In third generation currency crises models, balance sheet losses from currency depreciations propagate the crises into the real sector of the economy. To test these models, we built a firmlevel database that allowed us to measure currency mismatches around the 2002 Brazilian currency crisis. We...

"Third-generation currency crises models" argue that capital losses from exchange-rate depreciation propagate the crises to the productive sector. To test these models, we use a firm-level dataset that allows us to measure currency mismatches around the 2002 Brazilian currency crisis. We find...

Este estudo tem como objetivo analisar a descoberta de preços no mercado cambial brasileiro e indicar qual dos mercados (à vista ou futuro) se ajusta mais rapidamente à chegada de novas informações. Utilizando-se dados em alta frequência entre janeiro de 2008 e junho de 2013, estimaram-se...

We review the arguments in the finance and open macroeconomics literature relevant for the Central Bank to set the level of the interest rate in an open economy. The two relevant risks are the currency and country risks. The country risk (Brazil Risk) is measured with different financials...

A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Aplicamos aqui os principais modelos teóricos e técnicas econométricas para identificação e mensuração do...

This paper uses a Threshold Autoregressive (TAR) model with exogenous variables to explain a change in regime in Brazilian nominal interest rates. By using an indicator of currency crises -which is chosen endogenously - the model tries to explain the difference in the dynamics of nominal...

This paper examines the recent evolution of the Brazilian public domestic debt and interprets it in light of the confidence crisis literature. The analysis of the recent developments in the Brazilian public domestic debt market shows that the likelihood of a default must not be assessed only...