an Application for Brazilian Banks Roberta Blass Staub and Geraldo da Silva e Souza October/2007 Abstract Text
149.	Joint Validation of Credit Rating PDs under Default Correlation Ricardo Schechtman October/2007 Abstract Text
148.	Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial (Portuguese) Felipe Pinheiro, Caio Almeida and José Vicente October/2007 Abstract Text
147.	Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998) Adriana Soares Sales and Maria Eduarda Tannuri-Pianto October/2007 Abstract Text
146.	Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial (Portuguese) Caio Almeida, Romeu Gomes, André Leite and José Vicente October/2007 Abstract Text
145.	The Stability-Concentration Relationship in the Brazilian Banking System Benjamin Miranda Tabak, Solange Maria Guerra, Eduardo José Araújo Lima and Eui Jung Chang October/2007 Abstract Text * Published in Journal of International Financial Markets, Institutions and Money, Volume 18, Issue 4, October 2008, Pages 388-397
144.	The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options Claudio Henrique da Silveira Barbedo and Eduardo Facó Lemgruber October/2007 Abstract Text
143.	Price Rigidity in Brazil: Evidence from CPI Micro Data Solange Gouvea September/2007 Abstract Text
142.	Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o Expected Shortfall (Portuguese) Alan Cosme Rodrigues da Silva, Eduardo Facó Lemgruber, José Alberto Rebello Baranowski and Renato da Silva Carvalho August/2007 Abstract Text
141.	Forecasting Bonds Yields in the Brazilian Fixed Income Market Jose Vicente and Benjamin M. Tabak August/2007 Abstract Text
140.	Inflation Targeting, Credibility and Confidence Crises Aloisio Araujo and Rafael Santos August/2007 Abstract Text
139.	Selection of Optimal Lag Length in Cointegrated VAR Models with Weak Form of Common Cyclical Features Carlos Enrique Carrasco Gutiérrez, Reinaldo Castro Souza and Osmani Teixeira de Carvalho Guillén June/2007 Abstract Text
138.	Forecasting Exchange Rate Density using Parametric Models: The Case of Brazil* Marcos M. Abe, Eui J. Chang and Benjamin M. Tabak May/2007 Abstract Text * Published in Revista Brasileira de Finanças, Vol. 5, no. 1, pp. 29-39 (2007)
137.	Monetary Policy Design under Competing Models of Inflation Persistence Solange Gouvea and Abhijit Sen Gupta May/2007 Abstract Text
136.	Identifying Volatility Risk Premium from Fixed Income Asian Options Caio Ibsen R. Almeida and José Valentim M. Vicente May/2007 Abstract Text
135.	Evaluation of Default Risk for The Brazilian Banking Sector Marcelo Y. Takami and Benjamin M. Tabak May/2007 Abstract Text
134.	Amostragem Descritiva no Apreçamento de Opções Européias através de Simulação Monte Carlo: o Efeito da Dimensionalidade e da Probabilidade de Exercício no Ganho de Precisão (Portuguese) Eduardo Saliby, Sergio Luiz Medeiros Proença de Gouvêa and Jaqueline Terra Moura Marins April/2007 Abstract Text
133.	A New Proposal for Collection and Generation of Information on Financial Institutions' Risk: the case of derivatives* Gilneu F. A. Vivan and Benjamin M. Tabak March/2007 Abstract Text * Published in Journal of Derivatives & Hedge Funds (2007) 13, 147–169. doi:10.1057/palgrave.jdhf.1850061
132.	Credit Risk Monte Carlos Simulation Using Simplified Creditmetrics' Model: the joint use of importance sampling and descriptive sampling Jaqueline Terra Moura Marins and Eduardo Saliby March/2007 Abstract Text
131.	Long-Range Dependence in Exchange Rates: the case of the European Monetary System Sergio Rubens Stancato de Souza, Benjamin M. Tabak and Daniel O. Cajueiro January/2007 Abstract Text * Published in International Journal of Theoretical and Applied Finance, Vol. 11, No. 2 (March 2008), 199-223.
