Impact of exchange rate swaps on the dollar coupon curve: an analysis according to principal components regression
The objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve). For this purpose, we use linear regression of principal components. As a complementary analysis, we also study the volatility of the dollar coupon curve and the spot exchange rate. The results indicate that the reverse foreign exchange swaps do not generate an impact on the general level of the coupon curve, while the regular swaps generate significant changes.
Keyword : Dollar coupon curve, principal components analysis, linear regression of principal components, exchange rate determination theory Estrutura a termo de cupom cambial, análise de componentes principais, regressão linear de componentes principais, teorias de determinação da taxa de câmbio