ETDs @PUC-Rio
| Título: | FX INTERVENTIONS IN BRAZIL: REVISITING IMPACTS WITH A TWOFOLD APPROACH | ||||||||||||
| Autor: |
CAIO DE PAIVA GARZERI |
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| Colaborador(es): |
MARCIO GOMES PINTO GARCIA - Orientador |
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| Catalogação: | 18/JUN/2024 | Língua(s): | ENGLISH - UNITED STATES |
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| Tipo: | TEXT | Subtipo: | THESIS | ||||||||||
| Notas: |
[pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio. [en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio. |
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| Referência(s): |
[pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=67080&idi=1 [en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/ETDs/consultas/conteudo.php?strSecao=resultado&nrSeq=67080&idi=2 |
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| DOI: | https://doi.org/10.17771/PUCRio.acad.67080 | ||||||||||||
| Resumo: | |||||||||||||
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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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