Eficácia das intervenções do Banco Central do Brasil sobre a volatilidade condicional da taxa de câmbio nominal

Oliveira, Fernando Nascimento de; Plaga, Alessandra Ribeiro

doi:10.1590/s0034-71402011000100005

Cited by 6 publications

(4 citation statements)

References 10 publications

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“…Based mainly on E-GARCH models estimated on daily data from 1999 to 2006, Oliveira and Plaga (2011) study the effects of different types of FX interventions-spot, FX-linked bonds, and swaps-on the conditional volatility of the Real, assuming that these types of interventions are exogenous to the exchange rate. They find that interventions through spot auctions and FX-linked bonds affected FX volatility in the currency crisis of 1999 and 2002, respectively.…”

Section: Literature Reviewmentioning

confidence: 99%

A Macroeconomic Perspective on Brazilian FX Swaps

Filho¹

2022

Brazilian Review of Econometrics

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This paper takes a macroeconomic perspective on Brazilian foreignexchange swaps. It was found that foreign exchange swap shocks lowerination, ease nancial conditions by reducing the risk premium, areassociated with temporarily higher economic activity and lower interestrates in the medium run. After a swap shock, the impact on theexchange rate is at best short-lived. A counterfactual exchange ratewithout the contribution of swap shocks shows periods when the Realwould be almost 4 percent weaker.

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Section: Literature Reviewmentioning

confidence: 99%

A Macroeconomic Perspective on Brazilian FX Swaps

Filho¹

2022

Brazilian Review of Econometrics

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“…Other papers analyze different effects of intervention of the CBB on the foreign exchange market, such as those on the conditional volatility of the exchange rate and on the level and volatility of futures of foreign exchange rate. In the case of the former, Oliveira and Plaga (2011) use daily data of nominal exchange rate and the interventions for the period from January 1999 to September 2006. In all sample periods studied, including those with currency crises, some instrument of intervention affects the conditional volatility of the nominal exchange rate.…”

Section: Review Of the Literature On Foreign Exchange Rate Interventionsmentioning

confidence: 99%

New evidence on the effectiveness of interventions in the foreign exchange market in Brazil

Oliveira

2020

Braz. Rev. Fin.

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<p>This paper discusses the effectiveness in Brazil of the traditional instrument of exchange rate intervention (spot interventions) as well as an instrument based on exchange rate derivatives (foreign exchange swaps). We show that these instruments are capable of affecting the conditional mean of the process of the nominal exchange rate throughout our sample period, from January 2006 to April 2016. Our results are robust to different techniques of estimation (GMM in continuous time and in discrete time), specifications and sample periods.</p><p> </p>

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“…Há um conjunto de diferentes motivos para que a autoridade monetária busque afetar o câmbio: ajustes no balanço de pagamentos, estabilidade de preços domésticos via pass-through, 1 redução do prêmio de risco resultante de volatilidade cambial, sustentação de um determinado patamar para incentivar setores específicos, entre outros (Borges & Rossi Jr., 2010, Oliveira & Plaga, 2011. Entretanto, a intervenção também pode se distanciar da tentativa de afetar o comportamento do câmbio, caso vise majorar o estoque de reservas internacionais.…”

Section: Introductionunclassified

O que motiva a realização de intervenções cambiais? Análise das atuações do Banco Central do Brasil no mercado BRL/USD

Teixeira¹,

Meurer²,

Santos³

2013

Braz. Rev. Fin.

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In this paper we study what drives buy-side and sell-side probabilities of intervention by the Brazilian Central Bank (BCB) on the USD/BRL spot market between 1999 and 2010. BCB’s forex interventions seem to be related to the exchange rate returns and volatility as well as to the spread between domestic and foreign interest rates. Lagged interventions also appear to have an effect on current interventions. Our findings suggest that the operation of the policymaker in the forex market may serve as a signaling of a possible coordination between BCB’s foreign and monetary policies along with the possibility of an unofficial adoption of an exchange rate band.

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Eficácia das intervenções do Banco Central do Brasil sobre a volatilidade condicional da taxa de câmbio nominal

Cited by 6 publications

References 10 publications

A Macroeconomic Perspective on Brazilian FX Swaps

A Macroeconomic Perspective on Brazilian FX Swaps

New evidence on the effectiveness of interventions in the foreign exchange market in Brazil

O que motiva a realização de intervenções cambiais? Análise das atuações do Banco Central do Brasil no mercado BRL/USD

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