Efeitos das Intervenções Cambiais sobre a Taxa de Câmbio Futura no Brasil

Marcio Janot and Leonardo Macedo

No 413, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper estimates the effects of Brazilian Central Bank (BCB) interventions on the return and volatility of the BRL/USD future exchange rate using intraday data from October 2011 to March 2015. In addition, tests whether interventions with higher volumes affect the exchange rate more strongly than minor interventions. Finally, it investigates if interventions not expected by the market affect more the FX market than the announced ones. The results show that interventions, when not expected by the market, influence the exchange rate and the effects vary with the size of the intervention, though non-linearly. Furthermore, there is no evidence of decline in exchange rate volatility in the short term after the BCB's interventions in the FX market.

Date: 2016-01
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:413

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