Sergio Rubens Stancato de Souza

Long-Range Dependence in Exchange Rates: the case of the European Monetary System

In this work we measure the evolution of the long-range dependence phenomenon of returns and volatilities of nominal British exchange rates (British pound against US dollar) futures contracts negotiated on the Chicago Mercantile Exchange from 1986 to 2004. The measurement employs the R/S classic analysis, Detrended Fluctuation Analysis and Generalized Hurst exponents, upon a 1008-observation window, which moves along the data. We obtain as a result, the effects of the 1992 European financial crisis on the measurements of the long-range dependency phenomenon. After the crisis the returns of this futures contract showed no signs of the long-range memory, which existed before the crisis. The volatility presented moderate long-range memory the whole time. We also test for long-memory in European currencies inside the European Monetary System and find evidence of moderate long memory, which suggests that being inside the EMS increases predictability.

Connectivity and Systemic Risk in the Brazilian National Payments System

We analyze a unique dataset, with funds transfers processed by the Brazilian Payments System, using network theory concepts. The analyses show that there is a subset of financial institutions acting as money centers. The local importance of the financial institutions is moderately concentrated and increased between 2006 and 2011. We also analyze the impact the default of institutions cause on their neighborhood and find the possible contagion paths within the banking system. The contagion paths change over time, but the central institutions remain the same. These locally central institutions, most of times, are also the systemically most central ones, when considered the entire financial system impact their default provoke. The analyses performed and their results summarize information on the network structure and on its central institutions. This information is relevant for monitoring a payments system.

Investigação da memória de longo prazo na taxa de câmbio no Brasil

Neste trabalho, e medida a evolucao da memoria de longo prazo da taxa de câmbio diaria, Real contra Dolar dos Estados Unidos, no periodo de 1995 a 2004. Essa medicao e realizada por meio da analise R/S classica, com janela movel de dados. O trabalho focaliza o abandono do regime de câmbio administrado em favor do de câmbio flutuante, ocorrido em 1999, identificando antipersistencia da taxa de câmbio durante a vigencia do primeiro regime e memoria longa a partir do inicio da vigencia do segundo regime. Mostra tambem evidencia de memoria longa para as volatilidades dos retornos das taxas analisadas.