Economics at your fingertips  

Do central bank foreign exchange interventions affect market expectations?

Jaqueline Terra Moura Marins, Gustavo Araujo () and José Valentim Machado Vicente

Applied Economics, 2017, vol. 49, issue 31, 3017-3031

Abstract: The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate.

Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link) (text/html)
Access to full text is restricted to subscribers.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1080/00036846.2016.1248283

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().

Page updated 2022-07-25
Handle: RePEc:taf:applec:v:49:y:2017:i:31:p:3017-3031