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Is Inflation Persistence Over?
Fernando N. de Oliveira
*Myrian Petrassi
Abstract
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 do Brasil.
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. Our sample period is comprised of quarterly data and starts in the first quarter of 1995. Our results show that inflation persistence is low and stable for all countries in our sample. It seems to be lower in industrial relative to emerging countries. Finally, even countries that have had “hyperinflation” experience in the recent past showed low levels of inflation persistence, albeit apparently higher than the other countries in our sample.
Keywords: Inflation, Persistence, Hyperinflation JEL Classification: E3, E30, E31
*
Research Department, Banco Central do Brasil. E-mails: fernando.nascimento@bcb.gov.br and myrian.petrassi@bcb.gov.br
1 Introduction
One of the most important characteristics of the dynamics of inflation is its degree of persistence. It is related to how quickly inflation reverts to its initial level after a shock. As Mishkin (2007) points out, if inflation is persistent, it increases the costs of monetary policy (in terms of product or unemployment) to keep inflation under control.1
In the last years, both industrial and emerging economies have experienced important changes in the degree of their inflationary persistence. As Cechetti et al show (2007) both the volatility and level of inflation has decreased in industrial economies. In these economies the decades of 1960 and 1970 were considered periods of high and persistent inflation, while the more recent decades, 1990 and 2000, have low levels of inflation as well as low persistence.
Contrary to industrial countries, emerging economies have experienced high levels of inflations for a longer period. Some of these countries, such as Brazil, Argentina, Bolivia, Peru, Mexico, Israel, Poland and Turkey, have had periods of “hyperinflation” in the last thirty years.2Only recently, in the decade of 1990, the levels of inflation have started to decrease in these countries. This, in part, is due to the important changes in the conduct of their macroeconomic policies.3 However, it is not clear if the decrease of the level of inflation has been accompanied by a reduction of their inflationary persistence. 4
Our objective in this paper is to analyze empirically the inflation persistence of several industrial and emerging countries in the recent past. We selected a very representative group of 23 industrial and 17 emerging economies. We want to answer the following questions: Is inflation persistence low for both industrial and emerging economies? Has
1
In a more formal way, we can define inflation persistence as the propensity of inflation to converge slowly towards its long run equilibrium following a shock that has taken inflation away from this equilibrium.
2
Sometimes is hard to define if an inflationary process experienced by a country is a “hyperinflation” episode. That is why we have decided to use it between commas.
3
As examples of some macroeconomic policies we can list: inflation targeting adoption, reduction of budget deficits, improvement of financial regulation, trade liberalization and flexible exchange rate policies among others.
4
See Stock and Watson (2003) for a brief analysis of monetary policy in some industrial countries in the last years.
persistence been stable throughout our sample period for all countries? Is inflation persistence in countries that have experienced “hyperinflation” in the recent past higher than the ones observed in the other countries?5
Our results show that inflation persistence is low and has been stable for both industrial and emerging economies in general. We observe that persistence seems to be lower in industrial economies relative to emerging ones. We also show that even economies that had experience “hyperinflation” in the near past have low inflation persistence nowadays, albeit apparently higher than the ones observed in the other countries of our sample. One explanation for this is that inflationary memory can be still alive amongst the economic agents.
To obtain our results we estimate several reduced form inflation dynamics. We estimate the following types of models: models with lags of inflation with and without GDP gap; new Keynesian Phillips curves with foreign exchange rates; and models that are reduced-form inflation dynamics of structural models that incorporate some form of wage rigidity in the spirit of Blanchard and Gali (2005). Our sample period starts in the first quarter of 1995. We have quarterly data and use headline consumer inflation as our measure of inflation. 6
This finding of a low and stable persistence parameter for a great number of different countries may be somewhat surprising considering the obvious relevance of Lucas (1976) critique for our exercise. However, it is consistent with recent evidence for the United States as Rudebusch (2005) shows. Rudebusch estimates a new Keynesian Phillips curve to show that the parameters of reduced form regression will tend to be relatively stable even in the presence of realistic changes in monetary policy rules.
5
Our sample of emerging economies is Argentina, Brazil, Bolivia, Chile, Colombia, Czech Republic, Hungary, Israel, Korea, Mexico, Peru, Philippines, Poland, South Africa, Slovak Republic, Thailand, and Turkey. Our sample of industrial countries is: Austria, Australia, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Japan, Luxembourg, Netherlands, Norway, New Zealand, Portugal, Spain, Sweden, Switzerland, United Kingdom and United States.
6
Various factors can explain persistence: persistence may be inherited from persistent fluctuations in the determinants of inflation, like marginal cost or output gap (this is called extrinsic persistence); the dependence of inflation on its own past, also called intrinsic persistence and persistence due to the formation of inflation expectations. Each one of this persistence can be associated with one of the three terms of a new Keynesian Phillips curve.
For many of the countries we considered, substantial shifts in monetary policy have occurred over the past two decades. In the case of European countries the introduction of the Euro is a very important milestone. In the case of emerging economies, we can cite more sound macroeconomic policies including, for many of them, the choice of inflation targeting as a framework for monetary policies. Therefore, one of our key approaches was to allow for the possibility of structural breaks in the inflation dynamics in order to avoid spurious estimates of degree of persistence.
We observe that there is very little instability in the parameters of inflation persistence for most of the economies we study. We did several tests of stability and also recursive least squares estimation. Our full sample estimation of the persistence parameter is in general far away from 1 and stable as the results from unknown break points are consistent with the null hypothesis of no change over time in the persistence of inflation. Overall, our results are in accordance with a stable reduced-form representation for inflation and a low level of inflation persistence.
Our results are consistent with a vast literature that shows that inflation persistence has decreased, such as: Dossche and Everaert (2005), Taylor (1999), Altissimo et al (2006), Benati (2008) and Batini (2002). Our paper, however, contributes to the literature by looking at a greater and more diversified group of countries, including several emerging ones, by considering a more recent period and by estimating various inflation dynamics specifications.
Other papers look at how inflation persistence has evolved over a longer period of time also estimating reduced form inflation processes. For example, Mishkin (2007) studies inflation persistence in the United States in the last 40 years using auto regressive models and decomposing inflation in cycle and trend as in Stock and Watson (2006). Mishkin confirms the results of Stock and Watson (2006), showing that inflation persistence is decreasing worldwide since the 1990s, compared with persistence observed in the 1960 and 1970s.7
7
Stock and Watson (2006) show the inflation dynamic in the United States is well described by several latent factors, such as cycle and trend, both with stochastic volatility. Cycle is a stationary process while trend in non-stationary. Inflation persistence is described as a trend. The authors show that persistence in inflation has decrease substantially in the United States in the last decade.
Nason (2006) describes the dynamics of inflation in the United States with several different models of inflation and confirms the results of Mishkin (2007) and Stock and Watson (2006) that inflation persistence is decreasing in the United States in the last years. Rudd and Whelan (2005) estimate a new Keynesian hybrid Phillips curve with lags in inflation and show that inflation in the United States is much more forward looking than backward looking, that shows that inflation persistence is decreasing. Fuhrer (2005) also models inflation using a hybrid Keynesian Phillips curve. He separates persistence in two types: one related to the dynamics of the output gap and the other to marginal cost and that depends on lags of inflation. Fuhrer shows that the more relevant part of inflation in the last years is due to intrinsic inflation and not to output gap.
