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Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro

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  • André Ventura
  • Marcio Gomes Pinto Garcia

Abstract

In light of the market microstructure literature, we have compared the two main FX markets in Brazil: the spot market and the futures market (the next to mature contract). Our objective is to identify in which market FX rate is determined. We analyze FX markets at its micro level: its institutions and its players´ asymmetries. We use a unique database that contains 100% of the bids, asks and of the deals of both the futures market and the interbank spot market from 02-Jan-06 to 31-May-2007. It is shown that the futures market is much more liquid than the spot market in Brazil. We also show that the FX rate is determined firstly at futures market, being then transmitted by arbitrage to the spot market. We conclude that FX markets in Brazil have a unique configuration in the World. A short historical review of the development of the Brazilian FX market explains why such idiosyncrasy developed in Brazil. JEL Codes: G12. G13, G14 e G17

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Bibliographic Info

Article provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its journal Revista Brasileira de Economia.

Volume (Year): 66 (2012)
Issue (Month): 1 (March)
Pages: 21-48

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Handle: RePEc:fgv:epgrbe:v:66:n:1:a:2

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  1. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-46, June.
  2. Dufour, Alfonso & Engle, Robert F, 1999. "Time and the Price Impact of a Trade," University of California at San Diego, Economics Working Paper Series qt62c0h04j, Department of Economics, UC San Diego.
  3. Madhavan, Ananth & Richardson, Matthew & Roomans, Mark, 1997. "Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks," Review of Financial Studies, Society for Financial Studies, vol. 10(4), pages 1035-64.
  4. Marcio Gomes Pinto Garcia & Fábio Urban, 2005. "O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07," Textos para discussão 509, Department of Economics PUC-Rio (Brazil).
  5. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2002. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," NBER Working Papers 8959, National Bureau of Economic Research, Inc.
  6. Hasbrouck, Joel, 1991. " Measuring the Information Content of Stock Trades," Journal of Finance, American Finance Association, vol. 46(1), pages 179-207, March.
  7. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, vol. 50(4), pages 1175-99, September.
  8. Joel Hasbrouck, 2003. "Intraday Price Formation in U.S. Equity Index Markets," Journal of Finance, American Finance Association, vol. 58(6), pages 2375-2400, December.
  9. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
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Cited by:
  1. Moura, Marcelo L. & Pereira, Fatima R. & Attuy, Guilherme de Moraes, 2013. "Currency Wars in Action: How Foreign Exchange Interventions Work in an Emerging Economy," Insper Working Papers wpe_304, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.

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