Rodrigo Andrés Peñaloza

Banking concentration and the price-concentration relationship: the case of Brazil

In this paper, we present a new measure of concentration that employs duality theory and a study on the evolution of banking concentration in the Brazilian banking system. We present evidence suggesting that this new measure of concentration is more informative than the usual Hirschman-Herfindahl Index (HHI), which is commonly employed in concentration studies. Finally, we study the relation between the banking structure (level of concentration) and price using a panel data model, macroeconomic and risk variables being controlled. There is no evidence that banking concentration leads to uncompetitive practices.

Preços-sombra no sistema de pagamentos: uma abordagem dual para a política monetária intradiária

We model the functioning of real-time gross settlement systems for large-value transfers as a linear programming problem in which queueing arrangements, splitting of payments, and Lombard loans arise as primal solutions. Then we use the dual programming problem associated with the maximization of the total flow of payments in order to determine the shadow-prices of banks in the payment system. We use these shadow-prices to set personalized intraday monetary policies such as reserve requirements, availability of Central Bank credit to temporarilly illiquid banks, extension of intraday interbank credit exposures, etc., so as to make the use of systemic liquidity more efficient.