130.	The role of banks in the Brazilian Interbank Market: Does bank type matter? Daniel O. Cajueiro and Benjamin M. Tabak January/2007 Abstract Text
129.	Brazil: taming inflation expectations Afonso S. Bevilaqua, Mário Mesquita and André Minella January/2007 Abstract Text * Published in in Bank for International Settlements (ed.), “Transmission Mechanisms for Monetary Policy in Emerging Market Economies”, BIS Papers no. 35, Jan. 2008, pp. 139-158, and in Mello, Luiz de (ed.), “Monetary Policies and Inflation Targeting in Emerging Economies”, OECD, 2008, pp. 43-67
2006 top
128.	Term Structure Movements Implicit in Option Prices Caio Ibsen R. Almeida and José Valentim M. Vicente December/2006 Abstract Text
127.	Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil (Portuguese) Ricardo Schechtman December/2006 Abstract Text
126.	Risk Premium: Insights Over The Threshold José L. B. Fernandes, Augusto Hasman and Juan Ignacio Peña December/2006 Abstract Text
125.	Herding Behavior by Equity Foreign Investors on Emerging Markets Barbara Alemanni and José Renato Haas Ornelas December/2006 Abstract Text
124.	The Dynamic Relationship between Stock Prices and Exchange Rates: evidence for Brazil* Benjamin M. Tabak November/2006 Abstract Text * Published in International Journal of Theoretical and Applied Finance, Vol. 9, no. 8, pp. 1377-1396 (2006)
123.	A Neoclassical Analysis of the Brazilian "Lost-Decades" Flávia Mourão Graminho November/2006 Abstract Text
122.	Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips curve model with threshold for Brazil Arnildo da Silva Correa and André Minella November/2006 Abstract Text
121.	The Role of Consumer's Risk Aversion on Price Rigidity A. Lago Alves and Mirta N. S. Bugarin November/2006 Abstract Text
120.	Forecasting Interest Rates: an application for Brazil Eduardo J. A. Lima, Felipe Luduvice and Benjamin M. Tabak October/2006 Abstract Text
119.	A Central de Risco de Crédito no Brasil: uma análise de utilidade de informação (Portuguese) Ricardo Schechtman October/2006 Abstract Text * Published in Journal of Financial Issues, Vol. II, No. 2, pp. 55-75, (2005)
118.	Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint Aloísio P. Araújo and José Valentim M. Vicente October/2006 Abstract Text
117.	An Analysis of Off-Site Supervision of Banks' Profitability, Risk and Capital Adequacy: a portfolio simulation approach applied to brazilian banks Theodore M. Barnhill, Marcos R. Souto and Benjamin M. Tabak September/2006 Abstract Text
116.	Out-Of-The_Money Monte Carlo Simulation Option Pricing: the join use of Importance Sampling and Descriptive Sampling Jaqueline Terra Moura Marins, Eduardo Saliby and Joséte Florencio do Santos September/2006 Abstract Text
115.	Myopic Loss Aversion and House-Money Effect Overseas: an experimental approach José L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak September/2006 Abstract Text
114.	The Inequality Channel of Monetary Transmission Marta Areosa and Waldyr Areosa August/2006 Abstract Text
113.	Investigação da Memória de Longo Prazo na Taxa de Câmbio no Brasil* (Portuguese) Sergio Rubens Stancato de Souza, Benjamin Miranda Tabak and Daniel O. Cajueiro August/2006 Abstract Text * Published in Revista Brasileira de Economia, Vol. 60, no. 2 (Apr-Jul 2006)
112.	Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets Angelo Marsiglia Fasolo July/2006 Abstract Text
111.	Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial (Portuguese) Alan Cosme Rodrigues da Silva, João Maurício de Souza Moreira and Myriam Beatriz Eiras das Neves July/2006 Abstract Text
110.	Fatores de Risco e o Spread Bancário no Brasil (Portuguese) Fernando G. Bignotto and Eduardo Augusto de Souza Rodrigues July/2006 Abstract Text
109.	The Recent Brazilian Disinflation Process and Costs Alexandre A. Tombini and Sergio A. Lago Alves June/2006 Abstract Text
108.	O Efeito da Consignação em Folha nas Taxas de Juros dos Empréstimos Pessoais (Portuguese) Eduardo A. S. Rodrigues, Victorio Chu, Leonardo S. Alencar and Tony Takeda June/2006 Abstract Text
107.	Demand for Bank Services and Market Power in Brazilian Banking Márcio I. Nakane, Leonardo S. Alencar and Fabio Kanczuk June/2006 Abstract Text
