A. Luduvice

Benjamin M. Tabak

Daniel O. Cajueiro

English

Research Papers in Economics

1 Implementing Inflation Targeting in Brazil Joel Bogdanski, Alexandre Antonio Tombini and Sérgio Ribeiro da Costa Werlang

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,

4. Panel Regressions for Default Probabilities. (1) (2) (3) VARIABLES PD PD PD PDt¡1 0.643* 0.701* 0.918* (0.0142) (0.0132) (0.00751) IPCA 0.369* 0.213* -0.00630 (0.0868) (0.0750) (0.0545) ¢(Rt) 5.156* 5.066* 3.185* (0.609) (0.568) (0.428) ¢(Oilt)

A heteroskedacity-consistent covariance matrix estimator and a direct test for heteroskedacity.

A network analysis of the chinese stock market.

A simple, positive de¯nite, heteroskedasticity and autocorrelation consistent covariance matrix.

Additional evidence on the information-based contagion e®ects of bank failures.

An interest rates cluster analysis.

An Introduction to Econophysics: Correlations and Complexity in Finance.

Assessing ¯nancial instability: The case of brazil.

Banking regulation and the output cost of banking crises.

Calculation the probability of failure of the norwegian banking sector.

Characteristics of the korean stock market correlations.

Characterization of complex networks: a survey of measurements.

Comovements in the equity prices of large complex ¯nancial institutions.

Complementaridade e Fungibilidade dos Fluxos de Capitais Internacionais Carlos Hamilton Vasconcelos

Complex networks: structure and dynamics.

Contagion °ow through banking networks. Quantitative ¯nance papers,

Costs of ¯nancial instability, household-sector balance sheets and consumption.

Costs of banking system instability: Some empirical evidence.

Default risk, systematic risk and thai ¯rms before, during and after the asian crisis.

Dynamic asset trees and black monday.

Dynamics of market correlations: Taxonomy and portfolio analysis.

Electricity Fig. 3. Probabilities of default in di®erent market sectors, shown in logarithmic scale.

Evaluation of the Central Bank of Brazil Structural Model’s Inflation Forecasts in an Inflation Targeting Framework Sergio Afonso Lago Alves

Hierarchical structure in ¯nancial markets.

How consistent are credit ratings? A geographic and sectoral analysis of default risk.

Industrial Good & Services Beverages Brewers Oil & Gas Production Personal & Household Goods Tobacco Retail Food & Drug Retail Broadline Retail

Interest rates hierarchical structure. Physica A 355.

Loss Aversion and House-Money Effect Overseas: an Experimental Approach

Network models and ¯nancial stability.

Panel Data Econometrics.

Predicting default probabilities and implementing trading stratagies for emerging markets bond portfolios.

Prêmio pela Maturidade na Estrutura a Termo das Taxas de Juros Brasileiras Ricardo Dias de

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

Risk factors in the malaysian stock market.

Risk management in credit risk portfolios with correlated assets.

Should sme exposures be treated as retail or corporate exposures? a comparative analysis of default probabilities and asset correlations in franch and german smes.

Some tests of speci¯cation for panel data: Monte carlo evidence and an application to employment equations.

Statistical mechanics of complex networks.

Steady-State Analysis of an Open Economy General Equilibrium Model for Brazil Mirta Noemi Sataka

Systemic risk on the interbank market.

Tabak Aug/2007

Targeting, Credibility and Confidence Crises Rafael Santos and Aloísio Araújo Aug/2007

The evolution of interdependence in world equity markets - evidence from minimum spanning trees.

The evolution of interdependence in world equity markets{ evidence from minimum spanning trees.

The expectation hypothesis of interest rates and network theory: The case of brazil.

The market's view on the probability of banking sector failure: cross-country comparisions.

The role of banks in the brazilian interbank market: Does bank type matter? Physica A: Statistical Mechanics and its

The subprime crisis and its consequences.

Using the arbitrage pricing theory to calculate the probability of ¯nancial institution failure:

Modeling Default Probabilities: the case of Brazil

http://www.bcb.gov.br/pec/wps/ingl/wps232.pdf

Modeling Default Probabilities: the case of Brazil

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