The Market of Foreign Exchange Hedge in Brazil: Reactions of Financial Institutions to Interventions of the Central Bank

Between 1999 and 2002, Brazil's Central Bank sold expressive amounts of dollar indexed debt and foreign exchange swaps. This paper shows that in periods of high volatility of the exchange rate, first semester of 1999 and second semester of 2002, the Central Bank of Brazil increased the foreign exchange hedge, but the financial institutions used this to reduce their foreign exchange exposure. In contrast, increases in foreign hedge during periods of low volatility of the exchange rate were transferred to the productive sector.foreign exchange swaps, central bank interventions, foreign exchange risk

Is Inflation Persistence Over?

We analyze inflation persistence in several industrial and emerging countries in the recent past by estimating reduced-form models of inflation dynamics. We select a very representative group of 23 industrial and 17 emerging economies. Our sample period is comprised of quarterly data and starts in the first quarter of 1995. Our results show that inflation persistence is low and stable for all countries in our sample. It seems to be lower in industrial relative to emerging countries. Finally, even countries that have had “hyperinflation” experience in the recent past showed low levels of inflation persistence, albeit apparently higher than the other countries in our sample.

An Empirical Analysis of the External Finance Premium of Public Non-Financial Corporations in Brazil

Our objective in this paper is to analyze empirically the relationship between the external finance premium of non-financial corporations in Brazil with their default probability and with their demand for inventories. As for the former relation, we find that corporations that have greater external finance premium have greater probability of default. As for the latter, we find that the external finance premium is positive and statistically significantly correlated. The results confirm previous results of the literature that indicate that the balance sheet channel of monetary policy is relevant in Brazil.

O Mercado de Hedge Cambial no Brasil: Reação das Instituições Financeiras a Intervenções do Banco Central

Between 1999 and 2002, Brazil´s Central Bank sold expressive amounts of dollar-denominated debt and foreign exchange swaps. This paper shows that in periods of high volatility of the exchange rate, first semester of 1999 and second semester of 2002, the Central Bank increased the foreign exchange hedge, which was used by the financial institutions to reduce their foreign exchange exposure. In contrast, increases in foreign exchange hedge during periods of low volatility of the exchange rate were transferred to the productive sector.

Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação

Este artigo examina empiricamente a demanda de derivativos de câmbio de empresas brasileiras de capital aberto. Para tanto, construimos um banco de dados original com 23.767 contratos de swap cambial entre empresas e instituições financeiras em aberto em 2002. A partir destes contratos, identificamos 42 empresas de capital aberto que fizeram hedge no mercado de derivativos de câmbio e 51 que especularam. Os dados mostram que a existência de dívida externa e o tamanho da empresa afetaram positivamente a probabilidade de hedge, enquanto as receitas de exportação afetaram positivamente a probabilidade de especulação. Estes resultados sugerem que em períodos de grande volatilidade do câmbio - como no ano de 2002 - a demanda das empresas por derivativos de câmbio está fortemente relacionada a motivos especulativos.demanda de derivativos de câmbio, hedge, especulação, swaps cambiais, firmas de capital aberto

Choques não Antecipados de Política Monetária e a Estrutura a Termo das Taxas de Juros no Brasil

This paper has two objectives. One is to identify non anticipated monetary shocks using future contracts of DI. The second objective is to study the relation between these shocks and the term structure of interest rate. Our empirical evidence suggests that, albeit in a partial manner, the market anticipates most interest rate decisions of the Central Bank. We also show that, in general, non anticipated monetary shocks are capable of affecting the term structure of interest rates.

Viscosity measurements of liquid toluene at low temperatures using a dual vibrating-wire technique

A recently developed dual vibrating-wire technique has been used to perform viscosity measurements of liquid toluene in the temperature range 213 K ≤ T ≤ 298 K, and at pressures up to approximately 20 MPa. The results were obtained by operating the vibrating-wire sensor in both forced and free decay modes. The estimated precision of the viscosity measurements, in either mode of operation, is ±0.5%, for temperatures above or equal to 273 K, increasing with decreasing temperature up to ±1% at 213 K. The corresponding overall uncertainty is estimated to be within ±1% and ±1.5%, respectively

An industrial reference fluid for moderately high viscosity

In industrial practice, there is a demand for a reference standard for viscosity that is established for a readily available fluid to simplify the calibration of industrial viscometers for moderately high viscosities [(50 to 125) mPa · s]. Diisodecyl phthalate (DIDP) has been suggested as that reference fluid, and a number of studies of its properties have been carried out in several laboratories throughout the world, within the auspices of a project coordinated by the International Association for Transport Properties. That project has now progressed to the point where it is possible to collate the results of studies of the viscosity of the fluid by a number of different techniques, so as to lead to a proposed standard reference value which will be included in the paper. To support this recommended value, the various measurements conducted have been critically reviewed, and the sample purity and other factors affecting the viscosity have been studied. Density and surface tension measurements have also been performed. This paper does not describe the individual viscosity determinations carried out in independent laboratories because these are the subject of individual publications, but it does describe the ancillary studies conducted and their relevance to the viscosity standard. In addition, the paper contains recommended values for the viscosity of liquid DIDP. The samples of DIDP to which the recommended values refer are isomeric mixtures available commercially from certain suppliers, with a minimum purity by gas chromatography of 99.8 %. The recommended values result from a critical examination of all the measurements conducted to date and are supported by careful arguments dealing with the likely effects of the isomeric content of the sample as well as of other impurities. The proposed reference standard is intended particularly to serve an industrial need for a readily available calibration material with a viscosity close to that required in practical situations. To that end, the recommended value has an overall relative uncertainty of approximately 1 %. It is therefore not intended to supersede for the reference value for the viscosity of water at 20 °C, which is known much more accurately, but rather to complement it