An important explanatory factor behind this low level and stability of inflation persistence in the recent past is the anchoring of inflation expectations of economic agents. By conducting monetary policies such that inflation expectations of economic agents are anchored, the central banks can ensure that actual inflation does not deviate for too long and in a very persistent way from its medium term objective. We believe that long-term inflation expectations have been successively anchored in the recent years and, as a result, inflation expectations are much less dependent on past inflation. Also, actual inflation developments are less persistent.
The rest of the paper is the following. Section 2 describes the data. Section 3 presents the empirical analysis. Section 4 concludes.
2. Data
Our data is quarterly and starts in the first quarter of 1995. It is composed by 40 countries: 23 industrial and 17 emerging. Our data source was International Financial Statistics from International Monetary Fund. Our measure of inflation is headline CPI inflation. We also use as exogenous the following variables: the nominal foreign exchange rate and the GDP gap, that is the difference between nominal GDP and potential GDP obtained through Hodrick-Prescott filtering.
For the purpose of our analysis, we separate our sample of countries in three groups: one group is comprised of industrial countries (Austria, Australia, Belgium, Canada,
Denmark, Finland, France, Germany, Greece, Iceland, Ireland, Italy, Japan, Luxembourg, Netherlands, Norway, New Zealand, Portugal, Spain, Sweden, Switzerland, United Kingdom and United States), emerging countries that did not experienced “hyperinflation” in the recent past (Chile, Colombia, Czech Republic, Hungary, Korea, Philippines, South Africa, Slovak Republic and Thailand), and emerging economies that have had “hyperinflation”, such as Argentina, Brazil, Bolivia, Peru, Mexico, Turkey, Israel and Poland.
Table 1 shows descriptive statistics of inflation for our economies: emerging (total), emerging with “hyperinflation” experience and industrial economies. We can see that average quarterly inflation in emerging market (EM) economies was 1.84% and average standard deviation was 0.018. As far as GDP gap is concerned, average GDP gap is -0.14%.
Table 1 column 2 shows descriptive statistics of inflation for the group of emerging economies that has had some “hyperinflation” episode in the last thirty years. We can see that average inflation was 2.32% and average standard deviation was 0.022. Average output gap was -0.30% in this subgroup. Column 3 shows us that in non-emerging countries of our sample, average inflation was only 0.54%. Average output gap, in other hand, was greater: -0.01%.
It is clear from Table 1 that inflation is higher in emerging economies that have had “hyperinflation” in the recent past. The average inflation in these economies was 1 pp. higher than average inflation in the emerging economies that did not experience “hyperinflation” and 1.78 pp. higher than industrial economies that also did not experience “hyperinflation”. Not only average, but also volatility is much higher than non-emerging countries and also non-hyperinflation ones.
In the next section, we will present our empirical analysis based on the estimation of reduced form inflation dynamics for these groups of countries.
3. Empirical Analysis
3.1 Traditional Models of Inflation
The overall degree of inflation persistence can be measured in several ways. The results reported in this section are based on the methods that are most frequently used in the literature. In order to show how fast inflation returns back to its mean following a disturbance, or its persistence, we measure the dependence of inflation on its past values.
The most obvious way of measuring inflation persistence is to regress inflation on several of its lags as in equation (1) and then calculate the sum of coefficients on lagged inflation. If the sum of coefficients is close to 1, then shocks to inflation have long lived effects on inflation. The higher the sum of the coefficients of inflation lags, the longer it takes for inflation to return back to its mean. In other words, inflation behaves like a random walk so that when inflation goes up it stays up. If the sum of coefficients is well below 1 then a shock to inflation has only temporary effect on inflation and inflation soon reverts to its trend level.
(1) 2 2 1 1 0 βπ φ π ε , [ε ] 0,var(ε ) σε β π = + +
∑
+ = = = − − t t t L k k t k t t E ,where πt is headline consumer inflation .
To the extent that lagged inflation captures true persistence in the price setting process the model implies that rapid reductions of inflation can only be produced at the cost of substantial increase in unemployment or decrease in product. Hence, the model points to a gradualist approach as providing the best way to effect a large reduction in inflation.
An equivalent approach for analyzing persistence (and the one we will follow in this paper) is to estimate ρ in equation (2) as O´Reilly and Whelan (2005) show.
(2) 2 2 1 0 ρ π φ π ε , [ε ] 0,var(ε ) σε β π = + +
∑
Δ + = = = − − t t t L k k t k t t E .There are a number of good reasons for focusing on ρ as our main measure of inflation persistence. For example, in this model, ρ is a crucial determinant of the response to shocks over time. It can also be shown that 1/(1-ρ) gives the infinite-horizon cumulative impulse response to shocks. Moreover, an advantage of focusing on the estimate of ρ rather than on sum of coefficients is that the first one remains pertinent even when the underlying process contains a unit root or is explosive.
We chose the number of lags of first difference of headline consumer inflation in (2) so as the residuals do not present serial correlation, using LM test to identify serial correlation. We also checked for heteroskedasticity with White and Breush-Pagan. If there is evidence of heteroskedasticity, we correct it with the Newey-West robust errors. We did a Wald test of ρ=1 for all estimations of the traditional models and we rejected ρ=1 for all estimations. We also compared the average of the persistence coefficient of inflation of the three groups by doing Wald tests in a system of equations estimated with OLS in which each equation is the same one we estimated individually.
It is also crucial from an econometric point of view to allow for structural breaks in the dynamics of inflation. Otherwise, we could be estimating biased and inconsistent coefficients. We test for breaks using different methods, such as Andrews-Quandt and Chow. We found indication of structural breaks for some countries: Argentina, Austria, Greece and Poland. We then choose some possible breakpoints with the Chow test. We changed the specification including dummies as regressors or interacting them with the lag of inflation regressors. Our results did not change with these new specifications.
In Graph 1, we show the recursive least squares estimations for the inflation persistence coefficient (ρ) in (2): emerging countries that have had high inflation episodes and those that had not and 10 (from 23) industrial countries. Inflation persistence for all countries seems to be stable, especially after 2003. Emerging countries appear to have inflation persistence that fluctuates around 0.5 while industrial countries persistence appears to fluctuate around zero.
Table 2 (column 1) shows the estimated ρ for this specification. The average persistence coefficient was 0.15 and Turkey has the largest one: 0.879. Emerging market economies
seem to have, on average, greater coefficients: 0.45 compared to -0.07 of the industrial economies. Also, “hyperinflation” EM countries seem to have even larger persistence. Considering only these countries increases persistence coefficient to 0.59. The average persistence of EM economies that do not experience hyperinflation also seems to be greater than industrial countries (0.33 compared to -0.07).8
We repeated the estimation above including in equation (2) the output gap calculated using Hodrick-Prescot filter.9 The results are very similar to the ones described above (see Table 2 column 2). Again, economies that had “hyperinflation” episodes in the recent past showed greater average as well as greater volatility of inflation persistence.
