Modelagem Do Comportamento Ótimo Dos Bancos No Mercado De Reservas Brasileiro
This paper uses numerical methods to solve bank's cost minimization problem. Following Clouse and Dow (2002), we model bank's behavior using stochastic dynamic programming. We take account of institutional aspects of Brazilian regime that influence the bank's choice of reserves in the end of the day. The overlap of the account and accomplishment periods increases bank's demand for reserves in the first three days of the accomplishment period. This result is different from the American market where the reserve demand has upward trend over the accomplishment period, except on Fridays. We show that reserve demand in Brazil would present smaller variance during the accomplishment period if the uncertainty about requirement in the first three days were abolished.
|Date of creation:||2004|
|Contact details of provider:|| Postal: Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil|
Phone: 55 21 3674 7952
Web page: http://www.anpec.org.br
More information through EDIRC
|Order Information:|| Postal: Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Clouse, James A. & Dow, James Jr., 2002. "A computational model of banks' optimal reserve management policy," Journal of Economic Dynamics and Control, Elsevier, vol. 26(11), pages 1787-1814, September.
When requesting a correction, please mention this item's handle: RePEc:anp:en2004:032. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rodrigo Zadra Armond)
If references are entirely missing, you can add them using this form.