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2017年第1期:巴西央行外汇市场干预方式及效果分析

作者:中国人民银行研究局(所)人民币汇率研究小组
时间:2017年05月10日        字体:           点击量:

  摘要:巴西央行于2002年开始采用在岸外汇期货(DNDF)作为外汇市场干预的辅助工具,2013年将其作为日常干预的主要方式。该操作本质上为外汇掉期,传导机制与掉期相同,可直接抬高境内外币利率。其优点是本币净额结算,不影响货币供应量和外汇储备规模。缺陷是并无直接管理汇率预期效果,且短期操作效果受限于商业银行增加短期套利头寸的意愿,长期操作效果受制于央行兑换风险。巴西DNDF操作基于其独特的市场结构,即外汇期货市场流动性远好于现货市场,因而难被其他国家效仿。前期我国央行的相关举措已经发挥了与DNDF类似的作用,可继续采取措施,提高境内外币利率,促进境内主体从离岸市场融资,扩大资金流入规模。

  关键词:DNDFs;掉期;汇率预期

  作者:中国人民银行研究局(所)人民币汇率研究小组

  Brazil’s DNDFs Operations in FX Intervention

  AbstractBrazilian Central Bank (BCB) introduced DNDFs (Domestic-Non-Deliverable Forwards) as auxiliary tools to intervene in FX market since 2002, and used it as main daily intervention measures since 2013. The DNDFs are fundamentally a kind of so-called “FX swaps”, with the same mechanism as swap, and can increase domestic foreign currency interest rate directly. The advantage of this instrument is that it can be net settled in BRL, and don’t necessarily put pressure on money supply as well as foreign currency reserve amount. While there are some limits to intervention through DNDFs. One near term constraint may be the willingness of commercial banks to increase their near-arbitrage positions across different instruments and across borders. A long term constraint is that the effectiveness of the operation is sometimes subject to the convertibility risk. Most importantly, the DNDFs cant manage exchange rate expectations directly. BCB’s DNDFs operations benefit from the unique market structures, in which the liquidity in FX forward market is much better than that in spot market. So this kind of instrument can’t be easily copied by other countries. PBC has taken some relative measures in the FX market recently, which played similar roles to DNDFs. We suggest to continue taking actions in the future to raise interest rate of domestic dollar, in order to encourage market participants to fund from offshore market and enlarge capital inflows.

  Key Words :  DNDFsSwapForeign exchange expectation

  声明:《中国金融论坛工作论文》旨在促进与经济金融学界的学术交流与研讨,推动社会力量加强对相关问题的研究。论文内容仅代表作者个人学术观点,不代表中国金融论坛、中国人民银行研究局及中国人民银行金融研究所的观点。任何公开报道或引用,请注明来源为《中国金融论坛工作论文》。来源网站:http://www.cff.org.cn

  全文下载:2017年第1期—巴西央行外汇市场干预方式及效果分析.pdf

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