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From Lombard Street to Avenida Paulista.

Author: Mark R Stone; W Christopher Walker; Yosuke Yasui
Publisher: Washington : International Monetary Fund, 2009.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The provision of foreign exchange liquidity by emerging market central banks during the global shock of 2008-09 departs from the domestic liquidity lender of last resort role described by Bagehot in his classic ""Lombard Street."" This paper documents and analyzes the foreign exchange liquidity providing measures of the Banco Central do Brasil (BCB) in response to varied market stresses. These measures appear to  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Stone, Mark R.
From Lombard Street to Avenida Paulista: Foreign Exchange Liquidity Easing in Brazil in Response to the Global Shock of 2008-09.
Washington : International Monetary Fund, ©2009
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Mark R Stone; W Christopher Walker; Yosuke Yasui
ISBN: 9781452789408 1452789401
OCLC Number: 870244757
Description: 1 online resource (53 pages).
Contents: Cover Page; Title Page; Copyright Page; Contents; I. Introduction; 1. Medium and Large Emerging Market Economies, Number of Central Bank Foreign Exchange Liquidity Easing Measures, 2008-09; II. Background for Brazil; 1. Brazil-Exchange Rate level and Volatility During the Crisis; 2. Cupom Cambial and LIBOR; III. Policy Context; IV. Empirical Analysis; 2. Estimates of the Effect of the BCB's Announcements and Interventions on the Spot Rate15; 3. Estimates of the Effect of the BCB's Announcements and Interventions on the Implied Volatility. 4. Estimates of the Effect of the BCB's Announcements and Interventions on Basis SpreadV. Closing Thoughts; 1. Cupom Cambial and Basis Spreads; 2. Foreign Exchange Measures of the Banco Central do Brasil, September 2008-May 2009; 3. Quotes from Lombard Street; 4. Data Description; 5. Unit Root Tests; References; Footnotes.
Series Title: IMF Working Papers.

Abstract:

The provision of foreign exchange liquidity by emerging market central banks during the global shock of 2008-09 departs from the domestic liquidity lender of last resort role described by Bagehot in his classic ""Lombard Street."" This paper documents and analyzes the foreign exchange liquidity providing measures of the Banco Central do Brasil (BCB) in response to varied market stresses. These measures appear to have reduced the relative onshore cost of dollar liquidity on impact and seemed to stabilize market expectations of exchange rate volatility. The results suggest that foreign exchange.

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