文章基本信息

标题：What drives forex interventions? Evidence from the Brazilian Central Bank interventions on the BRL/USD market
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作者：Felipe Wolk Teixeira ; Roberto Meurer ; André Alves Portela Santos 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2013
卷号：11
期号：2
页码：215-248
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：In this paper we study what drives buy-side and sell-side probabilities of intervention by the Brazilian Central Bank (BCB) on the USD/BRL spot market between 1999 and 2010. BCB’s forex interventions seem to be related to the exchange rate returns and volatility as well as to the spread between domestic and foreign interest rates. Lagged interventions also appear to have an effect on current interventions. Our findings suggest that the operation of the policymaker in the forex market may serve as a signaling of a possible coordination between BCB’s foreign and monetary policies along with the possibility of an unofficial adoption of an exchange rate band.
其他摘要：In this paper we study what drives buy-side and sell-side probabilities of intervention by the Brazilian Central Bank (BCB) on the USD/BRL spot market between 1999 and 2010. BCB’s forex interventions seem to be related to the exchange rate returns and volatility as well as to the spread between domestic and foreign interest rates. Lagged interventions also appear to have an effect on current interventions. Our findings suggest that the operation of the policymaker in the forex market may serve as a signaling of a possible coordination between BCB’s foreign and monetary policies along with the possibility of an unofficial adoption of an exchange rate band.
关键词：Exchange rate interventions;monetary authority;volatility;Intervenções cambiais;autoridade monetária;volatilidade
其他关键词：Finance;Exchange rate interventions; monetary authority; volatility;F31;F41