FX interventions in Brazil: A synthetic control approach

Marcos Chamon (), Marcio Garcia and Laura Souza

Journal of International Economics, 2017, vol. 108, issue C, 157-168

Abstract: In the aftermath of the taper tantrum, the Central Bank of Brazil announced a major program of sterilized foreign exchange intervention. We use a synthetic control approach to estimate its impact on the level and volatility of the exchange rate. Our counterfactual results, based on the experience of other emerging markets, indicate the program led to an appreciation of the Brazilian real in excess of 10%. Some of our estimates also point to a decline in the option-implied volatility. A second announcement extending the program had more muted effects, and subsequent extensions had little or no impact.

Keywords: FX interventions; Synthetic control; Sterilized exchange rate interventions; FX derivatives; Brazil (search for similar items in EconPapers)
JEL-codes: E58 F31 F42 F62 G14 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (47)

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Working Paper: FX interventions in Brazil: a synthetic control approach (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:inecon:v:108:y:2017:i:c:p:157-168

DOI: 10.1016/j.jinteco.2017.05.005

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