Banco Central do Brasil

Displaying 1-6 of 6 results

  • White Papers // Dec 2010

    Is Inflation Persistence Over?

    The authors analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. They select a very representative group of 23 industrial and 17 emerging economies. This sample period is comprised of quarterly data and starts in the first quarter of...

    Provided By Banco Central do Brasil

  • White Papers // Dec 2010

    Forecasting Brazilian Inflation Using A Large Data Set

    This paper is to verify if exploiting the large data set available to the Central Bank of Brazil, makes it possible to obtain forecast models that are serious competitors to models typically used by the monetary authorities for forecasting inflation. Some empirical issues such as the optimal number of variables...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    Financial Stability And Monetary Policy - The Case Of Brazil

    This paper investigates the effects of monetary policy over banks' loans growth and non-performing loans for the recent period in Brazil. The authors contribute to the literature on bank lending and risk taking channel by showing that during periods of loosening/tightening monetary policy, banks increase/decrease their loans. Moreover, these results...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    Cyclical Effects Of Bank Capital Buffers With Imperfect Credit Markets: International Evidence

    This paper analyzes the cyclical effects of bank capital buffers using an international sample of 2,361 banks from 92 countries over the 1990-2007 period. The authors find that capital buffers reduce the bank credit supply but - through what could be "Monitoring or Signaling Effects" - have also an expansionary...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    The Effects Of Loan Portfolio Concentration On Brazilian Banks' Return And Risk

    This paper tests whether diversification of the credit portfolio at the bank level is associated to better performance and lower risk. The authors employ a new high frequency (monthly) panel data constructed for the Brazilian banking system with information at the bank level for loans by economic sector. They find...

    Provided By Banco Central do Brasil

  • White Papers // Dec 2009

    Delegated Portfolio Management And Risk Taking Behavior

    Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, the authors propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive investment strategies. Using this general framework, they...

    Provided By Banco Central do Brasil

  • White Papers // Dec 2010

    Is Inflation Persistence Over?

    The authors analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. They select a very representative group of 23 industrial and 17 emerging economies. This sample period is comprised of quarterly data and starts in the first quarter of...

    Provided By Banco Central do Brasil

  • White Papers // Dec 2010

    Forecasting Brazilian Inflation Using A Large Data Set

    This paper is to verify if exploiting the large data set available to the Central Bank of Brazil, makes it possible to obtain forecast models that are serious competitors to models typically used by the monetary authorities for forecasting inflation. Some empirical issues such as the optimal number of variables...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    Financial Stability And Monetary Policy - The Case Of Brazil

    This paper investigates the effects of monetary policy over banks' loans growth and non-performing loans for the recent period in Brazil. The authors contribute to the literature on bank lending and risk taking channel by showing that during periods of loosening/tightening monetary policy, banks increase/decrease their loans. Moreover, these results...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    Cyclical Effects Of Bank Capital Buffers With Imperfect Credit Markets: International Evidence

    This paper analyzes the cyclical effects of bank capital buffers using an international sample of 2,361 banks from 92 countries over the 1990-2007 period. The authors find that capital buffers reduce the bank credit supply but - through what could be "Monitoring or Signaling Effects" - have also an expansionary...

    Provided By Banco Central do Brasil

  • White Papers // Oct 2010

    The Effects Of Loan Portfolio Concentration On Brazilian Banks' Return And Risk

    This paper tests whether diversification of the credit portfolio at the bank level is associated to better performance and lower risk. The authors employ a new high frequency (monthly) panel data constructed for the Brazilian banking system with information at the bank level for loans by economic sector. They find...

    Provided By Banco Central do Brasil

  • White Papers // Dec 2009

    Delegated Portfolio Management And Risk Taking Behavior

    Standard models of moral hazard predict a negative relationship between risk and incentives; however empirical studies on mutual funds present mixed results. In this paper, the authors propose a behavioral principal-agent model in the context of professional managers, focusing on active and passive investment strategies. Using this general framework, they...

    Provided By Banco Central do Brasil