Determinantes de intervenção do Banco Central do Brasil no mercado de câmbio: uma abordagem empírica por regressão logística e redes neurais

Em economias com regimes de metas de inflação é comum que Bancos Centrais intervenham para reduzir os níveis de volatilidade do dólar, sendo estas intervenções mais comuns em países não desenvolvidos. No caso do Brasil, estas intervenções acontecem diretamente no mercado à vista, via mercado de derivativos (através de swaps cambiais) ou ainda com operações a termo, linhas de liquidez e via empréstimos. Neste trabalho mantemos o foco nas intervenções no mercado à vista e de derivativos pois estas representam o maior volume financeiro relacionado à este tipo de atuação oficial. Existem diversos trabalhos que avaliam o impacto das intervenções e seus graus de sucesso ou fracasso mas relativamente poucos que abordam o que levaria o Banco Central do Brasil (BCB) a intervir no mercado. Tentamos preencher esta lacuna avaliando as variáveis que podem se relacionar às intervenções do BCB no mercado de câmbio e adicionalmente verificando se essas variáveis se relacionam diferentemente com as intervenções de venda e compra de dólares. Para tal, além de utilizarmos regressões logísticas, como na maioria dos trabalhos sobre o tema, empregamos também a técnica de redes neurais, até onde sabemos inédita para o assunto. O período de estudo vai de 2005 a 2012, onde o BCB interveio no mercado de câmbio sob demanda e não de forma continuada por longos períodos de tempo, como nos anos mais recentes. Os resultados indicam que algumas variáveis são mais relevantes para o processo de intervenção vendendo ou comprando dólares, com destaque para a volatilidade implícita do câmbio nas intervenções que envolvem venda de dólares, resultado este alinhado com outros trabalhos sobre o tema.

Monetary policy, default risk and the exchange rate

In a country with high probability of default, higher interest rates may render the currency less attractive if sovereign default is costly. This paper develops that intuition in a simple model and estimates the effect of changes in interest rates on the exchange rate in Brazil using data from the dates surrounding the monetary policy committee meetings and the methodology of identification through heteroskedasticity. Indeed, we find that unexpected increases in interest rates tend to lead the Brazilian currency to depreciate. It follows that granting more independence to a central bank that focus solely on inflation is not always a free-lunch.

Moeda e política monetária: duas visões

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Bank efficiency in Brazil: the importance for economic sustainability

Studies on efficiency achieved greater relevance in organisations within an open market framework, which in Brazil began around 1990. The objective of this paper, applying the data envelopment analysis methodology, is to analyse the efficiency of banks operating in the country using the database termed 'the biggest banks', periodically divulged by the Central Bank of Brazil in 2010-2012. The methodology was applied to the 26 largest banking organisations via two approaches, one was financial intermediation and the other was results. In the financial intermediation approach, the efficiency increase was the highest among banks specialised in credit from 2010 to 2012. Retail banks, especially the large ones, felt most intensely the reaction of 2011, a year considered as the sector's low performance year. In the results approach, the efficiency increase was higher among retail banks. Factors such as retractions in the SELIC rate and bank spreads impacted all banks, regardless of the segment.

Springtime Nutrient and Phytoplankton Dynamics on Georges Bank

The dynamics of phytoplankton and nutrients before, during and after the winter-spring bloom on Georges Bank were studied on 6 monthly survey cruises from January to June 1999. We measured hydrography, phytoplankton cell densities, chlorophyll a, dissolved inorganic nutrients (NO3 + NO2, NH4, Si(OH)(4), PO4), dissolved organic nitrogen (DON) and phosphorus (DOP), particulate organic carbon (POC) and nitrogen (PON) and total particulate phosphorus (TPP). We present evidence that phytoplankton production may be significant year-round, and that the winter-spring bloom may have started in January. From January to April the phytoplankton was comprised almost exclusively of diatoms, reaching cell densities in March and April of ca. 450 cells ml(-1); chlorophyll a concentrations exceeded 10 mug l(-1) in April. Diatoms decreased to relatively low levels in May (< 50 x 10(3) cells l(-1)) and increased again in June (>300 x 10(3) cells l(-1)). Densities of dinoflagellates and nanoflagellates were low (< 10 x 10(3) cells l(-1)) from January to April, and increased in May and June to nearly 300 x 10(3) cells l(-1). Nitrate + nitrite concentrations in January were <3 muM in the shallow, central portion of the bank and decreased steadily each month. Silicate was also <3 muM over an even larger area of the central bank in January and declined to <1.5 muM over most of the Bank in April. The data suggest that silicate depletion, not DIN, contributed to the cessation of the diatom bloom. Regeneration of silicate occurred in May and June, presumably as a result of rising water temperatures in late spring which increased the dissolution rate of diatom frustules from the earlier diatom bloom. Dissolved organic nitrogen may have been utilized at the start of the winter-spring bloom; concentrations were ca, 14 muM in January, dropping to < 6 mug l(-1) in February, after which DON concentrations steadily rose to > 15 mug l(-1) in June. Overall micro-and nanoplankton biomass, measured as POC, PON and TPP, increased over the 6 mo period, as did nutritional quality of that biomass as indicated by declining C:N ratios. Our results suggest there may have been an increase in the heterotrophic component of the plankton in May and June which coincided with a second burst in diatom abundance. We discuss general features of planktonic production and nutrient dynamics with respect to year-round production on the Bank.

