Eficácia do swap cambial nas intervenções intraday do Banco Central, como redutor da volatilidade nas negociações no mercado futuro de câmbio

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dc.contributor.advisorHadad Junior, Eli
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/2030318390506756por
dc.contributor.authorSales, Aparecido Francisco de
dc.creator.Latteshttp://lattes.cnpq.br/1375839819347314por
dc.date.accessioned2020-04-01T18:29:36Z
dc.date.accessioned2020-05-28T18:04:39Z
dc.date.available2020-05-28T18:04:39Z
dc.date.issued2019-08-22
dc.description.abstractOne of the most important components of the economy is the price of foreign currency, in this case the dollar. The control of volatility and price level, essential to avoid economic turbulence, almost obliges the monetary authority to intervene in the foreign exchange market. The foreign exchange swap, a widely used derivative in Brazil, is an instrument that allows sterilized interventions, with no impact on liquidity. The study identified, on the basis of high frequency data analysis of the future dollar market, the impact that the Exchange Swap auctions provoke on business volatility in the future foreign exchange market, the difference of reaction to the scheduled auctions and surprise, to rollovers or offers of new maturities. Numerous studies are inconclusive, given the method, period and / or applied tests. The ARCH-GARCH models were used to identify the level of volatility in each adjacent period to each auction. The quantification of periods with the increase volatility indicates that the interventions of Central Bank through Currency Swaps have little effectiveness in reducing the volatility in the trades made in the future foreign exchange market, standard contracts - DOL and mini-contracts - WDO, especially during ten minutes of the auction. On the other hand, the auctions to offer new maturities, scheduled or not, increase the volatility in a significant number of trading sessions, especially in the ten minutes after the auction.eng
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dc.identifier.citationSALES, Aparecido Francisco de. Eficácia do swap cambial nas intervenções intraday do Banco Central, como redutor da volatilidade nas negociações no mercado futuro de câmbio. 2019. 69 f. Dissertação (Mestrado em Administração de Empresas) - Universidade Presbiteriana Mackenzie, São Paulo, 2019.por
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23690
dc.keywordsforeign exchange swapeng
dc.keywordsvolatilityeng
dc.keywordsARCHeng
dc.keywordsGARCHeng
dc.keywordsexchangeeng
dc.keywordsinterventioneng
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjectswap cambialpor
dc.subjectvolatilidadepor
dc.subjectARCHpor
dc.subjectGARCHpor
dc.subjectcâmbiopor
dc.subjectintervençãopor
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADASpor
dc.titleEficácia do swap cambial nas intervenções intraday do Banco Central, como redutor da volatilidade nas negociações no mercado futuro de câmbiopor
dc.typeDissertaçãopor
local.contributor.board1Basso, Leonardo Fernando Cruz
local.contributor.board1Latteshttp://lattes.cnpq.br/1866154361601651por
local.contributor.board2Mendonça, Diogo de Prince
local.contributor.board2Latteshttp://lattes.cnpq.br/3160691112817642por
local.publisher.countryBrasilpor
local.publisher.departmentCentro de Ciências Sociais e Aplicadas (CCSA)por
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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