[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.
| Identifer | oai:union.ndltd.org:puc-rio.br/oai:MAXWELL.puc-rio.br:67080 |
| Date | 18 June 2024 |
| Creators | CAIO DE PAIVA GARZERI |
| Contributors | MARCIO GOMES PINTO GARCIA |
| Publisher | MAXWELL |
| Source Sets | PUC Rio |
| Language | English |
| Detected Language | English |
| Type | TEXTO |
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