The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach

Detalhes bibliográficos
Autor(a) principal: Araújo, Leandro Vieira Lima
Data de Publicação: 2017
Outros Autores: Terra, Fábio Henrique Bittes
Tipo de documento: Artigo
Idioma: por
Título da fonte: Nova Economia (Online)
Texto Completo: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615
Resumo: Based on the Post-Keynesian theory, we investigate the relationship between the Brazilian Real exchange rate behavior and the Brazilian Central Bank swap interventions over 2002-2015. Initially, we analyze open market economy properties and present theoretical propositions on the exchange rate determination, highlighting features of the Brazilian foreign exchange market and of Brazil’s position in the international monetary system. Then, we undertake empirical exams on the nominal and real-effective exchange rates determination using two statistical methods. In order to measure the volatility of the mentioned exchange rates, we estimate ARCH/ GARCH models, which reported volatility during 2002-2015. Furthermore, to measure the variance of exchange rates in relation to swaps, we estimate a VAR model. The relationship found is that swaps are responses to the behavior of the nominal exchange rate, although its effects are more noticed on the real effective exchange rate.
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spelling The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approachA dinâmica da taxa de câmbio face às operações swap no Brasil (2002-2015): uma interpretação pós-keynesiana Based on the Post-Keynesian theory, we investigate the relationship between the Brazilian Real exchange rate behavior and the Brazilian Central Bank swap interventions over 2002-2015. Initially, we analyze open market economy properties and present theoretical propositions on the exchange rate determination, highlighting features of the Brazilian foreign exchange market and of Brazil’s position in the international monetary system. Then, we undertake empirical exams on the nominal and real-effective exchange rates determination using two statistical methods. In order to measure the volatility of the mentioned exchange rates, we estimate ARCH/ GARCH models, which reported volatility during 2002-2015. Furthermore, to measure the variance of exchange rates in relation to swaps, we estimate a VAR model. The relationship found is that swaps are responses to the behavior of the nominal exchange rate, although its effects are more noticed on the real effective exchange rate. Investiga-se, à luz da teoria pós-keynesiana, o comportamento da taxa de câmbio no Brasil face as intervenções com swaps cambiais do Banco Central de 2002 a 2015. Analisam-se as propriedades de uma economia aberta, as condicionantes da taxa de câmbio, o mercado cambial e a inserção do Brasil no sistema monetário internacional. Afere-se empiricamente o comportamento cambial frente às operações swap por meio de modelos ARCH/GARCH e VAR. Com os primeiros, observa-se a volatilidade das taxas de câmbio nominal e real efetiva, cujos resultados apontam presença de volatilidade no período. Em seguida, realizam-se estimações VAR, para estudar a variância das taxas de câmbio ante os swaps e variáveis relevantes ao comportamento cambial, concluindo-se que os swaps são respostas ao comportamento da taxa de câmbio nominal, embora seus efeitos são mais visíveis sobre a taxa de câmbio real efetiva. Departamento de Ciências Econômicas da UFMG2017-04-03info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615Nova Economia; Vol. 28 No. 3 (2018)Nova Economia; v. 28 n. 3 (2018)1980-53810103-6351reponame:Nova Economia (Online)instname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGporhttps://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615/2814Araújo, Leandro Vieira LimaTerra, Fábio Henrique Bittesinfo:eu-repo/semantics/openAccess2020-10-04T22:24:23Zoai:ojs.pkp.sfu.ca:article/3615Revistahttps://revistas.face.ufmg.br/index.php/novaeconomiaPUBhttps://revistas.face.ufmg.br/index.php/novaeconomia/oai||ne@face.ufmg.br1980-53810103-6351opendoar:2020-10-04T22:24:23Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)false
dc.title.none.fl_str_mv The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
A dinâmica da taxa de câmbio face às operações swap no Brasil (2002-2015): uma interpretação pós-keynesiana
title The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
spellingShingle The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
Araújo, Leandro Vieira Lima
title_short The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
title_full The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
title_fullStr The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
title_full_unstemmed The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
title_sort The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
author Araújo, Leandro Vieira Lima
author_facet Araújo, Leandro Vieira Lima
Terra, Fábio Henrique Bittes
author_role author
author2 Terra, Fábio Henrique Bittes
author2_role author
dc.contributor.author.fl_str_mv Araújo, Leandro Vieira Lima
Terra, Fábio Henrique Bittes
description Based on the Post-Keynesian theory, we investigate the relationship between the Brazilian Real exchange rate behavior and the Brazilian Central Bank swap interventions over 2002-2015. Initially, we analyze open market economy properties and present theoretical propositions on the exchange rate determination, highlighting features of the Brazilian foreign exchange market and of Brazil’s position in the international monetary system. Then, we undertake empirical exams on the nominal and real-effective exchange rates determination using two statistical methods. In order to measure the volatility of the mentioned exchange rates, we estimate ARCH/ GARCH models, which reported volatility during 2002-2015. Furthermore, to measure the variance of exchange rates in relation to swaps, we estimate a VAR model. The relationship found is that swaps are responses to the behavior of the nominal exchange rate, although its effects are more noticed on the real effective exchange rate.
publishDate 2017
dc.date.none.fl_str_mv 2017-04-03
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615
url https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615
dc.language.iso.fl_str_mv por
language por
dc.relation.none.fl_str_mv https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615/2814
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
publisher.none.fl_str_mv Departamento de Ciências Econômicas da UFMG
dc.source.none.fl_str_mv Nova Economia; Vol. 28 No. 3 (2018)
Nova Economia; v. 28 n. 3 (2018)
1980-5381
0103-6351
reponame:Nova Economia (Online)
instname:Universidade Federal de Minas Gerais (UFMG)
instacron:UFMG
instname_str Universidade Federal de Minas Gerais (UFMG)
instacron_str UFMG
institution UFMG
reponame_str Nova Economia (Online)
collection Nova Economia (Online)
repository.name.fl_str_mv Nova Economia (Online) - Universidade Federal de Minas Gerais (UFMG)
repository.mail.fl_str_mv ||ne@face.ufmg.br
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