Impacto dos Swaps Cambiais na Curva de Cupom Cambial: uma análise segundo a regressão de componentes principais
AbstractThe purpose of this paper is to verify, based on the portfolio balance exchange rate determination theory, the impact of the foreign exchange swaps offered by the Central Bank of Brazil on the attributes of the local foreign exchange interest rate term structure. For this, it is used the Principal Component Regression. As a complementary analysis the volatility of the local foreign exchange interest rate term structure and the volatility of the foreign exchange spot were studied. The results concerning the foreign exchange swaps were in accordance with those expected by the theory, and show that they do change the local foreign exchange interest rate term structure. On the other hand, the swaps known as reversal foreign exchange swaps showed results that point out that the offer of this product by the Central Bank had no impact on the level of the local foreign exchange interest rate market. Keywords: Local foreign exchange, Local foreign exchange interest rate term structure, Principal Components Analyses, Principal Component Regression, Exchange Rate Determination Theories.
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 InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 198.
Date of creation: Nov 2009
Date of revision:
Contact details of provider:
Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Francisco Marcos Rodrigues Figueiredo).
If references are entirely missing, you can add them using this form.