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Master's Dissertation
DOI
10.11606/D.96.2018.tde-17082018-102745
Document
Author
Full name
João Pedro de Camargo Mainente
Institute/School/College
Knowledge Area
Date of Defense
Published
Ribeirão Preto, 2018
Supervisor
Committee
Ferreira, Alex Luiz (President)
Garcia, Márcio Gomes Pinto
Laurini, Marcio Poletti
Tenani, Paulo Sergio
Title in Portuguese
Controle da volatilidade do câmbio: um estudo não linear e simulado
Keywords in Portuguese
Banco Central do Brasil (BCB)
Intervenções
Política cambial
Taxa de câmbio
Abstract in Portuguese
O objetivo da presente dissertação é avaliar a atuação do Banco Central do Brasil no controle do excesso de volatilidade da taxa de câmbio. Para tanto, estima-se um modelo SETAR com dois limiares, com o intuito de identificar uma estrutura não linear na taxa de câmbio e, por meio da proposição de um modelo teórico, avaliar de que forma ocorreria a tomada de decisão acerca de intervenções no mercado de câmbio. Busca-se, também, por meio de simulações do modelo teórico proposto, entender como se relacionariam o comportamento de maior prazo da taxa de câmbio e a política de controle da volatilidade. Conclui-se que períodos marcados por uma tendência de constante depreciação (apreciação) da moeda podem estar relacionados a momentos de redução (acúmulo) de reservas internacionais mantidas pelo Banco Central.
Title in English
Exchange rate volatility control: a non-linear and simulated study
Keywords in English
Brazil's Central Bank (BCB)
Exchange rate
Exchange rate policy
Interventions
Abstract in English
The objective of this dissertation is to evaluate the behavior of the Brazilian Central Bank, in its role of to controling exchange rate excess volatility. A SETAR model with two thresholds is estimated in order to identify a nonlinear structure for the exchange rate. A theoretical model is proposed for the monetary authority in order to evaluated optimal intervention policy. The theoretical model is then simulated to show how long-run trends in the exchange rate could be smoothed by control policies. The results shows that depreciation (appreciation) trends could be related to significant reductions (accumulation) of international reserves.
 
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Publishing Date
2018-09-18
 
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