As Atuações Cambiais do Banco Central Afetam as Expectativas de Mercado?

Jaqueline Marins, Gustavo Araujo and José Vicente

No 393, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The aim of this work is to study the effect of foreign exchange intervention of the Central Bank of Brazil through swaps in the risk neutral distribution of the BRL-USD quotation one month ahead. Data refers to the Brazilian market and encompass a period between January 2006 and December 2013. The methodology is based on event study allowing us to investigate episodes of intervention and its cumulative impact. Regarding to long swaps, where the central bank is short in the exchange rate, we show that interventions increase the skewness and kurtosis, without significant impact on the mean and volatility. For short swaps (central bank in a long position in the exchange rate), our tests indicate that interventions have no effects on the expectations.

Date: 2015-08
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