Do FX Interventions Lead to Higher FX Debt? Evidence from Firm-Level Data

Prove : ∀ x Fx Solve : ∃ x Fx Compute : λx Fx 3

Modeling High-Frequency FX Data Dynamics∗

This paper shows that high-frequency, irregularly-spaced, FX data can generate non-normality, conditional heteroskedasticity, and leptokurtosis when aggregated into fixed-interval, calendar time even when these features are absent in the original D.G.P. Furthermore, we introduce a new approach to modeling these high-frequency irregularly spaced data based on the Poisson regression model. The ne...

FX Smile Modelling

FX interventions in Brazil: a synthetic control approach∗

In the aftermath of the Taper Tantrum episode, the Central Bank of Brazil announced a major program of intervention in foreign exchange markets on August 2013, with daily sales of FX futures settling in domestic currency swaps that provided insurance against a depreciation of the real. We analyze the effect of that program on the level and volatility of the exchange rate using a synthetic contr...

Models of Fx Markets