If inflation has indeed become less persistent because monetary policy has anchored inflation expectations more solidly the monetary authorities may find they have less need to induce large swings in economic activity to control inflation. This is a key benefit of establishing a strong nominal anchor. If this is correct, cyclical movements in interest rates need not be as great as it was necessary when expectations are anchored. To try the capture this possibility we will estimate in the following section new Keynesian models of inflation that incorporate inflation expectations.
3.2 New Keynesian Models Estimation
The most important implication of the pure new Keynesian model of inflation is that there is no intrinsic persistence in inflation in the sense that there is no structural dependence of inflation on its own lagged values. Instead, inflation is determined in a completely forward-looking manner. One implication of this model in contrast to traditional ones is that it is much easier to quickly reduce inflation in this model than in the traditional one. In fact, according to the new Keynesian model, inflation can be costless controlled by a credible commitment to keep output close to its potential.
8
We compared the average of persistence coefficient of the three groups by doing Wald tests in a system of equations estimated with OLS in which each equation is the same one we estimated individually. 9
Again, we tested for serial correlation, heteroskedasticity, structural breaks and compared the statistical differences of averages of the inflation persistence coefficient of different groups. We did once more a Wald test of ρ=1 for all estimations of the traditional models with GDP gap. We rejected ρ=1 for all estimations.
It has been shown that in economies where central banks have adopted explicit inflation objectives, long-term inflation expectations are not related to past inflation. In this context, central bank transparency is crucial. In such a setting, agents will try to disentangle persistent shifts in inflation objective from transitory disturbances and will manage to do so more quickly the more transparent and credible the central bank is. 10
Due to the difficulty of fitting the data with new Keynesian pure forward-looking model, a vast literature that incorporates lags of inflation in the new Keynesian Phillips curve (NKPC) has emerged11. For many, this class of models represents a sort of common-sense middle ground that preserves the insights of standard rational expectations models while allowing for better empirical fit by dealing directly with a well known deficiency of the pure forward looking model of inflation. As a result this class of models has been widely used in applied monetary policy analysis.
The structural equation for inflation that we estimate is in the spirit of hybrid new Keynesian Phillips curve as in (3). These models add a dependence of inflation on its lagged values to otherwise purely forward looking models. Such models are often considered as a compromise between the need for rigorous micro foundations of the sort underlying the pure new-Keynesian Phillips curve and the need to fit the data empirically.
(3) 1 2 1 2 1 1 ) var( , 0 ] [ , ] [ ) 1 ( ε σ ε ε ε γ β π ρ ρπ π = = + + + − + = − + − − t t t t t t t t t E X h E where ht is
output gap and Xt is foreign exchange rate.
The parameter that measures inflation persistence is
ρ
. We estimated equation (3) above, using lags of consumer headline inflation as instruments. We also checked for serial correlation with LM test and for heteroskedasticity with White test. In the presence of serial correlation, we included more lags of regressors, until there is no more evidence of serial correlation. In the presence of heteroskedasticity, we corrected10
The most popular formulation of the new Keynesian framework is based on Calvo (1983) model of price random adjustment. The model assumes that in each period a random fraction of firms reset their price while all other firms keep their prices unchanged. Calvo assumes an imperfectly competitive market structure as well. These two hypotheses generate the basic new Keynesian model of inflation.
11
See Fuhrer and Moore (1995), Gali and Gertler (1999) and Christiano et al (2005) for some theoretical models that justify the inclusion of lags of inflation in the new Keynesian Phillips curves.
with Newey-West robust matrix. We, again, compared the statistical differences of averages of the inflation persistence coefficient of different groups.
Table 2 column 3 shows the estimated ρ. The average persistence estimator was 0.009, and the standard deviation was 0.43. The country with the highest average was Hungary while the one with the lowest was Portugal. Considering our 3 groups, emerging economies that did not experience “hyperinflation” had an average persistence estimator of 0.03. Within the industrial economies group, the average coefficient was -0.095. The country with the highest persistence was Italy.
Considering countries that experienced “hyperinflation”, the highest persistence was from Poland (0.62) while the one with the lowest was Turkey (-0.18). The average of this group was 0.26.
In Graph 2, we show the recursive least squares estimations for the inflation persistence coefficient (ρ) in NKPC. Again, emerging market economies appear to have higher levels of persistence. And countries that had a “hyperinflation” history have an even higher persistence level.
As we can see these results do not differ from the estimation of the more traditional models presented in section 3.1. Once again, higher inflation in the past implies higher persistence of inflation in the present.
In the next section, we will include wage rigidity in the new Keynesian framework in line with Blanchard and Gali (2005). The objective is to see if there is a change in estimated persistence due to these rigidities.
3.3 New Keynesian Models Estimation with Wage Rigidities
Blanchard and Gali (2005) incorporate wage rigidities in the structural model of inflation. The reduced form equation that results from their structural model is equation (4) below. Note that this equation is very similar to the hybrid new Keynesian Phillips curves specification used in many empirical and policy analysis applications and that
allows for both backward looking and forward looking inflation terms (with coefficients whose sum is close to one). In our model the relative weight of lagged inflation is tightly linked to the degree of real wage rigidities. The novelty is the inclusion of the first difference of lagged output gap. This is the result of wage rigidity and makes the divine coincidence - where the central bank stabilizing inflation also stabilizes the welfare relevant gap - not possible anymore. The
ρ
coefficient continues to measure inflation persistence. Gali and Blanchard show that this coefficient is an increasing function of wage rigidity.(4) 2 1 2 1 1 1 1 (1 ρ) [π ] β β ε , [ε ] 0,var(ε ) σε ρπ πt = t− + − Et t+ + ht− + Δht− + t E t = t =
Table 2 (column 4) shows the estimated ρ for this specification. The average persistence coefficient was 0.16 and Netherlands has the highest one: 1.124. Emerging market economies that experienced hyperinflation in the recent past seem to have greater coefficients on average: 0.289 compared to 0.134 of the industrial economies.
For all estimations we tested for structural breaks using Andrews-Quandt Chow and recursive least squares. No breaks were observed in the estimated processes. We did once more a Wald test of ρ=1 for all estimations. We rejected ρ=1 for almost all economies with the exception of Netherlands. We, again, compared the statistical differences of averages of the inflation persistence coefficient of different groups with a system of equations approach.
Another implication of Blanchard and Gali (2005) model is the relation between inflation and unemployment as in equation (5). As Mishkin (2007) points out when researchers estimate this equation they typically find that the coefficients on the unemployment gap have declined in the absolute value since the 1980s often by a marked amount. In other word, the evidence suggests that the Phillips curve has flattened.
