Crise cambial e intervenções em mercados de derivativos de câmbio

Resumen

This paper analyses mechanisms of intervention by Central Banks in derivative markets during episodes of exchange rate crisis. In traditional exchange rate crisis models, Central Bank foreign exchange intervention occurs mainly in spot markets. Many international experiences, however, have been strongly marked by selling pressures from agents that had previously decided to bear the exchange rate risk, establishing long positions in the weak currency in the derivative markets. The Brazilian experience of 1997 is analyzed, as an illustration of how banks can exert a strong buying pressure on foreign exchange reserves, if the derivative markets are not liquid enough for them to eliminate their exposure to the risk of devaluation of the domestic currency. New insights into alternative policies for defense of the domestic currency are also provided.