FX interventions in Brazil: A synthetic control approach

Chamon, Marcos; García, Marcio; Souza, Laura

doi:10.1016/j.jinteco.2017.05.005

Cited by 68 publications

(44 citation statements)

References 11 publications

(9 reference statements)

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…In terms of the effectiveness of intervention, several studies find that FX intervention, including through swaps, can affect the exchange rate, e.g. Kohlscheen and Andrade (2014), Barroso (2014), Chamon et al (2017), Novaes and Oliveira (2007), and Verlot (2010). Novaes and Oliveira (2007), for example, find that in periods of relative tranquility the level of the exchange rate is affected more strongly by interventions (in both the spot and the derivatives markets) than the stance of monetary policy, while interventions appear ineffective during episodes of high exchange rate volatility.…”

Section: Although Intervention Activity Varies Over Time Waning In Rmentioning

confidence: 99%

Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets

Chertman

Hutchison

Zink

2020

Journal of International Money and Finance

View full text Add to dashboard Cite

This paper investigates extended Taylor rules and foreign exchange intervention functions in large Emerging Markets (EM), measuring the extent to which policies are designed to stabilize output, inflation, exchange rates and accumulate international reserves. We focus on two large emerging markets--India and Brazil. We also consider the impact of greater capital account openness and which rules dominate when policy conflicts arise. We find that output stabilization is a dominant characteristic of interest rate policy in India, as is inflation targeting in Brazil. Both countries actively use intervention policy to achieve exchange rate stabilization and, at times, stabilizing reserves around a target level tied to observable economic fundamentals. Large unpredicted intervention purchases (sales) accommodate low (high) interest rates, suggesting that external operations are subordinate to domestic policy objectives. We extend the work to Chile and China for purposes of comparison. Chile's policy functions are similar to Brazil, while China pursues policies that substantially diverge from other EMs.

show abstract

Section: Although Intervention Activity Varies Over Time Waning In Rmentioning

confidence: 99%

Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets

Chertman

Hutchison

Zink

2020

Journal of International Money and Finance

View full text Add to dashboard Cite

show abstract

“…They demonstrated how intervention in the foreign exchange market improves the situation of the economy, regardless of the exchange rate regime chosen by the country. It can achieve great results if the economy encounters imperfect capital mobility/asset substitutability movements, producing the same result as discretionary monetary policy and without jeopardizing the inflation target [9][10][11].…”

Section: Introductionmentioning

confidence: 99%

Currency Crises Prediction Using Deep Neural Decision Trees

et al. 2019

View full text Add to dashboard Cite

Featured Application: The superiority of a novel computational technique (deep neural decision trees) for prediction of currency crises over other methodologies and the construction of new crisis prediction models more precise than existing ones.Abstract: Currency crises are major events in the international monetary system. They affect the monetary policy of countries and are associated with risks of vulnerability for open economies. Much research has been carried out on the behavior of these events, and models have been developed to predict falls in the value of currencies. However, the limitations of existing models mean further research is required in this area, since the models are still of limited accuracy and have only been developed for emerging countries. This article presents an innovative global model for predicting currency crises. The analysis is geographically differentiated for regions, considering both emerging and developed countries and can accurately estimate future scenarios for currency crises at the global level. It uses a sample of 162 countries making it possible to account for the regional heterogeneity of the warning indicators. The method used was deep neural decision trees (DNDTs), a technique based on decision trees implemented by deep learning neural networks, which was compared with other methodologies widely applied in prediction. Our model has significant potential for the adaptation of macroeconomic policy to the risks derived from falls in the value of currencies, providing tools that help ensure financial stability at the global level. Appl. Sci. 2019, 9, 5227 2 of 18 effect of contagion on other countries. However, the event was about more than just speculation on the Thai currency and saw the collapse of Asian stock markets. The financial crisis that began with the devaluation of the Thai baht exchange rate resulted in a sharp increase in interest rates and the collapse of many companies, as well as an increase in the cost of credit and a general fall in GDP in the region [1]. This resulted in foreign and national investors pulling out investment. Not only did this crisis affect Asian countries, but it also had a negative impact on other emerging economies, especially in Latin America, showing that currency crises are not limited to a specific economy. Globalization can increase the economic difficulties of societies and affect the structure of national economies after the real economy has suffered a damaging impact [2]. Figure 1 shows the number of currency crises per year at the international level. Appl. Sci. 2019, 8, x FOR PEER REVIEW 2 of 19of contagion on other countries. However, the event was about more than just speculation on the Thai currency and saw the collapse of Asian stock markets. The financial crisis that began with the devaluation of the Thai baht exchange rate resulted in a sharp increase in interest rates and the collapse of many companies, as well as an increase in the cost of credit and a general fall in GDP in the region [1]. This resulted in foreig...

show abstract

“…Some studies like Jinjarak et al (2013), Claessens et al (2013) derive mixed effects from macroprudential policies. Others, like Chamon et al (2017) aim at measuring central banks' power to influence capital flows. Considering the plethora of available tools, there is still plenty room for scrutiny of such innovations.…”

Section: Palavras-chavementioning

confidence: 99%

“…We encourage not only the synthetic control method but also the ArCo, which is very appropriate for large samples and multiple outcome analysis as ours. Further studies on the case of Turkey could focus on financial market and high-frequency data, as carried out by Chamon et al (2017) in Brazil, since we focus mainly on monetary policy traditional features.…”

Section: List Of Tablesmentioning

confidence: 99%

See 1 more Smart Citation

Non-Conventional Monetary Policy in Turkey: A Synthetic Control Approach

NEGREIRA¹

View full text Add to dashboard Cite

FX interventions in Brazil: A synthetic control approach

Cited by 68 publications

References 11 publications

Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets

Facing the Quadrilemma: Taylor rules, intervention policy and capital controls in large emerging markets

Currency Crises Prediction Using Deep Neural Decision Trees

Non-Conventional Monetary Policy in Turkey: A Synthetic Control Approach

Contact Info

Product

Resources

About