(5) πt =ρπt−1+(1−ρ)Et[πt+1]+β1ut−1 +εt,E[εt]=0,var(εt)=σε2
Table 2 (column 5) shows the estimated ρ for this specification. The average persistence coefficient was 0.246 and Spain has the highest one: 2.921. Emerging market
economies that experienced hyperinflation in the recent past once again seem to have greater coefficients on average: 0.453 compared to 0.23 of the industrial economies.
For all estimations we test for structural breaks using Andrews-Quandt, Chow and recursive least squares. We did not observe any break in any of the processes we estimated. Wald tests rejected ρ=1 for almost all economies with the exception of Ireland and Spain.
As we can see, once again the results for both models of wage rigidities are similar to the ones of traditional and hybrid new Keynesian models. There is clear evidence that persistence is higher and more volatile in emerging economies that had “hyperinflation” than in the rest of our sample.
4. Conclusion
We analyzed inflation persistence in several industrial and emerging countries in the recent past by estimating various reduced-form models of inflation. Our results show that inflation persistence is low and stable, albeit lower for the former than for the latter. We also show that even countries that experienced “hyperinflation” in the recent past showed low levels of persistence but still have higher levels than the other countries in our sample. Overall, our results are consistent with a stable reduced-form representation for inflation and a low level of inflation persistence worldwide.
In interpreting our results, we must first recognize that all of them are based on reduced-from relationships. Thus, they are about correlations and not necessarily about true structural relationships. Explanatory variables in our inflation estimations are themselves influenced by changes in economic conditions. So, changes in the underlying monetary policy regime are likely to be a source changes in reduced-form inflation dynamics. This problem is especially acute for structural relationship involving expectations or other factors that are not directly observable and so cannot be included in reduced form regressions. In such cases, we cannot use the reduced form equations to disentangle the effects of such unobserved factors which themselves may be driven by changes in monetary policy from that of other influences.
Mishkin (2007) makes it clear that inflation expectations must be a key driving force behind inflation. This dependence has long been implicit in traditional Phillips curve analysis but now expectations are explicit and are also a central feature of new Keynesian Phillips curves in which current period inflation is a function of expectations next period and output gap.
Anchoring of inflation expectations must be related to monetary policy. During the past years most central banks have increased their commitment to price stability in both words and action. The Federal Reserve, the European Central Bank and several central banks of emerging economies have been committed to keep inflation under control. The result has been low and stable inflations but also, as we report in this paper, low and stable inflation persistence.
The pursuit of more aggressive monetary policy to control inflation and the achievement of anchored inflation help explain in part our results. With expectations of inflation anchored the sacrifice ratio becomes lower and monetary policy much more effective to improve the welfare of the economy.
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Table 1: Descriptive Statistics – Inflation and Output Gap
Non - Emerging Market Countries Total "Hyperinflation" Experience TotalAverage Inflation 1.84% 2.32% 0.54%
Average Standard Deviation 0.018 0.022 0.006
Maximum Inflation 19.43% 19.43% 5.55%
Minimum Inflation -4.10% -1.42% -3.99%
Average Output Gap -0.14% -0.30% -0.01%
Emerging Market Countries
Table 2: Estimated Inflation Persistence Parameters
Equation (2) Equation (2) Equation (3) Equation (4) Equation (5)
AR(p) Including Output Gap NKPC NKPC including Gap (-1) Output Gali and Gertler -With Unemployment
Argentina 0.479 0.428 0.296 0.412 0.539 Austria 0.123 (0.149) (0.018) 0.146 (0.102) Australia 0.250 0.282 0.018 0.125 0.065 Belgium (0.265) (0.397) 0.198 (0.051) 0.118 Bolivia 0.581 0.596 (0.026) 0.070 -Brazil 0.416 0.426 0.441 0.509 0.503 Canada (0.805) (0.883) 0.021 0.067 0.157 Chile 0.435 0.288 0.073 0.101 -Colombia 0.825 0.782 0.408 0.481 0.445 Czech Republic 0.404 0.508 (0.079) (0.221) 0.124 Denmark (0.199) (0.184) 0.147 0.140 0.229 Finland (0.038) (0.095) (0.126) 0.600 0.050 France (0.250) (0.357) 0.147 (0.150) 0.317 Germany 0.068 (0.057) (0.188) 0.148 0.036 Greece 0.393 (1.431) - - -Hungary 0.657 0.656 0.641 0.596 0.714 Iceland 0.577 0.568 (0.387) (0.270) -Ireland 0.297 0.141 - - 0.601 Israel 0.366 0.381 0.158 (0.071) -Italy 0.095 (0.046) 0.481 0.399 -Japan (0.343) (0.473) 0.370 0.292 0.323 Korea (0.284) (0.416) (1.008) (0.464) (0.641) Luxembourg 0.177 0.068 (0.049) 0.406 0.036 Mexico 0.704 0.783 0.534 0.455 -Netherlands 0.409 (0.082) (0.523) 1.124 (0.739) Norway (0.504) (0.599) 0.173 0.119 0.187 New Zealand 0.319 0.123 0.260 0.347 0.263 Peru 0.601 0.617 0.229 0.245 -Phillipines 0.136 0.183 0.158 0.138 -Poland 0.661 0.659 0.616 0.591 0.547 Portugal (0.340) (0.101) (1.058) (0.397) -South Africa 0.290 (0.071) (0.099) (0.134) 0.397 Slovak Republic 0.347 0.007 (0.127) (0.116) (0.180) Spain (0.385) (0.394) (0.906) 0.103 2.921 Sweden 0.115 (0.040) 0.045 0.112 (0.304) Switzerland (0.383) (0.436) (0.934) (0.834) (0.396) Thailand 0.134 (0.263) 0.316 0.312 0.350 Turkey 0.879 0.864 (0.177) 0.100 0.224 United Kingdom (0.110) (0.250) 0.170 0.224 0.437 United States (0.817) (1.337) 0.166 0.154 0.172
Graph 1 Stability of Persistence Parameters Modeling Inflation as an
ARMA Process
Emerging Economies – with “hyperinflation”
-2 -1.5 -1 -0.5 0 0.5 1 1.5 1998Q 3 1999Q 1 1999Q 3 2000Q 1 2000Q 3 2001Q 1 2001Q 3 2002Q 1 2002Q 3 2003Q 1 2003Q 3 2004Q 1 2004Q 3 2005Q 1 2005Q 3 2006Q 1 2006Q 3 2007Q 1 2007Q 3 2008Q 1 2008Q 3 2009Q 1
Argentina Brazil Bolivia Israel Mexico Peru Poland Turkey
Emerging Economies – without “hyperinflation”
-3.5 -2.5 -1.5 -0.5 0.5 1.5 199 8Q 3 199 9Q 1 199 9Q 3 200 0Q 1 200 0Q 3 200 1Q 1 200 1Q 3 200 2Q 1 200 2Q 3 200 3Q 1 200 3Q 3 200 4Q 1 200 4Q 3 200 5Q 1 200 5Q 3 200 6Q 1 200 6Q 3 200 7Q 1 200 7Q 3 200 8Q 1 200 8Q 3 200 9Q 1
Chile Colombia Czech Rep. Hungary Korea Phillipines South Africa Thailand Slovak Rep.