106.	Testing Nonlinearities Between Brazilian Exchange Rate and Inflation Volatilities Christiane R. Albuquerque and Marcelo S. Portugal May/2006 Abstract Text
105.	Representing Roomates' Preferences with Symmetric Utilities José Álvaro Rodrigues Neto April/2006 Abstract Text
104.	Extração de Informação de Opções Cambiais no Brasil (Portuguese) Eui Jung Chang and Benjamin Miranda Tabak April/2006 Abstract Text
103.	The Effect of Adverse Supply Shocks on Monetary Policy and Output Maria da Glória D. S. Araújo, Mirta Bugarin, Marcelo Kfoury Muinhos and Jose Ricardo C. Silva April/2006 Abstract Text
102.	Judicial Risk and Credit Market Performance: Micro Evidence from Brazil Payroll Loans Ana Carla A. Costa and João M. P. de Mello April/2006 Abstract Text
101.	Comparing equilibrium real interest rates: different approaches to measure Brazilian rates Marcelo Kfoury Muinhos and Márcio I. Nakane March/2006 Abstract Text
2005 top
100.	Targets and Inflation Dynamics Sergio A. L. Alves and Waldyr D. Areosa October/2005 Abstract Text
99.	Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro (Portuguese) Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo and Eduardo Facó Lemgruber September/2005 Abstract Text
98.	Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies Helio Mori and Marcelo Kfoury Muinhos August/2005 Abstract Text
97.	Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching Ryan A. Compton and Jose Ricardo da Costa e Silva August/2005 Abstract Text
96.	O que é Estratégia: uma Abordagem Multiparadigmática para a Disciplina (Portuguese) Anthero de Moraes Meirelles August/2005 Abstract Text
95.	Comment on Market Discipline and Monetary Policy by Carl Walsh Maurício S. Bugarin and Fabia A. de Carvalho April/2005 Abstract Text * Published in Oxford Economic Papers-New Series. Oxford Economic Press, Vol. 57, no. 4, pp. 732-739 (2005)
94.	Simulação Histórica Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares (Portuguese) Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo and Eduardo Facó Lemgruber April/2005 Abstract Text
93.	Avaliação de Métodos de Cálculo de Exigência de Capital para Risco Cambial* (Portuguese) Claudio H. da S. Barbedo, Gustavo S. Araújo, João Maurício S. Moreira and Ricardo S. Maia Clemente April/2005 Abstract Text * Published in Revista Brasileira de Finanças, Vol. 3, no. 2 (Dec 2005)
92.	Steady State Analysis of an Open Economy General Equilibrium Model for Brazil Mirta Noemí Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva and Marcelo Kfoury Muinhos April/2005 Abstract Text
2004 top
91.	Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis Ricardo Schechtman, Valéria Salomão Garcia, Sergio Mikio Koyama and Guilherme Cronemberger Parente December/2004 Abstract Text
90.	Bank Privatization and Productivity: Evidence for Brazil Márcio I. Nakane and Daniela B. Weintraub December/2004 Abstract Text * Published, with revisions, in Journal of Banking and Finance, Vol. 29, nos. 8-9, pp. 2259-2289 (Aug-Sep 2005)
89.	O Mercado de Hedge Cambial no Brasil: Reação das Instituições Financeiras a Intervenções do Banco Central (Portuguese) Fernando N. de Oliveira December/2004 Abstract Text
88.	Ciclos Internacionais de Negócios: Uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos (Portuguese) Arnildo da Silva Correa and Ronald Otto Hillbrecht December/2004 Abstract Text
87.	Mercado de Crédito: Uma Análise Econométrica dos Volumes de Crédito Total e Habitacional no Brasil (Portuguese) Ana Carla Abrão Costa December/2004 Abstract Text
86.	Identificação do Fator Estocástico de Descontos e Algumas Implicações Sobre Testes de Modelos de Consumo (Portuguese) Fabio Araújo and João Victor Issler May/2004 Abstract Text
85.	Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002 André Soares Loureiro and Fernando de Holanda Barbosa May/2004 Abstract Text
84.	Speculative Attacks on Debts and Optimum Currency Area: A Welfare Analysis Aloisio Araujo and Marcia Leon May/2004 Abstract Text
83.	Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries Thomas Y. Wu May/2004 Abstract Text
82.	Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro (Portuguese) Claudio Henrique da Silveira Barbedo and Gustavo Silva Araújo March/2004 Abstract Text
