New evidence on the effectiveness of interventions in the foreign exchange market in Brazil

<p>This paper discusses the effectiveness in Brazil of the traditional instrument of exchange rate intervention (spot interventions) as well as an instrument based on exchange rate derivatives (foreign exchange swaps). We show that these instruments are capable of affecting the conditional mean of the process of the nominal exchange rate throughout our sample period, from January 2006 to April 2016. Our results are robust to different techniques of estimation (GMM in continuous time and in discrete time), specifications and sample periods.</p><p> </p>

Retraction: Exchange rate intervention and trade openness on the global economy with reference to Brazil, Russia, India, China and South Africa (BRICS) countries

Retracted on the 17th of April, 2020 by the Journal’s owner request dated April 12th 2020. The type of retraction – plagiarism. The owner of the journal was asked to retract this article because of plagiarism. The request came from the author of the dissertation, which was published a year before the publication of the article. The author insisted that there was significant plagiarism in the article that could not be adjusted. Editorial staff carried out an investigation into plagiarism in the article published. When the manuscript was submitted to the Journals for consideration, the authors signed the Cover letter and attested to the fact that their manuscript is an original research and has not been published before. After that, the manuscript was accepted for consideration by the Managing Editor and was tested for plagiarism using the iThenticate program. Plagiarism was not detected. Later, after the article complaint and the statement of plagiarism, we used all the sources and resources provided by the complainant, the article was re-tested for plagiarism, and plagiarism was established with a similarity index of 69%. According to the results of the investigation, the editorial board decided to retract the article on April 17, 2020. The authors were notified of such a decision and reported that they accept and do not dispute the retraction decision.

Optimal Foreign Exchange Rate Intervention in Lévy Markets

This paper considers an exchange rate problem in Lévy markets, where the Central Bank has to intervene. We assume that, in the absence of control, the exchange rate evolves according to Brownian motion with a jump component. The Central Bank is allowed to intervene in order to keep the exchange rate as close as possible to a prespecified target value. The interventions by the Central Bank are associated with costs. We present the situation as an impulse control problem, where the objective of the bank is to minimize the intervention costs. In particular, the paper extends the model by Huang, 2009, to incorporate a jump component. We formulate and prove an optimal verification theorem for the impulse control. We then propose an impulse control and construct a value function and then verify that they solve the quasivariational inequalities. Our results suggest that if the expected number of jumps is high the Central Bank will intervene more frequently and with large intervention amounts hence the intervention costs will be high.

Monetary Response to Exchange Rate Dynamics: Regime Switching – Chartists and Fundamentalists Application to Australia

In this paper we study the effect of central bank intervention within a heterogeneous expectations exchange rate model. The empirical evidence is conducted by applying a Markov switching approach to daily AUD/USD exchange rate, intervention data of the Reserve Bank of Australia from 2006 to 2012. Our results are supporting both chartists and fundamentalist regimes. It is shown that the two regimes are persistent. However, Reserve Bank of Australia efforts to exert a stabilizing effect of foreign exhange interventions, the result is inconclusive.