Industrial Economies -2 -1 0 1 2 1999 Q 1 1999 Q 3 2000 Q 1 2000 Q 3 2001 Q 1 2001 Q 3 2002 Q 1 2002 Q 3 2003 Q 1 2003 Q 3 2004 Q 1 2004 Q 3 2005 Q 1 2005 Q 3 2006 Q 1 2006 Q 3 2007 Q 1 2007 Q 3 2008 Q 1 2008 Q 3 2009 Q 1
Australia Canada New Zealand Switzerland United Kingdom France Germany Italy Netherlands USA
Graph 2 – Stability of Persistence Parameters Modeling Inflation as a
New Keynesian Phillips Curve
Emerging Economies – with “hyperinflation”
-1 -0.5 0 0.5 1 1.5 2 1998Q 3 1999Q 1 1999Q 3 2000Q 1 2000Q 3 2001Q 1 2001Q 3 2002Q 1 2002Q 3 2003Q 1 2003Q 3 2004Q 1 2004Q 3 2005Q 1 2005Q 3 2006Q 1 2006Q 3 2007Q 1 2007Q 3 2008Q 1 2008Q 3 2009Q 1
Argentina Brazil Bolivia Israel Mexico Peru Poland Turkey
Emerging Economies – without “hyperinflation” -1.5 -1 -0.5 0 0.5 1 1998Q 3 1999Q 1 1999Q 3 2000Q 1 2000Q 3 2001Q 1 2001Q 3 2002Q 1 2002Q 3 2003Q 1 2003Q 3 2004Q 1 2004Q 3 2005Q 1 2005Q 3 2006Q 1 2006Q 3 2007Q 1 2007Q 3 2008Q 1 2008Q 3 2009Q 1
Chile Colombia Czech Rep. Hungary Korea Phillipines South Africa Thailand Slovak Rep.
Industrial Economies -3 -2 -1 0 1 2 3 4 1996 Q3 1997 Q2 199 8Q1 199 8Q4 1999 Q3 2000 Q2 2001 Q1 2001 Q4 200 2Q3 200 3Q2 200 4Q1 2004 Q4 2005 Q3 2006 Q2 2007 Q1 200 7Q4 200 8Q3
Austria Bélgium Denmark Finland France
Banco Central do Brasil
Trabalhos para Discussão
Os Trabalhos para Discussão podem ser acessados na internet, no formato PDF, no endereço: http://www.bc.gov.br
Working Paper Series
Working Papers in PDF format can be downloaded from: http://www.bc.gov.br
1 Implementing Inflation Targeting in Brazil
Joel Bogdanski, Alexandre Antonio Tombini and Sérgio Ribeiro da Costa Werlang
Jul/2000
2 Política Monetária e Supervisão do Sistema Financeiro Nacional no Banco Central do Brasil
Eduardo Lundberg
Monetary Policy and Banking Supervision Functions on the Central Bank
Eduardo Lundberg
Jul/2000
Jul/2000
3 Private Sector Participation: a Theoretical Justification of the Brazilian Position
Sérgio Ribeiro da Costa Werlang
Jul/2000
4 An Information Theory Approach to the Aggregation of Log-Linear Models
Pedro H. Albuquerque
Jul/2000
5 The Pass-Through from Depreciation to Inflation: a Panel Study
Ilan Goldfajn and Sérgio Ribeiro da Costa Werlang
Jul/2000
6 Optimal Interest Rate Rules in Inflation Targeting Frameworks
José Alvaro Rodrigues Neto, Fabio Araújo and Marta Baltar J. Moreira
Jul/2000
7 Leading Indicators of Inflation for Brazil
Marcelle Chauvet
Sep/2000
8 The Correlation Matrix of the Brazilian Central Bank’s Standard Model for Interest Rate Market Risk
José Alvaro Rodrigues Neto
Sep/2000
9 Estimating Exchange Market Pressure and Intervention Activity
Emanuel-Werner Kohlscheen
Nov/2000
10 Análise do Financiamento Externo a uma Pequena Economia
Aplicação da Teoria do Prêmio Monetário ao Caso Brasileiro: 1991–1998
Carlos Hamilton Vasconcelos Araújo e Renato Galvão Flôres Júnior
Mar/2001
11 A Note on the Efficient Estimation of Inflation in Brazil
Michael F. Bryan and Stephen G. Cecchetti
Mar/2001
12 A Test of Competition in Brazilian Banking
Márcio I. Nakane
13 Modelos de Previsão de Insolvência Bancária no Brasil
Marcio Magalhães Janot
Mar/2001
14 Evaluating Core Inflation Measures for Brazil
Francisco Marcos Rodrigues Figueiredo
Mar/2001
15 Is It Worth Tracking Dollar/Real Implied Volatility?
Sandro Canesso de Andrade and Benjamin Miranda Tabak
Mar/2001
16 Avaliação das Projeções do Modelo Estrutural do Banco Central do Brasil para a Taxa de Variação do IPCA
Sergio Afonso Lago Alves
Evaluation of the Central Bank of Brazil Structural Model’s Inflation Forecasts in an Inflation Targeting Framework
Sergio Afonso Lago Alves
Mar/2001
Jul/2001
17 Estimando o Produto Potencial Brasileiro: uma Abordagem de Função de Produção
Tito Nícias Teixeira da Silva Filho
Estimating Brazilian Potential Output: a Production Function Approach
Tito Nícias Teixeira da Silva Filho
Abr/2001
Aug/2002
18 A Simple Model for Inflation Targeting in Brazil
Paulo Springer de Freitas and Marcelo Kfoury Muinhos
Apr/2001
19 Uncovered Interest Parity with Fundamentals: a Brazilian Exchange Rate Forecast Model
Marcelo Kfoury Muinhos, Paulo Springer de Freitas and Fabio Araújo
May/2001
20 Credit Channel without the LM Curve
Victorio Y. T. Chu and Márcio I. Nakane
May/2001
21 Os Impactos Econômicos da CPMF: Teoria e Evidência
Pedro H. Albuquerque
Jun/2001
22 Decentralized Portfolio Management
Paulo Coutinho and Benjamin Miranda Tabak
Jun/2001
23 Os Efeitos da CPMF sobre a Intermediação Financeira
Sérgio Mikio Koyama e Márcio I. Nakane
Jul/2001
24 Inflation Targeting in Brazil: Shocks, Backward-Looking Prices, and IMF Conditionality
Joel Bogdanski, Paulo Springer de Freitas, Ilan Goldfajn and Alexandre Antonio Tombini
Aug/2001
25 Inflation Targeting in Brazil: Reviewing Two Years of Monetary Policy 1999/00
Pedro Fachada
Aug/2001
26 Inflation Targeting in an Open Financially Integrated Emerging Economy: the Case of Brazil
Marcelo Kfoury Muinhos
Aug/2001
27 Complementaridade e Fungibilidade dos Fluxos de Capitais Internacionais
Carlos Hamilton Vasconcelos Araújo e Renato Galvão Flôres Júnior
28 Regras Monetárias e Dinâmica Macroeconômica no Brasil: uma Abordagem de Expectativas Racionais
Marco Antonio Bonomo e Ricardo D. Brito
Nov/2001
29 Using a Money Demand Model to Evaluate Monetary Policies in Brazil
Pedro H. Albuquerque and Solange Gouvêa
Nov/2001
30 Testing the Expectations Hypothesis in the Brazilian Term Structure of Interest Rates
Benjamin Miranda Tabak and Sandro Canesso de Andrade
Nov/2001
31 Algumas Considerações sobre a Sazonalidade no IPCA
Francisco Marcos R. Figueiredo e Roberta Blass Staub
Nov/2001
32 Crises Cambiais e Ataques Especulativos no Brasil
Mauro Costa Miranda
Nov/2001
33 Monetary Policy and Inflation in Brazil (1975-2000): a VAR Estimation
André Minella
Nov/2001
34 Constrained Discretion and Collective Action Problems: Reflections on the Resolution of International Financial Crises
