FX interventions in Brazil: a synthetic control approach

Arbeitspapier

The taper tantrum of May 2013 generated sharp fall in risky assets prices, including the depreciation of several emerging market currencies. To fight excess volatility and exchange rate overshooting, the Central Bank of Brazil announced a major program of interventions in foreign exchange markets. We use a synthetic control approach to determine whether or not the intervention program was successful. Our results suggest that the first FX intervention program mitigated the depreciation of the real against the dollar. A second announcement made later in the year that the program was going to continue on a smaller basis had a smaller effect, which was not significant. This result is corroborated by a standard event study methodology. We also document that both program did not have an impact on the volatility of the exchange rate.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Texto para discussão ; No. 630

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Foreign Exchange ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: FX interventions ; synthetic control ; ArCo

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Chamon, Marcos ; Garcia, Marcio ; Souza, Laura
• Ereignis: Veröffentlichung
• (wer): Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia
• (wo): Rio de Janeiro
• (wann): 2015

Weitere Informationen

• Handle: http://hdl.handle.net/10419/176113
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