最后的对冲者：来自巴西外汇干预、本地信贷与全球金融周期的证据

中文摘要

我们表明，外汇干预可以行之有效，尤其在弱化全球金融溢出效应方面。我们利用全球金融冲击与巴西中央银行对外汇衍生品的干预，并使用三套相匹配的行政登记数据：银行对企业信贷、外国对银行信贷以及雇主—雇员数据。在美国缩减购债恐慌（Taper Tantrum）（随后新兴市场出现外汇动荡）之后，外债更多的巴西银行削减了信贷供给，导致企业层面就业下降。随后一项大规模政策干预——提供抵御外汇风险的衍生品，即“最后的对冲者”——使负面效应减半。利用全球外汇冲击与本地外汇干预构建的 2008 至 2015 年面板数据证实了上述结果及对冲渠道。然而，该外汇政策也带来了财政成本与道德风险成本。

Abstract

ABSTRACT We show that FX interventions can be effective, particularly in attenuating global financial spillovers. We exploit global financial shocks and Brazilian central bank interventions in FX derivatives using three matched administrative registers: bank credit (to firms), foreign credit to banks, and employer‐employees. After the U.S. Taper Tantrum (followed by emerging markets' FX turbulence), Brazilian banks with more foreign debt cut credit supply, reducing firm‐level employment. A subsequent large policy intervention supplying derivatives against FX risks — hedger of last resort — halved the negative effects. A 2008 to 2015 panel exploiting global FX shocks and local FX interventions confirms the results and the hedging channel. However, the FX policy entails fiscal and moral hazard costs.