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UID:b131810bc0a44bcdf234c2000d435a31
CATEGORIES:Seminars
CREATED:20171229T172047
SUMMARY:Andrea Polo - UPF and Barcelona GSE
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:\n\nHedger of Last Resort: Evidence from Brazil on FX Interventions, Local 
 Credit and Global Financial Cycles (with Rodrigo Barbone Gonzalez, Dmitry K
 hametshin and José-Luis Peydró)\nAbstract:\nWe analyze whether the global f
 inancial cycle (GFC) affects credit in domestic currency in Emerging Market
  Economies (EMEs) and the related real effects, and whether local unconvent
 ional policies can attenuate such spillovers. For identification, we exploi
 t GFC shocks, differential reliance of domestic banks on foreign debt, and 
 central bank interventions in FX derivatives using three matched administra
 tive registers from Brazil. The register of foreign credit flows to banks, 
 the credit register, and a matched employer-employee database. Using loan-l
 evel data, we find that after the announcement of US Quantitative Easing ta
 pering by Ben Bernanke, chairman of the FED, in May 2013, domestic banks wi
 th larger reliance on foreign debt reduce the supply of credit to firms, wh
 ich in turn reduces employment. The tapering speech is associated with mass
 ive appreciation of the USD and increased FX volatility in EMEs. However, C
 entral Bank of Brazil (BCB) attenuates this negative effects announcing a l
 arge intervention program in the FX derivatives market, which consists in s
 upplying insurance against FX risks - hedger of last resort. In addition to
  these two subsequent shocks, we analyze a panel over 2008-2015 and find a 
 broader channel: banks with larger foreign debt respond to USD appreciation
 , increased FX volatility, and tighter US monetary policy decreasing credit
  supply. Moreover, FX interventions mitigate these effects of the GFC, conf
 irming that the policy of hedger of last resort has been effective in decre
 asing local economy exposure to global conditions. Our results have importa
 nt implications for international macro-finance models and policy-makers.\n
DTSTAMP:20260404T083848Z
DTSTART:20171206T170000Z
DTEND:20171206T183000Z
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