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

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  • Janot, Marcio Magalhães
  • Macedo, Leonardo Peixoto

Abstract

Este artigo estima os efeitos das intervenções cambiais do Banco Central do Brasil sobre o retorno e volatilidade da taxa de câmbio futura BRL/USD usando dados intradiários de outubro de 2011 a março de 2015. Os resultados mostram que as intervenções não antecipadas pelo mercado impactam de modo persistente o nível da taxa de câmbio e os efeitos variam com o tamanho das intervenções. Volumes negociados mais elevados impactam a taxa de câmbio mais fortemente que intervenções menores. Por fim, não encontramos evidências de que as intervenções cambiais reduzem de maneira significativa a volatilidade cambial no curto prazo.

Suggested Citation

  • Janot, Marcio Magalhães & Macedo, Leonardo Peixoto, 2016. "Efeitos das intervenções cambiais sobre a taxa de câmbio futura no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
    • Handle: RePEc:fgv:epgrbe:v:70:y:2016:i:4:a:59825
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    Cited by:

    1. Polo, Andrea & Gonzalez, Rodrigo & Khametshin, Dmitry & Peydró, José-Luis, 2018. "Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit and Global Financial Cycles," CEPR Discussion Papers 12817, C.E.P.R. Discussion Papers.
    2. Tarciso Gouveia da Silva & Osmani Teixeira de Carvalho Guillén & George Augusto Noronha Morcerf & Andre de Melo Modenesi, 2020. "Effects of Monetary Policy News on Financial Assets: evidence from Brazil on a bivariate VAR-GARCH model (2006-17)," Working Papers Series 536, Central Bank of Brazil, Research Department.
    3. Jara, Alejandro & Piña, Marco, 2023. "Exchange rate volatility and the effectiveness of FX interventions: The case of Chile," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 4(2).
    4. Luna Santos, Francisco, 2021. "Comparing the impact of discretionary and pre-announced central bank interventions," Journal of International Money and Finance, Elsevier, vol. 110(C).
    5. da Silva, Tarciso Gouveia & de Carvalho Guillén, Osmani Teixeira & Morcerf, George Augusto Noronha & de Melo Modenesi, Andre, 2022. "Effects of monetary policy news on financial assets: Evidence from Brazil on a bivariate VAR-GARCH model (2006–17)," Emerging Markets Review, Elsevier, vol. 52(C).
    6. Nikhil Patel & Paolo Cavllino, 2019. "FX intervention: goals, strategies and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Reserve management and FX intervention, volume 104, pages 25-44, Bank for International Settlements.

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