Intervenções do Banco Central do Brasil (BCB) e previsibilidade da taxa de câmbio: evidências a partir da utilização de regras de negociação baseadas em análise técnica

Abstract

Using the average of the daily returns generated by a simple trading rule, this paper analyzes whether Central Bank foreign exchange interventions introduce any kind of predictability in the foreign exchange market. The results indicate that when periods with foreign exchange intervention are included in the sample the returns of the strategy are positive and statistically significant. Yet, when the days where official interventions took place are removed from the sample, the returns fall and are not statistically different from zero anymore. The results suggest that the official interventions do introduce predictability in the foreign exchange market that can be identified by a simple trading rule.