Arminio Fraga and Daniel Luiz Gleizer
Nov/2001
35 Uma Definição Operacional de Estabilidade de Preços
Tito Nícias Teixeira da Silva Filho
Dez/2001
36 Can Emerging Markets Float? Should They Inflation Target?
Barry Eichengreen
Feb/2002
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
Mar/2002
38 Volatilidade Implícita e Antecipação de Eventos de Stress: um Teste para o Mercado Brasileiro
Frederico Pechir Gomes
Mar/2002
39 Opções sobre Dólar Comercial e Expectativas a Respeito do Comportamento da Taxa de Câmbio
Paulo Castor de Castro
Mar/2002
40 Speculative Attacks on Debts, Dollarization and Optimum Currency Areas
Aloisio Araujo and Márcia Leon
Apr/2002
41 Mudanças de Regime no Câmbio Brasileiro
Carlos Hamilton V. Araújo e Getúlio B. da Silveira Filho
Jun/2002
42 Modelo Estrutural com Setor Externo: Endogenização do Prêmio de Risco e do Câmbio
Marcelo Kfoury Muinhos, Sérgio Afonso Lago Alves e Gil Riella
Jun/2002
43 The Effects of the Brazilian ADRs Program on Domestic Market Efficiency
Benjamin Miranda Tabak and Eduardo José Araújo Lima
44 Estrutura Competitiva, Produtividade Industrial e Liberação Comercial no Brasil
Pedro Cavalcanti Ferreira e Osmani Teixeira de Carvalho Guillén
Jun/2002
45 Optimal Monetary Policy, Gains from Commitment, and Inflation Persistence
André Minella
Aug/2002
46 The Determinants of Bank Interest Spread in Brazil
Tarsila Segalla Afanasieff, Priscilla Maria Villa Lhacer and Márcio I. Nakane
Aug/2002
47 Indicadores Derivados de Agregados Monetários
Fernando de Aquino Fonseca Neto e José Albuquerque Júnior
Set/2002
48 Should Government Smooth Exchange Rate Risk?
Ilan Goldfajn and Marcos Antonio Silveira
Sep/2002
49 Desenvolvimento do Sistema Financeiro e Crescimento Econômico no Brasil: Evidências de Causalidade
Orlando Carneiro de Matos
Set/2002
50 Macroeconomic Coordination and Inflation Targeting in a Two-Country Model
Eui Jung Chang, Marcelo Kfoury Muinhos and Joanílio Rodolpho Teixeira
Sep/2002
51 Credit Channel with Sovereign Credit Risk: an Empirical Test
Victorio Yi Tson Chu
Sep/2002
52 Generalized Hyperbolic Distributions and Brazilian Data
José Fajardo and Aquiles Farias
Sep/2002
53 Inflation Targeting in Brazil: Lessons and Challenges
André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos
Nov/2002
54 Stock Returns and Volatility
Benjamin Miranda Tabak and Solange Maria Guerra
Nov/2002
55 Componentes de Curto e Longo Prazo das Taxas de Juros no Brasil
Carlos Hamilton Vasconcelos Araújo e Osmani Teixeira de Carvalho de Guillén
Nov/2002
56 Causality and Cointegration in Stock Markets: the Case of Latin America
Benjamin Miranda Tabak and Eduardo José Araújo Lima
Dec/2002
57 As Leis de Falência: uma Abordagem Econômica
Aloisio Araujo
Dez/2002
58 The Random Walk Hypothesis and the Behavior of Foreign Capital Portfolio Flows: the Brazilian Stock Market Case
Benjamin Miranda Tabak
Dec/2002
59 Os Preços Administrados e a Inflação no Brasil
Francisco Marcos R. Figueiredo e Thaís Porto Ferreira
Dez/2002
60 Delegated Portfolio Management
Paulo Coutinho and Benjamin Miranda Tabak
61 O Uso de Dados de Alta Freqüência na Estimação da Volatilidade e do Valor em Risco para o Ibovespa
João Maurício de Souza Moreira e Eduardo Facó Lemgruber
Dez/2002
62 Taxa de Juros e Concentração Bancária no Brasil
Eduardo Kiyoshi Tonooka e Sérgio Mikio Koyama
Fev/2003
63 Optimal Monetary Rules: the Case of Brazil
Charles Lima de Almeida, Marco Aurélio Peres, Geraldo da Silva e Souza and Benjamin Miranda Tabak
Feb/2003
64 Medium-Size Macroeconomic Model for the Brazilian Economy
Marcelo Kfoury Muinhos and Sergio Afonso Lago Alves Feb/2003
65 On the Information Content of Oil Future Prices
Benjamin Miranda Tabak
Feb/2003
66 A Taxa de Juros de Equilíbrio: uma Abordagem Múltipla
Pedro Calhman de Miranda e Marcelo Kfoury Muinhos
Fev/2003
67 Avaliação de Métodos de Cálculo de Exigência de Capital para Risco de Mercado de Carteiras de Ações no Brasil
Gustavo S. Araújo, João Maurício S. Moreira e Ricardo S. Maia Clemente
Fev/2003
68 Real Balances in the Utility Function: Evidence for Brazil
Leonardo Soriano de Alencar and Márcio I. Nakane
Feb/2003
69 r-filters: a Hodrick-Prescott Filter Generalization
Fabio Araújo, Marta Baltar Moreira Areosa and José Alvaro Rodrigues Neto
Feb/2003
70 Monetary Policy Surprises and the Brazilian Term Structure of Interest Rates
Benjamin Miranda Tabak
Feb/2003
71 On Shadow-Prices of Banks in Real-Time Gross Settlement Systems
Rodrigo Penaloza
Apr/2003
72 O Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras
Ricardo Dias de Oliveira Brito, Angelo J. Mont'Alverne Duarte e Osmani Teixeira de C. Guillen
Maio/2003
73 Análise de Componentes Principais de Dados Funcionais – uma Aplicação às Estruturas a Termo de Taxas de Juros
Getúlio Borges da Silveira e Octavio Bessada
Maio/2003
74 Aplicação do Modelo de Black, Derman & Toy à Precificação de Opções Sobre Títulos de Renda Fixa
Octavio Manuel Bessada Lion, Carlos Alberto Nunes Cosenza e César das Neves
Maio/2003
75 Brazil’s Financial System: Resilience to Shocks, no Currency Substitution, but Struggling to Promote Growth
