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The notion that an independent central bank reduces a country's inflation is a controversial hypothesis. To date, it has not been possible to satisfactorily answer this question because the complex macroeconomic structure that gives rise to…
This paper studies the dynamics of Brazilian interest rates for short-term maturities. The paper employs developed techniques in the econophysics literature and tests for long-range dependence in the term structure of these interest rates…
This paper examines the effectiveness of several forecasting methods for predicting inflation, focusing on aggregating disaggregated forecasts - also known in the literature as the bottom-up approach. Taking the Brazilian case as an…
A minimal central bank credibility, with a non-zero probability of not renegning his commitment ("quasi-commitment"), is a necessary condition for anchoring inflation expectations and stabilizing inflation dynamics. By contrast, a complete…
Credibility theory provides tools to obtain better estimates by combining individual data with sample information. We apply the Credibility theory to a Uniform distribution that is used in testing the reliability of forecasting an interest…
Since the beginning of this century the Colombian monetary authority has conducted monetary policy under a strategy based on setting targets for interest rate and inflation, while allowing the exchange rate of the U.S. dollar in domestic…
The main objective of this paper is to Identify which macroe conomic factors and industrial indexes influenced the total Brazilian banking spread between March 2011 and March 2015. This paper considers subclassification of industrial…
Bounded continuous data on the unit interval frequently arise in applied fields and often exhibit a non-negligible proportion of observations at the boundaries. Inflated regression models address this feature by combining a continuous…
The problem of causal inference is to determine if a given probability distribution on observed variables is compatible with some causal structure. The difficult case is when the causal structure includes latent variables. We here introduce…
The money supply is endogenous if the monetary policy strategy is the so called Inflation and Interest Rate Targeting, IRT. With that and perfect credibility, the theory of the price level and inflation only needs the Fisher equation, but…
The properties of Maximum Likelihood estimator in mixed causal and noncausal models with a generalized Student's t error process are reviewed. Several known existing methods are typically not applicable in the heavy-tailed framework. To…
We propose a new model for the joint evolution of the European inflation rate, the European Central Bank official interest rate and the short-term interest rate, in a stochastic, continuous time setting. We derive the valuation equation for…
The aim of this work is to address the description of hyperinflation regimes in economy. The spirals of hyperinflation developed in Brazil, Israel, and Nicaragua are revisited. This new analysis of data indicates that the episodes occurred…
The aim of the present paper is to provide criteria for a central bank of how to choose among different monetary-policy rules when caring about a number of policy targets such as the output gap and expected inflation. Special attention is…
A prediction interval covers a future observation from a random process in repeated sampling, and is typically constructed by identifying a pivotal quantity that is also an ancillary statistic. Analogously, a tolerance interval covers a…
The causal compatibility question asks whether a given causal structure graph -- possibly involving latent variables -- constitutes a genuinely plausible causal explanation for a given probability distribution over the graph's observed…
This paper investigates how dispersion in banks' subjective inflation forecasts is a channel of the transmission of monetary policy to credit supply. We extend the Monti-Klein model of monopolistic banking by incorporating risk aversion,…
Mutual information minimum spanning trees are used to explore nonlinear dependencies on Brazilian equity network in the periods from June/01/2015 to January/26/2016, in which Brazil was under the government of President Dilma Rousseff, and…
Data association, the problem of reasoning over correspondence between targets and measurements, is a fundamental problem in tracking. This paper presents a graphical model formulation of data association and applies an approximate…
This study analyzes the impact of the COVID-19 pandemic on currency circulation in Brazil by comparing actual data from 2000 to 2023 with counterfactual projections using the \textbf{SARIMA(3,1,1)(3,1,4)\textsubscript{12}} model. The model…