摘要：This paper analyzes the effectiveness of instruments of intervention used by the Central Bank of Brazil over the conditional volatility of the nominal exchange rate. Central Bank of Brazil used as intervention instruments, standard instruments of the literature – such as interest rate and interventions in the spot market, and unusual instruments – such as public bonds indexed to the dollar and foreign exchange rates swaps. The conditional volatility of the exchange rate was modeled using an E-GARCH model, Nelson e CAo (1992). We used daily data of nominal exchange rate and the interventions for the period from January of 1999 to September of 2006. Our results showed that in all sample periods we study, including the ones with currency crisis, some instrument of intervention affected the conditional volatility of the nominal exchange rate.
其他摘要：This paper analyzes the effectiveness of instruments of intervention used by the Central Bank of Brazil over the conditional volatility of the nominal exchange rate. Central Bank of Brazil used as intervention instruments, standard instruments of the literature – such as interest rate and interventions in the spot market, and unusual instruments – such as public bonds indexed to the dollar and foreign exchange rates swaps. The conditional volatility of the exchange rate was modeled using an E-GARCH model, Nelson e CAo (1992). We used daily data of nominal exchange rate and the interventions for the period from January of 1999 to September of 2006. Our results showed that in all sample periods we study, including the ones with currency crisis, some instrument of intervention affected the conditional volatility of the nominal exchange rate.
