We analyze the unique intervention strategy of the BCB using DNDFs (Domestic-Non-Deliverable Forwards): currency forwards that settle in domestic currency. We show the mechanisms through which DNDFs provide efficient hedging instruments for economic agents in times of reduced capital inflows and...

The estimation of the impact of macroeconomic announcements in the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate...

The taper tantrum of May 2013 generated sharp fall in risky assets prices, including the depreciation of several emerging market currencies. To fight excess volatility and exchange rate overshooting, the Central Bank of Brazil announced a major program of interventions in foreign exchange...