This paper analyses effects of interventions in the Brazilian spot foreign exchange market from 1999 to 2008 on the R$/US$ exchange rate. The period was divided following the results of a MS-VAR model. The interventions appear to have had an effect on the foreign exchange behavior especially on periods with lower volatility. Estimations with EGARCH point to the existence of asymmetry between interventions: interventions related to positive shocks have a larger effect on the conditional variance than interventions associated to negative shocks. The results indicate the possibility of endogeneity in interventions. Interventions are not able to surpass the trend effects.
Foreign exchange intervention; volatility; exchange rate; Brazil