81.	Bank Competition, Agency Costs and the Performance of the Monetary Policy Leonardo Soriano de Alencar and Márcio I. Nakane January/2004 Abstract Text
2003 top
80.	Diferenças e Semelhanças entre Países da América Latina: Uma Análise de Markov Switching para os Ciclos Econômicos de Brasil e Argentina (Portuguese) Arnildo da Silva Correa October/2003 Abstract Text
79.	Inclusão do Decaimento Temporal na Metodologia Delta-Gama para o Cálculo do VaR de Carteiras Compradas em Opções no Brasil* (Portuguese) Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo and Eduardo Facó Lemgruber October/2003 Abstract Text * Published in Revista de Economia e Administração do IBMEC, Vol. 2, no. 3, (Jul-Sep 2003)
78.	Contornando os Pressupostos de Black & Scholes: Aplicação do Modelo de Precificação de Opções de Duan no Mercado Brasileiro (Portuguese) Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo, Antonio Carlos Figueiredo and Eduardo Facó Lemgruber October/2003 Abstract Text
77.	Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility* André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos July/2003 Abstract Text * Published in Journal of International Money and Finance, Vol. 22, no. 7, pp. 1015-1040 (Dec 2003) ** Shorter and updated version of Working Paper no. 53
76.	Inflation Targeting in Emerging Market Economies* Arminio Fraga, Ilan Goldfajn and André Minella June/2003 Abstract Text * Published in Gertler, Mark, and Kenneth Rogoff (eds.), NBER Macroeconomics Annual 2003, Vol. 18, Cambridge, MA, MIT Press, pp. 365-400
75.	Brazil’s Financial System: Resilience to Shocks, no Currency Substitution, but Struggling to Promote Growth Ilan Goldfajn, Katherine Hennings and Hélio Mori June/2003 Abstract Text
74.	Aplicação do Modelo de Black, Derman & Toy à Precificação de Opções Sobre Títulos de Renda Fixa (Portuguese) Octavio Manuel Bessada Lion, Carlos Alberto Nunes Cosenza and César das Neves May/2003 Abstract Text
73.	Análise de componentes principais de dados funcionais - uma aplicação às estruturas a termo de taxas de juros (Portuguese) Getúlio Borges da Silveira e Octavio Bessada May/2003 Abstract Text
72.	O Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras* (Portuguese) Ricardo D. Brito, Angelo José Mont’Alverne Duarte and Osmani Teixeira de Carvalho Guillén May/2003 Abstract Text * Published in Revista de Econometria (Brazilian Review of Econometrics), Vol. 24, no. 1 (May 2004), title Overreaction of yield spreads and movements of Brazilian interest rates.
71.	On Shadow-Prices of Banks in Real-Time Gross Settlement Systems Rodrigo Andrés de Souza Peñaloza April/2003 Abstract Text
70.	Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates* Benjamin Miranda Tabak February/2003 Abstract Text * A short version of this paper was published in Journal of Policy Modeling, Volume 26, Issue 3, April 2004, Pages 283-287
69.	r-filters: a Hodrick-Prescott Filter Generalization Fabio Araujo, Marta Baltar Moreira Areosa and José Alvaro Rodrigues Neto February/2003 Abstract Text
68.	Real Balances in the Utility Function: Evidence for Brazil Leonardo Soriano de Alencar and Márcio I. Nakane February/2003 Abstract Text
67.	Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil* (Portuguese) Gustavo S. Araújo, João Maurício S. Moreira and Ricardo S. Maia Clemente February/2003 Abstract Text * Published in RAC - Revista de Administração Contemporânea, Vol. 9, no. 2 (Apr-Jun 2005)
66.	A Taxa de Juros de Equilíbrio: uma Abordagem Múltipla (Portuguese) Pedro Calhman de Miranda and Marcelo Kfoury Muinhos February/2003 Abstract Text
65.	On the Information Content of Oil Future Prices Benjamin Miranda Tabak February/2003 Abstract Text * Published in Economia Aplicada (Brazilian Journal of Applied Economics), Vol. 7, no. 1, (Jan-Mar 2003).
64.	Medium-Size Macroeconomic Model for the Brazilian Economy Marcelo Kfoury Muinhos and Sergio Afonso Lago Alves February/2003 Abstract Text
63.	Optimal Monetary Rules: The Case of Brazil Charles Lima de Almeida, Marco Aurélio Peres, Geraldo da Silva e Souza and Benjamin Miranda Tabak February/2003 Abstract Text * Published in Applied Economic Letters, Vol. 10, (2003).
