After the end of high inflation in 1994, the Brazilian financial system experienced intense changes in its structure. Several programs were designed to recapitalize insolvent institutions. The first topic of this thesis shows an alternative explanation for the weakness of the financial system in this period. Since risk management of loans and inflationary floating are competitive activities in banks investments, higher inflation rate expectations may lead to institutions with higher risks of bankruptcy due to real interest rate shocks. The second topic of this thesis, we investigate the implications of different institutional designs of financial supervision. Considering that financial crisis may worsen the monetary policy trade-offs when supervision is provided by central bank, one outcome of the model is over-regulation of the financial system. In contrast to standard literature views, our model implies separation of the supervision and monetary policy activities in emerging markets countries, where bank crisis are often and monetary authority lack full credibility.