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Record Nr. |
UNINA9910165037203321 |
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Autore |
Nedeljkovic Milan |
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Titolo |
The Relative Effectiveness of Spot and Derivatives Based Intervention : : The Case of Brazil / / Milan Nedeljkovic, Christian Saborowski |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2017 |
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ISBN |
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9781475572452 |
147557245X |
9781475572513 |
1475572514 |
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Descrizione fisica |
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1 online resource (36 pages) : color illustrations, tables, graphs |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Monetary policy - Brazil |
Foreign exchange rates - Brazil |
Foreign Exchange |
Investments: Futures |
Pension Funds |
Non-bank Financial Institutions |
Financial Instruments |
Institutional Investors |
Currency |
Foreign exchange |
Finance |
Futures |
Exchange rates |
Currency swaps |
Exchange rate adjustments |
Financial institutions |
Derivative securities |
Brazil |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references. |
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Sommario/riassunto |
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This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We make use of Brazilian data where spot and non-deliverable futures based intervention have been used in tandem for more than a decade. The analysis finds evidence in favor of a significant link between both modes of intervention and the first two moments of the real/dollar exchange rate. As predicted by theory for the case of negligible convertibility risk, the impact of spot market intervention in our baseline sample is strikingly similar to that achieved through futures based intervention worth an equivalent amount in notional principal. |
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