62.	Taxa de Juros e Concentração Bancária no Brasil (Portuguese) Eduardo Kiyoshi Tonooka and Sérgio Mikio Koyama February/2003 Abstract Text
2002 top
61.	O Uso de Dados de Alta Freqüência na Estimação da Volatilidade e do Valor em Risco para o Ibovespa* (Portuguese) João Maurício de Souza Moreira and Eduardo Facó Lemgruber December, 2002 Abstract Text * Published in RBE - Revista Brasileira de Economia, Vol. 58, no. 1 (Jan-Mar 2004)
60.	Delegated Portfolio Management Paulo Coutinho and Benjamin Miranda Tabak December, 2002 Abstract Text
59.	Os Preços Administrados e a Inflação no Brasil (Portuguese) Francisco Marcos R. Figueiredo and Thaís Porto Ferreira December, 2002 Abstract Text
58.	The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case Benjamin Miranda Tabak December, 2002 Abstract Text * Published in Applied Financial Economics, Vol. 13, (2003).
57.	As Leis de Falência: uma Abordagem Econômica (Portuguese) Aloisio Araujo December, 2002 Abstract Text
56.	Causality and Cointegration in Stock Markets: The Case of Latin America Benjamin Miranda Tabak and Eduardo José Araújo Lima December, 2002 Abstract Text * Published in Brazilian journal of Business Economics, Vol. 3, no. 2, (May-Aug 2003).
55.	Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil* (Portuguese) Carlos Hamilton Vasconcelos Araújo and Osmani Teixeira de Carvalho de Guillén November, 2002 Abstract Text * Published in Monetaria, Vol. XXVIII, no. 1 (Enero-Marzo 2005), as Tasas de cupón de cambio en Brasil: componentes de corto y largo plazos
54.	Stock Returns and Volatility Benjamin Miranda Tabak and Solange Maria Guerra November, 2002 Abstract Text
53.	Inflation Targeting in Brazil: Lessons and Challenges André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos November, 2002 Abstract Text
52.	Generalized Hyperbolic Distributions and Brazilian Data José Fajardo and Aquiles Farias September, 2002 Abstract Text
51.	Credit Channel with Sovereign Credit Risk: an Empirical Test Victorio Yi Tson Chu September, 2002 Abstract Text
50.	Macroeconomic Coordination and Inflation Targeting in a Two-Country Model Eui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho Teixeira September, 2002 Abstract Text
49.	Desenvolvimento do Sistema Financeiro e Crescimento Econômico no Brasil: Evidências de Causalidade (Portuguese) Orlando Carneiro de Matos September, 2002 Abstract Text
48.	Should Government Smooth Exchange Rate Risk?* Ilan Goldfajn and Marcos Antonio Silveira September, 2002 Abstract Text * Published in Journal of Development Economics, Vol. 69, no. 2 (Dec 2002): 393-421.
47.	Indicadores Derivados de Agregados Monetários (Portuguese) Fernando de Aquino Fonseca Neto and José Albuquerque Júnior September, 2002 Abstract Text
46.	The Determinants of Bank Interest Spread in Brazil* Tarsila Segalla Afanasieff, Priscilla Maria Villa Lhacer and Márcio I. Nakane August, 2002 Abstract Text * Published in Money Affairs, Vol. 15, no. 2 (Jul-Dec 2002): 183-207.
