Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | BBR. Brazilian Business Review (English edition. Online) |
Texto Completo: | http://www.bbronline.com.br/index.php/bbr/article/view/234 |
Resumo: | The objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve). For this purpose, we use linear regression of principal components. As a complementary analysis, we also study the volatility of the dollar coupon curve and the spot exchange rate. The results indicate that the reverse foreign exchange swaps do not generate an impact on the general level of the coupon curve, while the regular swaps generate significant changes. |
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Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regressionImpacto dos swaps cambiais na curva de cupom cambial: uma análise segundo a regressão de componentes principaisDollar coupon curveprincipal components analysislinear regression of principal componentsexchange rate determination theoryEstrutura a termo de cupom cambialanálise de componentes principaisregressão linear de componentes principaisteorias de determinação da taxa de câmbioThe objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve). For this purpose, we use linear regression of principal components. As a complementary analysis, we also study the volatility of the dollar coupon curve and the spot exchange rate. The results indicate that the reverse foreign exchange swaps do not generate an impact on the general level of the coupon curve, while the regular swaps generate significant changes.O objetivo deste trabalho é verificar, com base na teoria de equilíbrio de portfólio, qual o impacto das ofertas pelo Banco Central do Brasil dos swaps cambiais e dos swaps cambiais reversos nos atributos referentes à estrutura a termo do cupom cambial. Para isso, o trabalho utiliza a regressão linear de componentes principais. Como análise complementar também foi estudada a volatilidade da curva de cupom cambial e da taxa de câmbio à vista. Os resultados indicam que os swaps cambiais reversos não geram impacto no nível geral da curva de cupom cambial, enquanto os swaps cambiais geram mudanças significativas.FUCAPE Business Shool2013-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/23410.15728/bbr.2013.10.1.4Brazilian Business Review; Vol. 10 No. 1 (2013): January to March 2013; 79-101Brazilian Business Review; v. 10 n. 1 (2013): Janeiro a Março de 2013; 79-1011808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/234/353http://www.bbronline.com.br/index.php/bbr/article/view/234/354Viola, Alessandra PasqualinaGutierrez, Margarida SarmientoBarbedo, Claudio HenriqueSilva, Andre Luiz Carvalhal dainfo:eu-repo/semantics/openAccess2018-11-06T19:54:02Zoai:ojs.pkp.sfu.ca:article/234Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:54:02BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false |
dc.title.none.fl_str_mv |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression Impacto dos swaps cambiais na curva de cupom cambial: uma análise segundo a regressão de componentes principais |
title |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
spellingShingle |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression Viola, Alessandra Pasqualina Dollar coupon curve principal components analysis linear regression of principal components exchange rate determination theory Estrutura a termo de cupom cambial análise de componentes principais regressão linear de componentes principais teorias de determinação da taxa de câmbio |
title_short |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
title_full |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
title_fullStr |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
title_full_unstemmed |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
title_sort |
Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression |
author |
Viola, Alessandra Pasqualina |
author_facet |
Viola, Alessandra Pasqualina Gutierrez, Margarida Sarmiento Barbedo, Claudio Henrique Silva, Andre Luiz Carvalhal da |
author_role |
author |
author2 |
Gutierrez, Margarida Sarmiento Barbedo, Claudio Henrique Silva, Andre Luiz Carvalhal da |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Viola, Alessandra Pasqualina Gutierrez, Margarida Sarmiento Barbedo, Claudio Henrique Silva, Andre Luiz Carvalhal da |
dc.subject.por.fl_str_mv |
Dollar coupon curve principal components analysis linear regression of principal components exchange rate determination theory Estrutura a termo de cupom cambial análise de componentes principais regressão linear de componentes principais teorias de determinação da taxa de câmbio |
topic |
Dollar coupon curve principal components analysis linear regression of principal components exchange rate determination theory Estrutura a termo de cupom cambial análise de componentes principais regressão linear de componentes principais teorias de determinação da taxa de câmbio |
description |
The objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve). For this purpose, we use linear regression of principal components. As a complementary analysis, we also study the volatility of the dollar coupon curve and the spot exchange rate. The results indicate that the reverse foreign exchange swaps do not generate an impact on the general level of the coupon curve, while the regular swaps generate significant changes. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Peer-reviewed Article Artigo revisado pelos pares |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/234 10.15728/bbr.2013.10.1.4 |
url |
http://www.bbronline.com.br/index.php/bbr/article/view/234 |
identifier_str_mv |
10.15728/bbr.2013.10.1.4 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
http://www.bbronline.com.br/index.php/bbr/article/view/234/353 http://www.bbronline.com.br/index.php/bbr/article/view/234/354 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf |
dc.publisher.none.fl_str_mv |
FUCAPE Business Shool |
publisher.none.fl_str_mv |
FUCAPE Business Shool |
dc.source.none.fl_str_mv |
Brazilian Business Review; Vol. 10 No. 1 (2013): January to March 2013; 79-101 Brazilian Business Review; v. 10 n. 1 (2013): Janeiro a Março de 2013; 79-101 1808-2386 1807-734X reponame:BBR. Brazilian Business Review (English edition. Online) instname:Fucape Business School (FBS) instacron:FBS |
instname_str |
Fucape Business School (FBS) |
instacron_str |
FBS |
institution |
FBS |
reponame_str |
BBR. Brazilian Business Review (English edition. Online) |
collection |
BBR. Brazilian Business Review (English edition. Online) |
repository.name.fl_str_mv |
BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS) |
repository.mail.fl_str_mv |
|| bbronline@bbronline.com.br |
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1754732237875576832 |