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Impacto dos Swaps Cambiais na Curva de Cupom Cambial: uma análise segundo a regressão de componentes principais

Listed author(s):
  • Alessandra Pasqualina Viola
  • Margarida Sarmiento Gutierrez
  • Octávio Bessada Lion
  • Cláudio Henrique Barbedo

The 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.

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Paper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 198.

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Date of creation: Nov 2009
Handle: RePEc:bcb:wpaper:198
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