45.	Optimal Monetary Policy, Gains from Commitment, and Inflation Persistence André Minella August, 2002 Abstract Text
44.	Estrutura Competitiva, Produtividade Industrial e Liberação Comercial no Brasil* (Portuguese) Pedro Cavalcanti Ferreira and Osmani Teixeira de Carvalho Guillén June, 2002 Abstract Text * Published in Revista Brasileira de Economia, Vol. 58, no. 4 (Oct-Dec 2004)
43.	The Effects of the Brazilian ADRs Program on Domestic Market Efficiency* Benjamin Miranda Tabak and Eduardo José Araújo Lima June, 2002 Abstract Text * Published in Journal of International Finance and Economics 2006, 3, p.114-134
42.	Modelo Estrutural com Setor Externo: Endogenização do Prêmio de Risco e do Câmbio(Portuguese) Marcelo Kfoury Muinhos, Sérgio Afonso Lago Alves and Gil Riella June, 2002 Abstract Text
41.	Mudanças de Regime no Câmbio Brasileiro(Portuguese) Carlos Hamilton V. Araújo and Getúlio B. da Silveira Filho June, 2002 Abstract Text
40.	Speculative Attacks on Debts, Dollarization and Optimum Currency Areas Aloisio Araujo and Marcia Leon April, 2002 Abstract Text
39.	Opções sobre Dólar Comercial e Expectativas a Respeito do Comportamento da Taxa de Câmbio (Portuguese) Paulo Castor de Castro March, 2002 Abstract Text
38.	Volatilidade Implícita e Antecipação de Eventos de Stress: um Teste para o Mercado Brasileiro (Portuguese) Frederico Pechir Gomes March, 2002 Abstract Text
37.	Monetary Policy in Brazil: Remarks on the Inflation Targeting Regime, Public Debt Management and Open Market Operations Luiz Fernando Figueiredo, Pedro Fachada and Sérgio Goldenstein March, 2002 Abstract Text
36.	Can Emerging Markets Float? Should They Inflation Target? Barry Eichengreen February, 2002 Abstract Text
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35.	Uma Definição Operacional de Estabilidade de Preços (Portuguese) Tito Nícias Teixeira da Silva Filho December, 2001 Abstract Text An Operational Definition of Price Stability Tito Nícias Teixeira da Silva Filho September, 2002 Abstract Text
34.	Constrained Discretion and Collective Action Problems: Reflections on the Resolution of International Financial Crises Arminio Fraga and Daniel L. Gleizer November, 2001 Abstract Text
33.	Monetary Policy and Inflation in Brazil (1975-2000): a VAR Estimation* André Minella November, 2001 Abstract Text * Published in Revista Brasileira de Economia, Vol. 57, no.3, pp. 605-635 (Jul-Sep 2003)
32.	Crises Cambiais e Ataques Especulativos no Brasil (Portuguese) Mauro Costa Miranda November, 2001 Abstract Text
31.	Algumas Considerações Sobre a Sazonalidade no IPCA (Portuguese) Francisco Marcos R. Figueiredo and Roberta Blass Staub November, 2001 Abstract Text
30.	Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates Benjamin Miranda Tabak and Sandro Canesso de Andrade November, 2001 Abstract Text * Published in Revista Brasileira de Finanças, Vol. 1, no. 1, (2003).
29.	Using a Money Demand Model to Evaluate Monetary Policies in Brazil Pedro H. Albuquerque and Solange Gouvea November, 2001 Abstract Text
28.	Regras Monetárias e Dinâmica Macroeconômica no Brasil: Uma Abordagem de Expectativas Racionais* (Portuguese) Marco Antonio Bonomo and Ricardo D. Brito November, 2001 Abstract Text * Published in Revista Brasileira de Economia, Vol. 56, no. 4 (Oct-Dec 2002).
27.	Complementaridade e Fungibilidade dos Fluxos de Capitais Internacionais (Portuguese) Carlos Hamilton Vasconcelos Araújo and Renato Galvão Flores Júnior September, 2001 Abstract Text
26.	Inflation Targeting in an Open Financially Integrated Emerging Economy: the case of Brazil Marcelo Kfoury Muinhos August, 2001 Abstract Text
25.	Inflation Targeting in Brazil: Reviewing Two Years of Monetary Policy 1999/00 Pedro Fachada August, 2001 Abstract Text
24.	Inflation Targeting in Brazil: Shocks, Backward-Looking Prices, and IMF Conditionality* Joel Bogdanski, Paulo Springer de Freitas, Ilan Goldfajn and Alexandre Antonio Tombini August, 2001 Abstract Text * Published in Loayza, N. and Soto, R. (editors): Inflation Targeting: Design, Performance, Challenges, Santiago, Central Bank of Chile. pp. 539-582.
23.	Os Efeitos da CPMF sobre a Intermediação Financeira (Portuguese) Sérgio Mikio Koyama and Márcio I. Nakane July, 2001 Abstract Text
22.	Decentralized Portfolio Management Paulo Coutinho and Benjamin Miranda Tabak June, 2001 Abstract Text * Published in Revista Brasileira de Finanças, Vol. 1, no. 2 (2003).
21.	Os Impactos Econômicos da CPMF: Teoria e Evidência* (Portuguese) Pedro H. Albuquerque June, 2001 Abstract Text * Published in Finanças Públicas: VI Prêmio Tesouro Nacional - 2001. Brasília: STN, 2002, pp. 251-276.
