Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression
AbstractThe objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve). For this purpose, we use linear regression of principal components. As a complementary analysis, we also study the volatility of the dollar coupon curve and the spot exchange rate. The results indicate that the reverse foreign exchange swaps do not generate an impact on the general level of the coupon curve, while the regular swaps generate significant changes.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Fucape Business School in its journal Brazilian Business Review.
Volume (Year): 10 (2013)
Issue (Month): 1 (January)
Contact details of provider:
Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
Phone: +55 27 4009-4423
Fax: +55 27 4009-4422
Web page: http://www.bbronline.com.br/
More information through EDIRC
Dollar coupon curve; principal components analysis; linear regression of principal components; exchange rate determination theory.;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Felipe Pinheiro & Caio Almeida & José Vicente, 2007. "Um Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial," Working Papers Series 148, Central Bank of Brazil, Research Department.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sarah Lasso).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.