Tornar a Working Papers

Paper #1648

Títol:
Hedger of last resort: evidence from Brazilian FX interventions, local credit, and global financial cycles
Autors:
Rodrigo Barbone Gonzalez, Dmitry Khametshin, José-Luis Peydró i Andrea Polo
Data:
Octubre 2018 (Revisió: Març 2019)
Resum:
We show that local central bank policies attenuate global financial cycle (GFC)’s spillovers. For identification, we exploit GFC shocks and Brazilian interventions in FX derivatives using three matched administrative registers: credit, foreign credit flows to banks, and employer-employee. After U.S. Federal Reserve Taper Tantrum (with strong Emerging Markets FX depreciation and volatility increase), Brazilian banks with larger ex-ante reliance on foreign debt strongly cut credit supply, thereby reducing firm-level employment. However, Brazilian FX large intervention supplying derivatives against FX risks—hedger of last resort—halves the negative effects. Finally, a 2008-2015 panel exploiting GFC shocks and local policies confirm the results.
Paraules clau:
foreign exchange, monetary policy, central bank, bank credit, hedging
Codis JEL:
E5, F3, G01, G21, G28
Àrea de Recerca:
Finances i Comptabilitat / Macroeconomia i Economia Internacional / Economia Laboral, Pública, de Desenvolupament i de la Salut

Descarregar el paper en format PDF (766 Kb)

Cercar Working Papers


Per data:
-cal seleccionar un valor a les quatre llistes desplegables-



Consultes Predefinides