Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy

dc.contributor.authorMoura, Marcelo L.
dc.contributor.authorPereira, Fátima R.
dc.contributor.authorAttuy, Guilherme de Moraes
dc.coverage.cidadeSão Paulopt_BR
dc.coverage.paisBrasilpt_BR
dc.creatorMoura, Marcelo L.
dc.creatorPereira, Fátima R.
dc.creatorAttuy, Guilherme de Moraes
dc.date.accessioned2023-07-25T03:51:16Z
dc.date.available2023-07-25T03:51:16Z
dc.date.issued2012
dc.description.otherThis paper investigates the impact of central bank interventions on the level and volatility of exchange rates. We explore the case of Brazil, the 7th largest economy in the world in 2012, which since 1999 has adopted a floating exchange rate. As Central Bank decisions to intervene in the exchange market are not independent of market conditions, we esti mated a Central Bank reaction function using a logit model including market fundamentals and macroeconomic surprises as explanatory variables. We employed the nonparametric Propensity Score Matching (PSM) method to find counterfactual pairs of intervention and non-intervention days. This indicated that the effectiveness of foreign exchange interven tions depends on the period analyzed. For instance, from 1999 to 2003, with scarce and smaller interventions, the buying operations of U.S. Dollars depreciated the Brazilian Real whereas from 2004 to 2012, a period with larger and frequent interventions, only selling interventions were significant, and tended to increase the currency’s volatility.pt_BR
dc.format.extent39 p.pt_BR
dc.format.mediumDigitalpt_BR
dc.identifier.issueWPE 304/2013
dc.identifier.urihttps://repositorio.insper.edu.br/handle/11224/5939
dc.language.isoInglêspt_BR
dc.publisherInsperpt_BR
dc.relation.ispartofseriesInsper Working Paperpt_BR
dc.rights.licenseO INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITORpt_BR
dc.subject.keywordsCentral Bank interventionpt_BR
dc.subject.keywordsExchange ratept_BR
dc.subject.keywordsFutures exchange ratept_BR
dc.subject.keywordsPropensity Score Matchingpt_BR
dc.subject.keywordsDerivatives interventionpt_BR
dc.titleCurrency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economypt_BR
dc.typeworking paper
dspace.entity.typePublication
local.subject.cnpqCiências Sociais Aplicadaspt_BR
local.typeWorking Paperpt_BR
Arquivos
Pacote Original
Agora exibindo 1 - 1 de 1
Carregando...
Imagem de Miniatura
Nome:
2013_wpe304.pdf
Tamanho:
412.14 KB
Formato:
Adobe Portable Document Format
Descrição:
2013_wpe304
Licença do Pacote
Agora exibindo 1 - 1 de 1
N/D
Nome:
license.txt
Tamanho:
282 B
Formato:
Item-specific license agreed upon to submission
Descrição: