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A Macroeconomic Perspective on Brazilian FX Swaps

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  • da Costa Filho, Adonias Evaristo

Abstract

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.

Suggested Citation

  • da Costa Filho, Adonias Evaristo, 2022. "A Macroeconomic Perspective on Brazilian FX Swaps," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 41(1), June.
    • Handle: RePEc:sbe:breart:v:41:y:2022:i:1:a:82360
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    1. Daude, Christian & Levy Yeyati, Eduardo & Nagengast, Arne J., 2016. "On the effectiveness of exchange rate interventions in emerging markets," Journal of International Money and Finance, Elsevier, vol. 64(C), pages 239-261.
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