Optimal Central Banker Contracts and Common Agency

This paper considers the contacting approach to central banking in the context of a simple common agency model. The recent literature on optimal contracts suggests that the political principal of the central bank can design the appropriate incentive schemes that remedy for time-inconsistency problems in monetary policy. The effectiveness of such contracts, however, requires a central banker that attaches a positive weight to the incentive scheme. As a result, delegating monetary policy under such circumstances gives rise to the possibility that the central banker may respond to incentive schemes offered by other potential principals. We introduce common agency considerations in the design of optimal central banker contracts. We introduce two principals - society (government) and an interest group, whose objectives conflict with society's and we examine under what circumstances the government-offered or the interest-group-offered contract dominates. Our results largely depend on the type of bias that the interest group contract incorporates. In particular, when the interest group contract incorporates an inflationary bias the outcome depends on the principals' relative concern of the incentive schemes' costs. When the interest group contract incorporates an expansionary bias, however, it always dominates the government contract. A corollary of our results is that central banker contracts aiming to remove the expansionary bias of policymakers should be written explicitly in terms of the perceived bias.

Bank restructuring and financial institution reform in Indonesia

The banking sector underwent drastic reform in post-crisis Indonesia. Bank restructuring, driven by IMF conditionalities, resulted in the exit of insolvent banks and ownership changes of major private banks. Through recapitalization and sales of government-held shares, foreign-owned banks emerged as leading actors in the place of business-group-affiliated banks. As part of the restructuring process, an exit rule was created. The central bank, which up to that time had been given only partial authority under the jurisdiction of the Minister of Finance, now gained a full range of authority over banks. The central bank's supervision system on banks, risk management systems at individual banks, and their efforts to build risk management capacities, began to function. This is totally different from the old financial institution under the Soeharto regime, where banks had no incentive to control risks, as the regime tacitly ensured their survival.

The new European framework for managing bank crises. CEPS Policy Brief No. 304, 21 November 2013

This Policy Brief describes and discusses the proposals for a European Single Resolution Mechanism (SRM) for banks and for a Directive on Bank Recovery and Resolution (BRR). The authors find that the proposals are generally well designed and present a consistent approach, yet there is room for improvement, including the streamlining of procedures for the start of resolution, which now entail much overlap in the powers attributed to the various institutions involved (the Commission, the Single Resolution Board and the European Central Bank). The paper makes a number of key recommendations to facilitate discussions for stakeholders and regulators.

The European Central Bank’s quantitative easing programme: limits and risks. Bruegel Policy Contribution Issue 2016/04, February 2016

The European Central Bank (ECB) has made a number of significant changes to the original guidelines of its quantitative easing (QE) programme since the programme started in January 2015. These changes are welcome because the original guidelines would have rapidly constrained the programme’s implementation. The changes announced expand the universe of purchasable assets and give some flexibility to the ECB in the execution of its programme. However, this might not be enough to sustain QE throughout 2017, or if the ECB wishes to increase the monthly amount of purchases in order to provide the necessary monetary stimulus to the euro area to bring inflation back to 2 percent. To increase the programme’s flexibility, the ECB could further alter the composition of its purchases. The extension of the QE programme also raises some legitimate questions about its potential adverse consequences. However, the benefits of this policy still outweigh its possible negative implications for financial stability or for inequality. The fear that the ECB’s credibility will be undermined because of its QE programme also seems to be largely unfounded. On the contrary, the primary risk to the ECB’s credibility is the risk of not reaching its 2 percent inflation target, which could lead to expectations becoming disanchored.

Bank of the United States.

"Read and laid upon the table."

Implications of bank ownership for the credit channel of monetary policy transmission:evidence from India

Using bank-level data from India, we examine the impact of ownership on the reaction of banks to monetary policy, and also test whether the reaction of different types of banks to monetary policy changes is different in easy and tight policy regimes. Our results suggest that there are considerable differences in the reactions of different types of banks to monetary policy initiatives of the central bank, and that the bank lending channel of monetary policy is likely to be much more effective in a tight money period than in an easy money period. We also find differences in impact of monetary policy changes on less risky short-term and more risky medium-term lending. We discuss the policy implications of the findings.