Ilan Goldfajn, Katherine Hennings and Helio Mori
76 Inflation Targeting in Emerging Market Economies
Arminio Fraga, Ilan Goldfajn and André Minella
Jun/2003
77 Inflation Targeting in Brazil: Constructing Credibility under Exchange Rate Volatility
André Minella, Paulo Springer de Freitas, Ilan Goldfajn and Marcelo Kfoury Muinhos
Jul/2003
78 Contornando os Pressupostos de Black & Scholes: Aplicação do Modelo de Precificação de Opções de Duan no Mercado Brasileiro
Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo, Antonio Carlos Figueiredo, Eduardo Facó Lemgruber
Out/2003
79 Inclusão do Decaimento Temporal na Metodologia Delta-Gama para o Cálculo do VaR de Carteiras Compradas em Opções no Brasil
Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo, Eduardo Facó Lemgruber
Out/2003
80 Diferenças e Semelhanças entre Países da América Latina: uma Análise de Markov Switching para os Ciclos Econômicos de Brasil e Argentina
Arnildo da Silva Correa
Out/2003
81 Bank Competition, Agency Costs and the Performance of the Monetary Policy
Leonardo Soriano de Alencar and Márcio I. Nakane
Jan/2004
82 Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro
Cláudio Henrique da Silveira Barbedo e Gustavo Silva Araújo
Mar/2004
83 Does Inflation Targeting Reduce Inflation? An Analysis for the OECD Industrial Countries
Thomas Y. Wu
May/2004
84 Speculative Attacks on Debts and Optimum Currency Area: a Welfare Analysis
Aloisio Araujo and Marcia Leon
May/2004
85 Risk Premia for Emerging Markets Bonds: Evidence from Brazilian Government Debt, 1996-2002
André Soares Loureiro and Fernando de Holanda Barbosa
May/2004
86 Identificação do Fator Estocástico de Descontos e Algumas Implicações sobre Testes de Modelos de Consumo
Fabio Araujo e João Victor Issler
Maio/2004
87 Mercado de Crédito: uma Análise Econométrica dos Volumes de Crédito Total e Habitacional no Brasil
Ana Carla Abrão Costa
Dez/2004
88 Ciclos Internacionais de Negócios: uma Análise de Mudança de Regime Markoviano para Brasil, Argentina e Estados Unidos
Arnildo da Silva Correa e Ronald Otto Hillbrecht
Dez/2004
89 O Mercado de Hedge Cambial no Brasil: Reação das Instituições Financeiras a Intervenções do Banco Central
Fernando N. de Oliveira
90 Bank Privatization and Productivity: Evidence for Brazil
Márcio I. Nakane and Daniela B. Weintraub
Dec/2004
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
Dec/2004
92 Steady-State Analysis of an Open Economy General Equilibrium Model for Brazil
Mirta Noemi Sataka Bugarin, Roberto de Goes Ellery Jr., Victor Gomes Silva, Marcelo Kfoury Muinhos
Apr/2005
93 Avaliação de Modelos de Cálculo de Exigência de Capital para Risco Cambial
Claudio H. da S. Barbedo, Gustavo S. Araújo, João Maurício S. Moreira e Ricardo S. Maia Clemente
Abr/2005
94 Simulação Histórica Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares
Claudio Henrique da Silveira Barbedo, Gustavo Silva Araújo e Eduardo Facó Lemgruber
Abr/2005
95 Comment on Market Discipline and Monetary Policy by Carl Walsh
Maurício S. Bugarin and Fábia A. de Carvalho
Apr/2005
96 O que É Estratégia: uma Abordagem Multiparadigmática para a Disciplina
Anthero de Moraes Meirelles
Ago/2005
97 Finance and the Business Cycle: a Kalman Filter Approach with Markov Switching
Ryan A. Compton and Jose Ricardo da Costa e Silva
Aug/2005
98 Capital Flows Cycle: Stylized Facts and Empirical Evidences for Emerging Market Economies
Helio Mori e Marcelo Kfoury Muinhos
Aug/2005
99 Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro
Gustavo Silva Araújo, Claudio Henrique da Silveira Barbedo,e Eduardo Facó Lemgruber
Set/2005
100 Targets and Inflation Dynamics
Sergio A. L. Alves and Waldyr D. Areosa
Oct/2005
101 Comparing Equilibrium Real Interest Rates: Different Approaches to Measure Brazilian Rates
Marcelo Kfoury Muinhos and Márcio I. Nakane
Mar/2006
102 Judicial Risk and Credit Market Performance: Micro Evidence from Brazilian Payroll Loans
Ana Carla A. Costa and João M. P. de Mello
Apr/2006
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
104 Extração de Informação de Opções Cambiais no Brasil
Eui Jung Chang e Benjamin Miranda Tabak
Abr/2006
105 Representing Roommate’s Preferences with Symmetric Utilities
José Alvaro Rodrigues Neto
Apr/2006
106 Testing Nonlinearities Between Brazilian Exchange Rates and Inflation Volatilities
Cristiane R. Albuquerque and Marcelo Portugal
May/2006
107 Demand for Bank Services and Market Power in Brazilian Banking
Márcio I. Nakane, Leonardo S. Alencar and Fabio Kanczuk
Jun/2006
108 O Efeito da Consignação em Folha nas Taxas de Juros dos Empréstimos Pessoais
Eduardo A. S. Rodrigues, Victorio Chu, Leonardo S. Alencar e Tony Takeda
Jun/2006
109 The Recent Brazilian Disinflation Process and Costs
Alexandre A. Tombini and Sergio A. Lago Alves
Jun/2006
110 Fatores de Risco e o Spread Bancário no Brasil
Fernando G. Bignotto e Eduardo Augusto de Souza Rodrigues
Jul/2006
111 Avaliação de Modelos de Exigência de Capital para Risco de Mercado do Cupom Cambial
Alan Cosme Rodrigues da Silva, João Maurício de Souza Moreira e Myrian Beatriz Eiras das Neves
