The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach
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Data de Publicação: | 2017 |
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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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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 |
_version_ |
1799711059700875264 |