Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/181327
Authors: 
Nedeljkovic, Milan
Saborowski, Christian
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper 7127
Abstract: 
This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the Real/Dollar exchange rate return. In line with theory, the impact of spot market intervention is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal when convertibility risk is limited. We show that both types of interventions also affect the level and the price of hedging risk in the foreign exchange market.
Subjects: 
FX intervention
derivatives
exchange rates
JEL: 
F31
G10
E50
Document Type: 
Working Paper
Social Media Mentions:

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.