Foreign exchange interventions in Brazil and their impact on volatility: A quantile regression approach

Alessandra Pasqualina Viola, Marcelo Klotzle, Antonio Carlos Figueiredo Pinto and Claudio Henrique da Silveira Barbedo

Research in International Business and Finance, 2019, vol. 47, issue C, 251-263

Abstract: This work aims to analyze the interventions conducted by the Central Bank of Brazil in the Brazilian foreign exchange market from 2003 to 2014. For this purpose, we use quantile regression analysis and some of its new formulas to examine the effects of government interventions on exchange rate volatility. In particular, we apply quantile regression with instrumental variables to address the existing endogeneity problem. The results differ when using daily interventions versus the net accumulated position as explanatory variables. The findings illuminate a new way to analyze data that do not have completely random behavior and demonstrate different impacts (slope coefficients) of the exchange rate interventions along the distribution on exchange rate volatility.

Keywords: Foreign exchange intervention; Quantile regression; Volatility; Endogeneity; Foreign exchange market; GARCH (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0275531917309546
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:riibaf:v:47:y:2019:i:c:p:251-263

DOI: 10.1016/j.ribaf.2018.08.002

Access Statistics for this article

Research in International Business and Finance is currently edited by T. Lagoarde Segot

More articles in Research in International Business and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().