Do central bank foreign exchange interventions affect market expectations?
The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily...
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| Autor*in: |
Marins, Jaqueline Terra Moura [verfasserIn] |
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| Format: |
Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2017 |
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| Rechteinformationen: |
Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: Applied economics - Abingdon : Routledge, 1969, 49(2017), 31, Seite 3017 |
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| Übergeordnetes Werk: |
volume:49 ; year:2017 ; number:31 ; pages:3017 |
| Links: |
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| DOI / URN: |
10.1080/00036846.2016.1248283 |
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OLC1993271643 |
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| 520 | |a The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. | ||
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10.1080/00036846.2016.1248283 doi PQ20170901 (DE-627)OLC1993271643 (DE-599)GBVOLC1993271643 (PRQ)g2251-7c17710322a8bace1ac797367d6de9ac7765673e65ec9443aa6ee46d49ca097d0 (KEY)0203818820170000049003103017docentralbankforeignexchangeinterventionsaffectmar DE-627 ger DE-627 rakwb eng 17 14 330 380 650 670 DNB 330 AVZ 83.00 bkl Marins, Jaqueline Terra Moura verfasserin aut Do central bank foreign exchange interventions affect market expectations? 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC E58 FX interventions G14 risk neutral density FX swaps event study F31 Central banks Foreign exchange Prices and rates Forecasts and trends Financial markets Volatility (Finance) Foreign exchange rates Araujo, Gustavo Silva oth Vicente, José Valentim Machado oth Enthalten in Applied economics Abingdon : Routledge, 1969 49(2017), 31, Seite 3017 (DE-627)129850357 (DE-600)280176-0 (DE-576)015149196 0003-6846 nnns volume:49 year:2017 number:31 pages:3017 http://dx.doi.org/10.1080/00036846.2016.1248283 Volltext http://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1248283 https://search.proquest.com/docview/1885780291 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-IBL GBV_ILN_21 GBV_ILN_26 GBV_ILN_70 GBV_ILN_4125 GBV_ILN_4126 83.00 AVZ AR 49 2017 31 3017 |
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10.1080/00036846.2016.1248283 doi PQ20170901 (DE-627)OLC1993271643 (DE-599)GBVOLC1993271643 (PRQ)g2251-7c17710322a8bace1ac797367d6de9ac7765673e65ec9443aa6ee46d49ca097d0 (KEY)0203818820170000049003103017docentralbankforeignexchangeinterventionsaffectmar DE-627 ger DE-627 rakwb eng 17 14 330 380 650 670 DNB 330 AVZ 83.00 bkl Marins, Jaqueline Terra Moura verfasserin aut Do central bank foreign exchange interventions affect market expectations? 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC E58 FX interventions G14 risk neutral density FX swaps event study F31 Central banks Foreign exchange Prices and rates Forecasts and trends Financial markets Volatility (Finance) Foreign exchange rates Araujo, Gustavo Silva oth Vicente, José Valentim Machado oth Enthalten in Applied economics Abingdon : Routledge, 1969 49(2017), 31, Seite 3017 (DE-627)129850357 (DE-600)280176-0 (DE-576)015149196 0003-6846 nnns volume:49 year:2017 number:31 pages:3017 http://dx.doi.org/10.1080/00036846.2016.1248283 Volltext http://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1248283 https://search.proquest.com/docview/1885780291 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-IBL GBV_ILN_21 GBV_ILN_26 GBV_ILN_70 GBV_ILN_4125 GBV_ILN_4126 83.00 AVZ AR 49 2017 31 3017 |
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10.1080/00036846.2016.1248283 doi PQ20170901 (DE-627)OLC1993271643 (DE-599)GBVOLC1993271643 (PRQ)g2251-7c17710322a8bace1ac797367d6de9ac7765673e65ec9443aa6ee46d49ca097d0 (KEY)0203818820170000049003103017docentralbankforeignexchangeinterventionsaffectmar DE-627 ger DE-627 rakwb eng 17 14 330 380 650 670 DNB 330 AVZ 83.00 bkl Marins, Jaqueline Terra Moura verfasserin aut Do central bank foreign exchange interventions affect market expectations? 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC E58 FX interventions G14 risk neutral density FX swaps event study F31 Central banks Foreign exchange Prices and rates Forecasts and trends Financial markets Volatility (Finance) Foreign exchange rates Araujo, Gustavo Silva oth Vicente, José Valentim Machado oth Enthalten in Applied economics Abingdon : Routledge, 1969 49(2017), 31, Seite 3017 (DE-627)129850357 (DE-600)280176-0 (DE-576)015149196 0003-6846 nnns volume:49 year:2017 number:31 pages:3017 http://dx.doi.org/10.1080/00036846.2016.1248283 Volltext http://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1248283 https://search.proquest.com/docview/1885780291 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-IBL GBV_ILN_21 GBV_ILN_26 GBV_ILN_70 GBV_ILN_4125 GBV_ILN_4126 83.00 AVZ AR 49 2017 31 3017 |
