文章基本信息

标题：Effects of Intervention in the Spot Currency Market on the BRL/USD Exchange Rate from 1999 to 2008: an Event Study
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作者：Roberto Meurer ; Felipe Wolk Teixeira ; Eduardo Cardeal Tomazzia 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2010
卷号：8
期号：2
页码：229-254
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：This study analyses interventions in the Brazilian spot foreign exchange market from 1999 to 2008 and their effects on the R$/US$ exchange rate, using an event study approach. It aims to verify if the foreign exchange interventions have any significant impact on the exchange rate behavior. The period was divided according to a MS-VAR model and analyzed with different criterions. The results indicate that prolonged foreign exchange intervention have a greater effect on the exchange rate behavior, in comparison to short time intervention episodes. The results also point to the existence of quickly dissipating effects on the rate behavior. The creation of a new criterion, based on the analysis of exchange-rate acceleration, shows that the exchange rate is mainly prone to accelerate on leaning with the wind purchase intervention episodes.
其他摘要：This study analyses interventions in the Brazilian spot foreign exchange market from 1999 to 2008 and their effects on the R$/US$ exchange rate, using an event study approach. It aims to verify if the foreign exchange interventions have any significant impact on the exchange rate behavior. The period was divided according to a MS-VAR model and analyzed with different criterions. The results indicate that prolonged foreign exchange intervention have a greater effect on the exchange rate behavior, in comparison to short time intervention episodes. The results also point to the existence of quickly dissipating effects on the rate behavior. The creation of a new criterion, based on the analysis of exchange-rate acceleration, shows that the exchange rate is mainly prone to accelerate on leaning with the wind purchase intervention episodes.
关键词：Foreign Exchange Intervention;Volatility;Exchange rate;Brazil;Intervenções Cambiais;Volatilidade;Taxa de câmbio;Brasil
其他关键词：Finance;Foreign Exchange Intervention; Volatility; Exchange rate; Brazil;E32, E44, F31