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Efeitos das Intervenções Cambiais sobre a Taxa de Câmbio Futura no Brasil

Author

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  • Marcio Magalhães Janot
  • Leonardo Peixoto Macedo

Abstract

This paper estimates the effects of Brazilian Central Bank (BCB) interventions on the return and volatility of the BRL/USD future exchange rate using intraday data from October 2011 to March 2015. In addition, tests whether interventions with higher volumes affect the exchange rate more strongly than minor interventions. Finally, it investigates if interventions not expected by the market affect more the FX market than the announced ones. The results show that interventions, when not expected by the market, influence the exchange rate and the effects vary with the size of the intervention, though non-linearly. Furthermore, there is no evidence of decline in exchange rate volatility in the short term after the BCB's interventions in the FX market.

Suggested Citation

  • Marcio Magalhães Janot & Leonardo Peixoto Macedo, 2016. "Efeitos das Intervenções Cambiais sobre a Taxa de Câmbio Futura no Brasil," Working Papers Series 413, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:413
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/TD413.pdf
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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. 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).
    3. 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).
    4. 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.
    5. 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.
    6. 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).

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