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10.1080/00036846.2016.1248283 doi PQ20170901 (DE-627)OLC1993271643 (DE-599)GBVOLC1993271643 (PRQ)g2251-7c17710322a8bace1ac797367d6de9ac7765673e65ec9443aa6ee46d49ca097d0 (KEY)0203818820170000049003103017docentralbankforeignexchangeinterventionsaffectmar DE-627 ger DE-627 rakwb eng 17 14 330 380 650 670 DNB 330 AVZ 83.00 bkl Marins, Jaqueline Terra Moura verfasserin aut Do central bank foreign exchange interventions affect market expectations? 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC E58 FX interventions G14 risk neutral density FX swaps event study F31 Central banks Foreign exchange Prices and rates Forecasts and trends Financial markets Volatility (Finance) Foreign exchange rates Araujo, Gustavo Silva oth Vicente, José Valentim Machado oth Enthalten in Applied economics Abingdon : Routledge, 1969 49(2017), 31, Seite 3017 (DE-627)129850357 (DE-600)280176-0 (DE-576)015149196 0003-6846 nnns volume:49 year:2017 number:31 pages:3017 http://dx.doi.org/10.1080/00036846.2016.1248283 Volltext http://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1248283 https://search.proquest.com/docview/1885780291 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-IBL GBV_ILN_21 GBV_ILN_26 GBV_ILN_70 GBV_ILN_4125 GBV_ILN_4126 83.00 AVZ AR 49 2017 31 3017 |
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10.1080/00036846.2016.1248283 doi PQ20170901 (DE-627)OLC1993271643 (DE-599)GBVOLC1993271643 (PRQ)g2251-7c17710322a8bace1ac797367d6de9ac7765673e65ec9443aa6ee46d49ca097d0 (KEY)0203818820170000049003103017docentralbankforeignexchangeinterventionsaffectmar DE-627 ger DE-627 rakwb eng 17 14 330 380 650 670 DNB 330 AVZ 83.00 bkl Marins, Jaqueline Terra Moura verfasserin aut Do central bank foreign exchange interventions affect market expectations? 2017 Text txt rdacontent ohne Hilfsmittel zu benutzen n rdamedia Band nc rdacarrier The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. Nutzungsrecht: © 2017 Informa UK Limited, trading as Taylor & Francis Group 2017 © COPYRIGHT 2017 Taylor & Francis Group LLC E58 FX interventions G14 risk neutral density FX swaps event study F31 Central banks Foreign exchange Prices and rates Forecasts and trends Financial markets Volatility (Finance) Foreign exchange rates Araujo, Gustavo Silva oth Vicente, José Valentim Machado oth Enthalten in Applied economics Abingdon : Routledge, 1969 49(2017), 31, Seite 3017 (DE-627)129850357 (DE-600)280176-0 (DE-576)015149196 0003-6846 nnns volume:49 year:2017 number:31 pages:3017 http://dx.doi.org/10.1080/00036846.2016.1248283 Volltext http://www.tandfonline.com/doi/abs/10.1080/00036846.2016.1248283 https://search.proquest.com/docview/1885780291 GBV_USEFLAG_A SYSFLAG_A GBV_OLC SSG-OLC-WIW SSG-OLC-IBL GBV_ILN_21 GBV_ILN_26 GBV_ILN_70 GBV_ILN_4125 GBV_ILN_4126 83.00 AVZ AR 49 2017 31 3017 |
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The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. |
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The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. |
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The aim of this article is to study the impact of the Brazilian central bank swap interventions on the FX market from 2006 to 2013. In this period, these nontraditional interventions were the main FX instrument of the Brazilian Government. Since the central bank operates through a sequence of daily interventions in most of the period, we employ the event study method, which is appropriate to investigate cumulative impact of intervention episodes. We analyse the effects on the risk neutral distribution of BRL-USD exchange rate, which incorporates economic valuation besides the likelihoods. We investigate both changes in level and in the dynamics of the moments. Our tests indicate that interventions have little effects on the exchange rate distribution. We only find evidences of some impact on the dynamics of the mean, volatility and skewness over long horizons when the central bank takes short positions on the exchange rate. |
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Do central bank foreign exchange interventions affect market expectations? |
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