Benjamin Miranda Tabak

Learn More
This paper investigates cost, technical and allocative efficiencies for Brazilian banks in the recent period (2000-2007). We use Data Envelopment Analysis (DEA) to compute efficiency scores. Brazilian banks were found to have low levels of economic (cost) efficiency compared to banks in Europe and in the US. For the period with high macroeconomic volatility(More)
JEL classification: G21 G23 C63 L14 Keywords: Systemic risk Financial stability Interbank market Stress test Macroprudential Network a b s t r a c t In this paper, we propose a novel methodology to measure systemic risk in networks composed of financial institutions. Our procedure combines the impact effects obtained from stress measures that rely on(More)
We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal(More)
This paper evaluates the effect of a change in the quantity of money on relative prices in the U.S. economy based on quarterly time-series for the period of 1959 to 2013. We also estimate the implication of a change in relative prices on the rate of inflation and macroeconomic variables. The empirical results indicate that the change of money supply not(More)
This paper examines the bank lending channel, which considers how monetary authority actions affect the variation of loans. We focus on the BRICS (Brazil, Russia, India, China and South Africa) totalizing 1254 banks from five countries in the period 2000-2012 (totalizing 13 years). The empirical results show that the effect of money supply growth on the(More)
Keywords: Interest rates Forecasts Multiresolution analysis Wavelets Yield spread Term structure of interest rates a b s t r a c t In the present paper we apply multiresolution decomposition in order to test if the Brazilian yield spread has informational content in the prediction of inflation. Additionally, we investigate the effect of the implementation(More)