The exchange rate dynamics facing swap operations in Brasil (2002-2015)

a post-keynesian approach

Authors

Abstract

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.

Author Biographies

Leandro Vieira Lima Araújo, Universidade Federal do Rio Grande do Sul

Aluno do curso de doutorado, linha economia do desenvolvimento, do Programa de Pós-Graduação em Economia da Universidade Federal do Rio Grande do Sul.

Fábio Henrique Bittes Terra, Universidade Federal do ABC

Professor Adjunto da Universidade Federal do ABC.

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Published

2017-04-03

How to Cite

ARAÚJO, L. V. L.; TERRA, F. H. B. The exchange rate dynamics facing swap operations in Brasil (2002-2015): a post-keynesian approach. Nova Economia, [S. l.], v. 28, n. 3, 2017. Disponível em: https://revistas.face.ufmg.br/index.php/novaeconomia/article/view/3615. Acesso em: 21 nov. 2024.

Issue

Vol. 28 No. 3 (2018)

Section

Regular Issue

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