Efeitos das intervenções cambiais sobre a taxa de câmbio futura no Brasil

Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit, and Global Financial Cycles

“…Because BCB swaps provide the markets with hedging instruments similar to OTC forwards, the policy targets firms and financial intermediaries that demand FX instruments for hedging, and not the market participants who use the currency for actual settlement. 12 The former include institutions with 9 Auctions of BCB swaps ("traditional swaps") tend to increase the on-shore dollar rate creating arbitrage opportunities that attract USD inflows (Garcia and Volpon (2014)) 10 In the 2008 crisis, BCB auctioned USD 14.5 billion in the spot market and extended repo lines in dollars in several occasions (Pereira da Silva and Harris ( 2012)) The BCB has also auctioned at spot market between February and April of 2012 and used forwards in several occasions (Janot and Macedo (2016); Kohlscheen and Andrade (2014)). During 2013, the "repo lines" were part of the first phase of the intervention program.…”

The effects of the central bank intervention auctions on the foreign exchange futures market: evidence from Brazil

“…Using 10-minute intervals, they showed that the maximum impact on exchange rates occurred 60 to 70 minutes after the CBB announcement and argued that those impacts are associated with the auction's result release. Janot and Macedo (2016) analyzed the effects of CBB interventions on the intraday return and volatility between October 2011 and March 2015. Based on 5 minutes BRL/USD high-frequency future contract prices, they showed that non-programmed interventions had more and persistent impact on the foreign exchange market than the programmed ones.…”

“…There are several papers on CBB FX interventions, but they focused on the impact of the CBB interventions on the exchange rate levels, on the returns, and on the volatility (de Oliveira and Plaga, 2011;Nakashima, 2012;Kohlscheen and Andrade, 2013;Janot and Macedo, 2016).…”

Foreign Exchange Interventions in Brazil: Spillover Effects on Asset Prices

“…On those papers, usually there is a discussion about the endogeneity around the FX interventions, which occurs in specific days, and we are going to analyze further this issue in our next section. The three main empirical strategies to address the endogeneity are instrumental variables (Stone et al (2009), de Freitas Vervloet (2010), Barroso & others (2014), Nedeljkovic & Saborowski (2017)), ArCo (Chamon et al (2017)) and, in a certain way, intraday data (Kohlscheen et al (2013), Janot & Macedo (2016),Santos ( 2021)). Across all those papers we have estimates from 0.1 to 1.18 percent for each USD 1 billion operation.…”

“…Once more, we highlight that our results depend on the intervention type since we have shocks whose effect fades away and shocks that increase until the end of a trading day horizon. Janot & Macedo (2016) explore 2011-2015 interventions and, until 25 minutes after intervention, spot interventions have a 0.1 percent effect (per USD billion), and swap interventions practically do not affect the exchange rate, except for the pre-taper tantrum program ones (2011)(2012)(2013), which has a 0.5 percent impact. Our short term (30 minutes) evidence reinforce the paper's findings because the Intraday spot sales shock showed more power than the Intraday swap one.…”