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Financial fragility in a general equilibrium model: the Brazilian case

Annals of Finance volume 9, pages 519–541 (2013)Cite this article

Abstract

This paper employs a general equilibrium approach to model the Brazilian financial system. We show that the model is able to replicate the main characteristics of the data and to predict short-term trends. We calibrate the model for the years of 2002–2006, which comprise a crisis period in Brazil’s financial system. Empirical results suggest that the financial system is improving in terms of financial stability over time. Furthermore, the model has been proven useful to model the Brazilian banking system and could be employed to evaluate the impact of changes in financial regulation on the banking system.

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Authors and Affiliations

  1. Banco Central do Brasil, SBS Quadra 3, Bloco B, Ed. Sede, 13 Andar, Brasília, DF, 70074-900, Brazil

    Benjamin M. Tabak

  2. Department of Economics, Universidade Católica de Brasília, SGAN 916, Modulo B, W3 Norte, Asa Norte, Sala A-113, Brasília, CEP 70790-160, Brazil

    Benjamin M. Tabak

  3. Department of Economics, Universidade de Brasília, FACE, Brasília, DF, CEP 70910-900, Brazil

    Daniel O. Cajueiro

  4. National Institute of Science and Technology for Complex Systems, Universidade de Brasília, FACE, Brasília, DF, CEP 70910-900, Brazil

    Daniel O. Cajueiro

  5. Department of Economics, Universidade de São Paulo, FEA, São Paulo, SP, CEP 05508-900, Brazil

    Dimas M. Fazio

Authors
  1. Benjamin M. Tabak
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  2. Daniel O. Cajueiro
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  3. Dimas M. Fazio
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Corresponding author

Correspondence to Benjamin M. Tabak.

Additional information

The authors are grateful to partial financial support from CNPQ foundation. The opinions expressed in this paper are those of the authors and do not necessarily reflect those of the Banco Central do Brasil or its members. We also thank anonymous referees for helpful suggestions and comments.

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Tabak, B.M., Cajueiro, D.O. & Fazio, D.M. Financial fragility in a general equilibrium model: the Brazilian case. Ann Finance 9, 519–541 (2013). https://doi.org/10.1007/s10436-012-0199-9

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  • DOI: https://doi.org/10.1007/s10436-012-0199-9

Keywords

  • General equilibrium
  • Financial stability
  • Banking system
  • Financial regulation
  • Calibration

JEL Classification

  • G01
  • G10
  • G15
  • G18
  • G21