The Relative Effectiveness of Spot and Derivatives‐Based Intervention
利用巴西十多年的数据，研究即期和远期外汇干预对汇率的影响，发现两者效果相似，且都影响外汇市场的对冲风险水平和价格。
Abstract This paper studies the relative effectiveness of foreign exchange intervention in spot and derivatives markets. We use Brazilian data where spot and nondeliverable futures intervention have been used in tandem for more than a decade. The analysis finds evidence of a link between both modes of intervention and the exchange rate. In line with theory, the impact of spot intervention is strikingly similar to that of futures intervention when convertibility risk is limited. We show that both types of interventions also affect the level and the price of hedging risk in the foreign exchange market.