Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/176113 
Year of Publication: 
2015
Series/Report no.: 
Texto para discussão No. 630
Publisher: 
Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio), Departamento de Economia, Rio de Janeiro
Abstract: 
The taper tantrum of May 2013 generated sharp fall in risky assets prices, including the depreciation of several emerging market currencies. To fight excess volatility and exchange rate overshooting, the Central Bank of Brazil announced a major program of interventions in foreign exchange markets. We use a synthetic control approach to determine whether or not the intervention program was successful. Our results suggest that the first FX intervention program mitigated the depreciation of the real against the dollar. A second announcement made later in the year that the program was going to continue on a smaller basis had a smaller effect, which was not significant. This result is corroborated by a standard event study methodology. We also document that both program did not have an impact on the volatility of the exchange rate.
Subjects: 
FX interventions
synthetic control
ArCo
JEL: 
F31
G14
Document Type: 
Working Paper

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