In this paper we present systemic risk measures based on contingent claims approach, banking sector multivariate density and cluster analysis. These indicators aim to capture credit risk stress and its potential to become systemic. The proposed measures capture not only individual bank...

This paper presents the quarterly survey on Financial Stability conducted by the Central Bank of Brazil since September 2011. It presents aggregate results, which were obtained with the answers of participant financial institutions. The objective of the survey is to consolidate market...

This paper presents measures for the mitigation of systemic risk adopted in the Brazilian Payment System, and payments processed by this system are analyzed in order to identify potential sources of systemic risk. Measures for the mitigation of systemic risk within the Brazilian Payment System...

This paper proposes a novel way to model a network of firm-bank and bank-bank interrelationships using a unique dataset for the Brazilian economy. We show that distress originating from firms can be propagated through the interbank network. Furthermore, we present evidence that the distribution...

We study what is the systemic impact of banks' foreign funding and what are the determinants of this flow of international money. With that, we intend to establish a relation between banks' foreign funding, carry trade, exchange rate exposure and banking system risk which is novel in the...

This paper addresses the issue of how individual bank interconnectivity and the interbank network topology impact on Brazilian banking efficiency between 2007 and 2013. We use several network measures to analyze the effects of bank interconnections on cost, profit and risk-taking efficiency. The...

This paper proposes a new efficiency index to model time-varying inefficiency in stock markets. We focus on European stock markets and show that they have different degrees of time-varying efficiency. We observe that the 2008 global financial crisis has had an adverse effect on almost all EU...

We empirically test the effects of anticipated and unanticipated monetary policy shocks on the growth rate of real industrial production and explicitly test for different types of asymmetries in monetary policy implementation for two major international economies, the U.S. and Brazil. We depart...

This work examines the determinants of the capital structure of Brazilian companies between the years 2000 and 2009. Based on quantile regression model and on the comparison with conventional models (least squares and fixed effects), the work provides better understanding of capital structure to...

This paper consists of an empirical investigation of Brazilian banks' profitability determinants. The panel data is composed of quarterly information for 71 banks between the first quarter of 2002 and the second quarter of 2012. Using data from the Brazilian banking system, we study the...