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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

[en] FX INTERVENTIONS IN BRAZIL: REVISITING IMPACTS WITH A TWOFOLD APPROACH / [pt] INTERVENÇÕES CAMBIAIS NO BRASIL: REVISITANDO IMPACTOS COM UMA ABORDAGEM DUPLA

CAIO DE PAIVA GARZERI 18 June 2024 (has links)
[pt] Usando uma recém publicada base de dados pelo Banco Central do Brazil (BCB), estimamos os efeitos de intervenções cambiais realizadas entre 1999 e 2023. Em primeiro lugar, utilizamos um VAR estrutural em frequência diárias, identificado por meio de um instrumento baseado nos horários de anúncio das interveções. Estima-se que as intervenções são capazes de afetar o nível do Real por um período de 20 dias úteis, em 0.24 p.p. a cada bilhão de dólares empregados. / [en] Benefiting from a novel dataset published by the Central Bank of Brazil (BCB) we estimate the effects of FX Interventions from 1999 to 2023. We first employ a structural VAR with daily frequency identified with an instrument based on the timing of BCB announcements. Interventions are found to be effective in changing the USDBRL level over a period of 20 working days by 0.24 p.p. for each 1USD billion employed. We then implement an Artificial Counterfactual (ArCo) approach to each intervention episode separating them by side and instrument. Compared to SVAR interventions are found to be more effective although with smaller statistical significance. Spot Interventions are more effective than Swaps. We find no effects of interventions over the shortterm volatility of the USDBRL.

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