Efeitos das intervenções cambiais sobre a taxa de câmbio futura no Brasil

Abstract

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. The results show that interventions not anticipated by the market affect the level of exchange rate persistently and the effects vary with the size of the intervention. Higher volumes affect the exchange rate more strongly than minor interventions. Finally, we didn't find evidence that foreign exchange interventions reduce significantly the exchange rate volatility in the short run.