A Macroeconomic Perspective on Brazilian FX Swaps

Adonias Evaristo da Costa Filho

Brazilian Review of Econometrics, 2022, vol. 41, issue 1

Abstract: This paper takes a macroeconomic perspective on Brazilian foreignexchange swaps. It was found that foreign exchange swap shocks lowerination, ease nancial conditions by reducing the risk premium, areassociated with temporarily higher economic activity and lower interestrates in the medium run. After a swap shock, the impact on theexchange rate is at best short-lived. A counterfactual exchange ratewithout the contribution of swap shocks shows periods when the Realwould be almost 4 percent weaker.

Date: 2022
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