Abstract

In the 2010s, the Brazilian Central Bank (BCB) intervened massively with domestic non-deliverable forwards (DNDFS) to offset the reversal of the global financial cycle. This article aims to investigate why the BCB used these derivatives instead of selling its international reserves, how they affected the markets, and the limits of these interventions. The main benefit of DNDFs is that they preserve the international reserves of the central bank. Since market makers use these DNDFs to hedge their supply of foreign currencies in the foreign exchange markets, the central bank can affect these markets without spending a dollar. We present evidence that DNDFs were associated with an expansion of market makers’ short dollar positions. DNDFs were also used to limit excessive currency volatility. We identified a subset of interventions aimed at offsetting excessive volatility and present evidence that the BCB could stabilize the markets on these occasions. However, DNDFs are not a panacea. If coupled with deregulated foreign exchange markets, frequent interventions may stimulate speculative activity against the domestic currency. Furthermore, they can be costly, and these costs increase the interest-bearing liabilities of the central bank, constraining the domestic policy space of the monetary authority.

摘要

2010 年代，巴西中央银行 (BCB) 通过国内无本金交割远期合约 (DNDFS) 进行大规模干预，以抵消全球金融周期的逆转。本文旨在调查为什么 BCB 使用这些衍生品而不是出售其国际储备，它们如何影响市场，以及这些干预措施的局限性。DNDF 的主要好处是它们保留了中央银行的国际储备。由于做市商使用这些 DNDF 来对冲他们在外汇市场上的外币供应，因此中央银行可以在不花费一美元的情况下影响这些市场。我们提供的证据表明，DNDF 与做市商美元空头头寸的扩大有关。DNDF 也被用来限制过度的货币波动。我们确定了一系列旨在抵消过度波动的干预措施，并提供证据表明 BCB 可以在这些情况下稳定市场。然而，DNDF 并不是万灵药。如果再加上放松管制的外汇市场，频繁的干预可能会刺激对本币的投机活动。此外，它们可能成本高昂，这些成本增加了央行的付息负债，限制了货币当局的国内政策空间。