Jul/2006
112 Interdependence and Contagion: an Analysis of Information Transmission in Latin America's Stock Markets
Angelo Marsiglia Fasolo
Jul/2006
113 Investigação da Memória de Longo Prazo da Taxa de Câmbio no Brasil
Sergio Rubens Stancato de Souza, Benjamin Miranda Tabak e Daniel O. Cajueiro
Ago/2006
114 The Inequality Channel of Monetary Transmission
Marta Areosa and Waldyr Areosa
Aug/2006
115 Myopic Loss Aversion and House-Money Effect Overseas: an Experimental Approach
José L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Sep/2006
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 dos Santos
Sep/2006
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
Sep/2006
118 Contagion, Bankruptcy and Social Welfare Analysis in a Financial Economy with Risk Regulation Constraint
Aloísio P. Araújo and José Valentim M. Vicente
119 A Central de Risco de Crédito no Brasil: uma Análise de Utilidade de Informação
Ricardo Schechtman
Out/2006
120 Forecasting Interest Rates: an Application for Brazil
Eduardo J. A. Lima, Felipe Luduvice and Benjamin M. Tabak
Oct/2006
121 The Role of Consumer’s Risk Aversion on Price Rigidity
Sergio A. Lago Alves and Mirta N. S. Bugarin
Nov/2006
122 Nonlinear Mechanisms of the Exchange Rate Pass-Through: a Phillips Curve Model With Threshold for Brazil
Arnildo da Silva Correa and André Minella
Nov/2006
123 A Neoclassical Analysis of the Brazilian “Lost-Decades”
Flávia Mourão Graminho
Nov/2006
124 The Dynamic Relations between Stock Prices and Exchange Rates: Evidence for Brazil
Benjamin M. Tabak
Nov/2006
125 Herding Behavior by Equity Foreign Investors on Emerging Markets
Barbara Alemanni and José Renato Haas Ornelas
Dec/2006
126 Risk Premium: Insights over the Threshold
José L. B. Fernandes, Augusto Hasman and Juan Ignacio Peña
Dec/2006
127 Uma Investigação Baseada em Reamostragem sobre Requerimentos de Capital para Risco de Crédito no Brasil
Ricardo Schechtman
Dec/2006
128 Term Structure Movements Implicit in Option Prices
Caio Ibsen R. Almeida and José Valentim M. Vicente
Dec/2006
129 Brazil: Taming Inflation Expectations
Afonso S. Bevilaqua, Mário Mesquita and André Minella
Jan/2007
130 The Role of Banks in the Brazilian Interbank Market: Does Bank Type Matter?
Daniel O. Cajueiro and Benjamin M. Tabak
Jan/2007
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
Mar/2007
132 Credit Risk Monte Carlo Simulation Using Simplified Creditmetrics’ Model: the Joint Use of Importance Sampling and Descriptive Sampling
Jaqueline Terra Moura Marins and Eduardo Saliby
Mar/2007
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
Mar/2007
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
Eduardo Saliby, Sergio Luiz Medeiros Proença de Gouvêa e Jaqueline Terra Moura Marins
135 Evaluation of Default Risk for the Brazilian Banking Sector
Marcelo Y. Takami and Benjamin M. Tabak
May/2007
136 Identifying Volatility Risk Premium from Fixed Income Asian Options
Caio Ibsen R. Almeida and José Valentim M. Vicente
May/2007
137 Monetary Policy Design under Competing Models of Inflation Persistence
Solange Gouvea e Abhijit Sen Gupta
May/2007
138 Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil
Marcos M. Abe, Eui J. Chang and Benjamin M. Tabak
May/2007
139 Selection of Optimal Lag Length inCointegrated VAR Models with Weak Form of Common Cyclical Features
Carlos Enrique Carrasco Gutiérrez, Reinaldo Castro Souza and Osmani Teixeira de Carvalho Guillén
Jun/2007
140 Inflation Targeting, Credibility and Confidence Crises
Rafael Santos and Aloísio Araújo
Aug/2007
141 Forecasting Bonds Yields in the Brazilian Fixed income Market
Jose Vicente and Benjamin M. Tabak
Aug/2007
142 Crises Análise da Coerência de Medidas de Risco no Mercado Brasileiro de Ações e Desenvolvimento de uma Metodologia Híbrida para o
Expected Shortfall
Alan Cosme Rodrigues da Silva, Eduardo Facó Lemgruber, José Alberto Rebello Baranowski e Renato da Silva Carvalho
Ago/2007
143 Price Rigidity in Brazil: Evidence from CPI Micro Data
Solange Gouvea
Sep/2007
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
Oct/2007
145 The Stability-Concentration Relationship in the Brazilian Banking System
Benjamin Miranda Tabak, Solange Maria Guerra, Eduardo José Araújo Lima and Eui Jung Chang
Oct/2007
146 Movimentos da Estrutura a Termo e Critérios de Minimização do Erro de Previsão em um Modelo Paramétrico Exponencial
Caio Almeida, Romeu Gomes, André Leite e José Vicente
Out/2007
147 Explaining Bank Failures in Brazil: Micro, Macro and Contagion Effects (1994-1998)
Adriana Soares Sales and Maria Eduarda Tannuri-Pianto
Oct/2007
148 Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
Felipe Pinheiro, Caio Almeida e José Vicente
Out/2007
149 Joint Validation of Credit Rating PDs under Default Correlation
Ricardo Schechtman
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
Oct/2007
151 Building Confidence Intervals with Block Bootstraps for the Variance Ratio Test of Predictability
Nov/2007
Eduardo José Araújo Lima and Benjamin Miranda Tabak
152 Demand for Foreign Exchange Derivatives in Brazil: Hedge or Speculation?
Fernando N. de Oliveira and Walter Novaes
Dec/2007
153 Aplicação da Amostragem por Importância à Simulação de Opções Asiáticas Fora do Dinheiro
Jaqueline Terra Moura Marins
Dez/2007
154 Identification of Monetary Policy Shocks in the Brazilian Market for Bank Reserves
Adriana Soares Sales and Maria Tannuri-Pianto
Dec/2007
155 Does Curvature Enhance Forecasting?
Caio Almeida, Romeu Gomes, André Leite and José Vicente
Dec/2007
156 Escolha do Banco e Demanda por Empréstimos: um Modelo de Decisão em Duas Etapas Aplicado para o Brasil
Sérgio Mikio Koyama e Márcio I. Nakane
Dez/2007
157 Is the Investment-Uncertainty Link Really Elusive? The Harmful Effects of Inflation Uncertainty in Brazil
Tito Nícias Teixeira da Silva Filho
Jan/2008
158 Characterizing the Brazilian Term Structure of Interest Rates
Osmani T. Guillen and Benjamin M. Tabak
Feb/2008
159 Behavior and Effects of Equity Foreign Investors on Emerging Markets
Barbara Alemanni and José Renato Haas Ornelas
Feb/2008
160 The Incidence of Reserve Requirements in Brazil: Do Bank Stockholders Share the Burden?
Fábia A. de Carvalho and Cyntia F. Azevedo
Feb/2008
161 Evaluating Value-at-Risk Models via Quantile Regressions
Wagner P. Gaglianone, Luiz Renato Lima and Oliver Linton
Feb/2008
162 Balance Sheet Effects in Currency Crises: Evidence from Brazil
Marcio M. Janot, Márcio G. P. Garcia and Walter Novaes
Apr/2008
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
164 Foreign Banks’ Entry and Departure: the recent Brazilian experience (1996-2006)
Pedro Fachada
Jun/2008
165 Avaliação de Opções de Troca e Opções de Spread Européias e Americanas
Giuliano Carrozza Uzêda Iorio de Souza, Carlos Patrício Samanez e Gustavo Santos Raposo
