Short-term return bear influence on common investors and fund managers. However, the correct forecast of short-term market movements is not a trivial task. The purpose of this essay is to verify, according to Herold et al. (2007), if the dynamic allocation amongst main Brazilian asset classes...

The break-even inflation rate (the difference between nominal and real rates) is the main indicator of future price level. However, inflation expectation is only one of its components. In this article we present a simple economic model in order to split the break-even inflation rate in the...

This article develops leading indicators based on the cross-section of stock returns. The underlying assumption is that any information about future states of nature must be reflected in current stock prices. Three indicators are proposed: the approach employed by Allen et al. (2012), an...

In this article we study the deposit-taking and lending behavior of Brazilian banks before and after the subprime crisis. The distribution of both series present changes between these two periods. In addition, we implemented a vector autoregression model in order to construct the impulse...

Pricing interest rate derivatives is a challenging task that has attracted the attention of many researchers in recent decades. Portfolio and risk managers, policymakers, traders and more generally all market participants are looking for valuable information from derivative instruments. We use a...

In this paper we propose a statistical model to forecast the yield curve, using two major sources of information: data from a market survey and the forward rate risk premium. We apply the model to forecast the Brazilian yield curve six months ahead and compare the results with the well-known...