O impacto das intervenções cambiais sobre a volatilidade da taxa de câmbio real-dólar

• Ano de defesa: 2019
• Autor(a) principal: Oliveira, Bárbara Borges de
• Orientador(a): Tófoli, Paula Virgínia
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Católica de Brasília
• Programa de Pós-Graduação: Programa Stricto Sensu em Economia de Empresas
• Departamento: Escola de Humanidade e Direito
• País: Brasil
• Palavras-chave em Português: Swap cambial; Taxa de câmbio; Intervenção cambial; Volatilidade cambial
• Palavras-chave em Inglês: Exchange rate intervention; Exchange rate volatility; Exchange rate
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA
• Resumo em Inglês: The effects of central bank interventions on the exchange rate have been widely studied. In particular, there are a number of studies dealing with the effects of these interventions on the level and volatility of the exchange rate in developed countries. Few studies, however, analyze the case in emerging countries, such as Brazil. In this paper, we decompose the total variability of the daily return of the BRL-USD exchange rate into continuous and jumping components, and then analyze the effects of the interventions of the Central Bank of Brazil (BCB) for these components. For this, we use data referring to the BRL-USD exchange rate quoted every 30 minutes for the period between May 7, 2008 and June 12, 2017. The results shows that BCB interventions reduce exchange rate volatility two periods before their occurrence. In relation to the jumps, they contribute to the reduction of the jumps in the volatility of the real dollar exchange rate in the period.
• Link de acesso: https://bdtd.ucb.br:8443/jspui/handle/tede/2568

The effects of central bank interventions on the exchange rate have been widely studied. In particular, there are a number of studies dealing with the effects of these interventions on the level and volatility of the exchange rate in developed countries. Few studies, however, analyze the case in emerging countries, such as Brazil. In this paper, we decompose the total variability of the daily return of the BRL-USD exchange rate into continuous and jumping components, and then analyze the effects of the interventions of the Central Bank of Brazil (BCB) for these components. For this, we use data referring to the BRL-USD exchange rate quoted every 30 minutes for the period between May 7, 2008 and June 12, 2017. The results shows that BCB interventions reduce exchange rate volatility two periods before their occurrence. In relation to the jumps, they contribute to the reduction of the jumps in the volatility of the real dollar exchange rate in the period.