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Efeitos das Intervenções Cambiais sobre a Taxa de Câmbio Futura no Brasil


  • Marcio Magalhães Janot
  • Leonardo Peixoto Macedo


This paper estimates the effects of Brazilian Central Bank (BCB) interventions on the return and volatility of the BRL/USD future exchange rate using intraday data from October 2011 to March 2015. In addition, tests whether interventions with higher volumes affect the exchange rate more strongly than minor interventions. Finally, it investigates if interventions not expected by the market affect more the FX market than the announced ones. The results show that interventions, when not expected by the market, influence the exchange rate and the effects vary with the size of the intervention, though non-linearly. Furthermore, there is no evidence of decline in exchange rate volatility in the short term after the BCB's interventions in the FX market

Suggested Citation

  • Marcio Magalhães Janot & Leonardo Peixoto Macedo, 2016. "Efeitos das Intervenções Cambiais sobre a Taxa de Câmbio Futura no Brasil," Working Papers Series 413, Central Bank of Brazil, Research Department.
  • Handle: RePEc:bcb:wpaper:413

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    Cited by:

    1. Barbone Gonzalez, Rodrigo & Khametshin, Dmitry & Peydró, José Luis & Polo, Andrea, 2018. "Hedger of Last Resort: Evidence from Brazilian FX Interventions, Local Credit and Global Financial Cycles," CEPR Discussion Papers 12817, C.E.P.R. Discussion Papers.
    2. Nikhil Patel & Paolo Cavllino, 2019. "FX intervention: goals, strategies and tactics," BIS Papers chapters, in: Bank for International Settlements (ed.), Reserve management and FX intervention, volume 104, pages 25-44, Bank for International Settlements.

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