Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil

dc.creatorMachado Vicente , José Valentim
dc.creatorTerra Moura Marins, Jaqueline
dc.creatorPiazza Gaglianone, Wagner
dc.date2022-06-19
dc.date.accessioned2022-11-03T21:00:16Z
dc.date.available2022-11-03T21:00:16Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/84946
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5044684
dc.descriptionThe purpose of this paper is to measure the impact of interest rate decisions of the Monetary Policy Committee (MPC) on foreign exchange (FX) rate in Brazil. Two new daily measures of interest rate surprises are proposed using market and survey data. The results indicate a significant effect of MPC's decisions on FX returns. In particular, the surprise variable based on market data is statistically significant to explain FX returns and has a negative sign, as expected (a positive surprise implies an appreciation of the domestic currency). Moreover, this effect is symmetric, in terms of positive or negative surprises, and does not depend on the level of Selic interest rate. Nonetheless, the surprise variable is not significant to explain FX returns in recent years, under a single-digit interest rate regime. Robustness exercises—using GARCH models or including FX market official intervention series as additional controls—corroborate the previous findings.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherLociedade Brasileira de Finançasen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/84946/81008
dc.rightsCopyright (c) 2022 Revista Brasileira de Finançaspt-BR
dc.sourceBrazilian Review of Finance; Vol. 20 No. 2 (2022): April-June; 1-19en-US
dc.sourceRevista Brasileira de Finanças; v. 20 n. 2 (2022): Abril-Junho; 1-19pt-BR
dc.source1984-5146
dc.source1679-0731
dc.subjectExchange rateen-US
dc.subjectMonetary policyen-US
dc.subjectInterest rate surpriseen-US
dc.subjectC12en-US
dc.subjectC58en-US
dc.subjectE43en-US
dc.subjectE44en-US
dc.subjectE52en-US
dc.titleImpacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazilen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion
dc.typeDouble blind reviewed articlesen-US
dc.typeAvaliado por Parespt-BR


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