Title:	Foreign exchange interventions through currency swaps in Brazil : an empirical study of the effects on the spot exchange rate
Authors:	Camargo, Luísa do Amaral
Orientador(es)::	Ellery Junior, Roberto de Goes
Assunto::	Intervenções cambiais Swaps cambiais Mercado de câmbio
Issue Date:	18-Feb-2020
Data de defesa::	17-Jul-2019
Citation:	CAMARGO, Luísa do Amaral. Foreign exchange interventions through currency swaps in Brazil: an empirical study of the effects on the spot exchange rate. 2019. 67 f., il. Dissertação (Mestrado em Economia)—Universidade de Brasília, Brasília, 2019.
Abstract:	In different episodes in 2018, the Central Bank of Brazil (BCB) announced official interventions in foreign exchange market. The BCB used as core intervention strategy the traditional foreign exchange swap contracts, which consist of currency forwards that settle in BRL and provide hedging to agents without reducing directly foreign exchange reserves. Even though these operations are akin to sterilized interventions, whose mechanism of impact on exchange rates is not as clear as in non-sterilized cases, the existing literature for Brazilian case provides evidence to the fact that currency swaps offerings announcements can impact the USD/BRL exchange rate returns. However, the results found vary and studies present different conclusions regarding the existence of impacts and their magnitude. In the present work, hourly data for the period between 11/30/2017 and 10/18/2018 is used in order to estimate impacts of new and rolling traditional currency swap contracts offerings announced by the BCB on the USD/BRL returns. For the estimation, a GARCH(1,1) is adopted as benchmark model. Results suggest that new swap contracts announcements have an immediate appreciation impact on the BRL, reducing the USD/BRL exchange rate in 15 basis points (-0.15%) for each US$ 1 billion in contracts. Rolling swap contracts announcements do not present significant effects. The results are validated after the performance of a series of robustness tests and the estimation of a reaction function of the Central Bank which accounts for any endogeneity issue that could invalidate estimates obtained.
metadata.dc.description.unidade:	Faculdade de Economia, Administração, Contabilidade e Gestão de Políticas Públicas (FACE) Departamento de Economia (FACE ECO)
Description:	Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Departamento de Economia, Programa de Pós-Graduação em Ciências Econômicas, 2019.
metadata.dc.description.ppg:	Programa de Pós-Graduação em Economia
Licença::	A concessão da licença deste item refere-se ao termo de autorização impresso assinado pelo autor com as seguintes condições: Na qualidade de titular dos direitos de autor da publicação, autorizo a Universidade de Brasília e o IBICT a disponibilizar por meio dos sites www.bce.unb.br, www.ibict.br, http://hercules.vtls.com/cgi-bin/ndltd/chameleon?lng=pt&skin=ndltd sem ressarcimento dos direitos autorais, de acordo com a Lei nº 9610/98, o texto integral da obra disponibilizada, conforme permissões assinaladas, para fins de leitura, impressão e/ou download, a título de divulgação da produção científica brasileira, a partir desta data.
Agência financiadora:	Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq).
Appears in Collections:	Teses, dissertações e produtos pós-doutorado

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