Do Escudo ao Euro: a mudança no Banco Central

A mudança é constante dos nossos dias, tornando-se uma necessidade imperativa nas organizações para ultrapassar os desafios de uma sociedade em permanente evolução. A adesão de Portugal à União Europeia, e consequentemente ao Eurosistema e Sistema Europeu de Bancos Centrais, culminou com a adopção de uma nova moeda — o Euro. Toda a evolução experimentada neste longo caminho provocou uma enorme transformação no Banco Central. Pretende esta dissertação apresentar algumas perspectivas de mudança organizacional e também sistematizar a transformação ocorrida no Banco de Portugal ao longo da última década. / Change is constant in our days, making it an imperative need in organizations to overcome the challenges of an evolving society. Portugal's accession to the European Union and consequently the Eurosystem and the European System of Central Banks, led to the adoption of a new currency — the Euro. All developments experienced in this long road led to a huge transformation in the Central Bank. This thesis aims to present perspectives on organizational change, and also standardize the transformation in the Bank of Portugal over the last decade.

Corporate sustainability reporting of major commercial banks in line with GRI : Bangladesh evidence

Purpose – This paper aims to examine the tendencies of sustainability reporting by major commercial banks in Bangladesh in comparison with global sustainability reporting indicators outlined in the GRI framework together with banks' predilection toward reporting 16 GRI financial service sector (FSS) specific performance indicators. Design/methodology/approach – Based on the GRI G3 guidelines, the paper investigated banks' reporting in five broad areas of sustainability, such as environment, labour practices and decent works, product responsibility, human rights and society. The 2008/2009 annual reports of 12 major commercial banks listed on Dhaka stock exchange were analysed and coded using a content-based technique. Findings – The results show that information on society is addressed most extensively with regard to extent of reporting. This is followed by the disclosures prepared on decent works and labour practices and environmental issues. Furthermore, the disclosures of product responsibility information and the information for human rights are rather scarce in banks' reporting; on the subject of FSS-specific disclosures, only seven items out of 16 are disclosed by all sample banks. Research limitations/implications – The findings of the study indicate that Bangladeshi commercial banks' social disclosures could develop in this style to become more holistic and over time (in association with the country's central bank involvement) to resemble a type of structured reporting to the point where they are properly labelled per se. Originality/value – The study contributes to the social disclosure literature, in particular in a developing countries banking sector context, seeing as it disseminates evidence of the standing on social disclosures practices at the level of GRI with developing countries' banks data.

Essays on Banking Crises

This thesis aims at finding the role of deposit insurance scheme and central bank (CB) in keeping the banking system safe. The thesis also studies the factors associated with long-lasting banking crises. The first essay analyzes the effect of using explicit deposit insurance scheme (EDIS), instead of using implicit deposit insurance scheme (IDIS), on banking crises. The panel data for the period of 1980-2003 includes all countries for which the data on EDIS or IDIS exist. 70% of the countries in the sample are less developed countries (LDCs). About 55% of the countries adopting EDIS also come from LDCs. The major finding is that the using of EDIS increases the crisis probability at a strong significance level. This probability is greater if the EDIS is inefficiently designed allowing higher scope of moral hazard problem. Specifically, the probability is greater if the EDIS provides higher coverage to deposits and if it is less powerful from the legal point of view. This study also finds that the less developed a country is to handle EDIS, the higher the chance of banking crisis. Once the underdevelopment of an economy handling the EDIS is controlled, the EDIS separately is no longer a significant factor of banking crises. The second essay aims at determining whether a country s powerful CB can lessen the instability of the banking sector by minimizing the likelihood of a banking crisis. The data used include indicators of the CB s autonomy for a set of countries over the period of 1980-89. The study finds that in aggregate a more powerful CB lessens the probability of banking crisis. When the CB s authority is disentangled with respect to its responsibilities, the study finds that the longer tenure of CB s chief executive officer and the greater power of CB in assigning interest rate on government loans are necessary for reducing the probability of banking crisis. The study also finds that the probability of crisis reduces more if an autonomous CB can perform its duties in a country with stronger law and order tradition. The costs of long-lasting banking crises are high because both the depositors and the investors lose confidence in the banking system. For a rapid recovery of a crisis, the government very often undertakes one or more crisis resolution policy (CRP) measures. The third essay examines the CRP and other explanatory variables correlated with the durations of banking crises. The major finding is that the CRP measure allowing the regulation forbearance to keep the insolvent banks operative and the public debt relief program are respectively strongly and weakly significant to increase the durations of crises. Some other explanatory variables, which were found by previous studies to be related with the probability of crises to occur, are also correlated with the durations of crises.