20.	Credit Channel without the LM Curve* Victorio Y. T. Chu and Márcio I. Nakane May, 2001 Abstract Text * Published in Economia Aplicada (Brazilian Journal of Applied Economics), Vol. 5, no. 1 (Jan-Mar 2001): 213-227.
19.	Uncovered Interest Parity with Fundamentals: A Brazilian Exchange Rate Forecast Model* Marcelo Kfoury Muinhos, Paulo Springer de Freitas and Fabio Araujo May, 2001 Abstract Text * Published in Mahadeva, L. e Sinclair, P. (editors): Monetary Transmission in Diverse Economies, Cambridge University Press.
18.	A Simple Model for Inflation Targeting in Brazil* Paulo Springer de Freitas and Marcelo Kfoury Muinhos April, 2001 Abstract Text * Published in Economia Aplicada (Brazilian Journal of Applied Economics), Vol. 6, no. 1 (Jan-Mar 2002): 31-48.
17.	Estimando o Produto Potencial Brasileiro: Uma Abordagem de Função de Produção (Portuguese) Tito Nícias Teixeira da Silva Filho April, 2001 Abstract Text Estimating Brazilian Potential Output: A Production Function Approach Tito Nícias Teixeira da Silva Filho August, 2002 Abstract Text
16.	Avaliação das Projeções do Modelo Estrutural do Banco Central do Brasil para a Taxa de Variação do IPCA (Portuguese) Sergio Afonso Lago Alves March, 2001 Abstract Text Evaluation of the Central Bank of Brazil Structural Model's Inflation Forecasts in an Inflation Targeting Framework Sergio Afonso Lago Alves July, 2001 Abstract Text
15.	Is it Worth Tracking Dollar/Real Implied Volatility? Sandro Canesso de Andrade and Benjamin Miranda Tabak March, 2001 Abstract Text * Published in Economia Aplicada (Brazilian Journal of Applied Economics), Vol. 5, no. 3 (Jul-Sep 2001).
14.	Evaluating Core Inflation Measures for Brazil Francisco Marcos Rodrigues Figueiredo March, 2001 Abstract Text
13.	Modelos de Previsão de Insolvência Bancária no Brasil (Portuguese) Marcio Magalhães Janot March, 2001 Abstract Text
12.	A Test of Competition in Brazilian Banking* Márcio I. Nakane March, 2001 Abstract Text * Published in Estudos Econômicos, Vol. 32, no. 2, (Apr-Jun 2002): 203-224.
11.	A Note on the Efficient Estimation of Inflation in Brazil Michael F. Bryan and Stephen G. Cecchetti March, 2001 Abstract Text
10.	Análise do Financiamento Externo a Uma Pequena Economia (Portuguese) Carlos Halmiton Vasconcelos Araújo and Renato Galvão Flôres Júnior March, 2001 Abstract Text
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9.	Estimating Exchange Market Pressure and Intervention Activity Emanuel-Werner Kohlscheen November, 2000 Abstract Text
8.	The Correlation Matrix of the Brazilian Central Bank's Standard Model for Interest Rate Market Risk José Alvaro Rodrigues Neto September, 2000 Abstract Text
7.	Leading Indicators of Inflation for Brazil Marcelle Chauvet September, 2000 Abstract Text
6.	Optimal Interest Rate Rules in Inflation Targeting Frameworks José Alvaro Rodrigues Neto, Fabio Araújo and Marta Baltar J. Moreira July, 2000 Abstract Text
5.	The Pass-through from Depreciation to Inflation: A Panel Study Ilan Goldfajn and Sérgio Ribeiro da Costa Werlang July, 2000 Abstract Text
4.	An Information Theory Approach to the Aggregation of Log-Linear Models* Pedro H. Albuquerque July, 2000 Abstract Text * Published in Journal of Applied Econometrics, Vol. 18, no. 6 (Nov 2003)
3.	Private Sector Participation: A Theoretical Justification of the Brazilian Position Sérgio Ribeiro da Costa Werlang July, 2000 Abstract Text
2.	Política Monetária e Supervisão do Sistema Financeiro Nacional no Banco Central do Brasil (Portuguese) Eduardo Lundberg July, 2000 Abstract Text Monetary Policy and Banking Supervision Functions on the Central Bank Eduardo Lundberg July, 2000 Abstract Text
1.	Implementing Inflation Targeting in Brazil Joel Bogdanski, Alexandre Antonio Tombini and Sérgio Ribeiro da Costa Werlang July, 2000 Abstract Text