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

Author

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  • André Ventura

    () (Banco Credit-Suisse.)

  • Marcio Gomes Pinto Garcia

    () (Department of Economics PUC-Rio)

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

Suggested Citation

  • André Ventura & Marcio Gomes Pinto Garcia, 2009. "Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro," Textos para discussão 563, Department of Economics PUC-Rio (Brazil).
  • Handle: RePEc:rio:texdis:563
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    References listed on IDEAS

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    1. 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.
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    6. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Clara Vega, 2003. "Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange," American Economic Review, American Economic Association, vol. 93(1), pages 38-62, March.
    7. Takatoshi Ito & Yuko Hashimoto, 2008. "Price Impacts of Deals and Predictability of the Exchange Rate Movements," NBER Chapters,in: International Financial Issues in the Pacific Rim: Global Imbalances, Financial Liberalization, and Exchange Rate Policy (NBER-EASE Volume 17), pages 177-217 National Bureau of Economic Research, Inc.
    8. Martin D. D. Evans & Richard K. Lyons, 2017. "Understanding Order Flow," World Scientific Book Chapters,in: Studies in Foreign Exchange Economics, chapter 13, pages 507-546 World Scientific Publishing Co. Pte. Ltd..
    9. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
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    Cited by:

    1. Prates, Daniela Magalhães & Fritz, Barbara, 2016. "Beyond capital controls: regulation of foreign currency derivatives markets in the Republic of Korea and Brazil after the global financial crisis," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    2. 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.
    3. Chamon, Marcos & Garcia, Márcio, 2016. "Capital controls in Brazil: Effective?," Journal of International Money and Finance, Elsevier, vol. 61(C), pages 163-187.
    4. Cesar R. Van Der Laan & Marcos Tadeu C. Lélis & André Moreira Cunha, 2016. "External Capital Flows’ Management In The Great Recession: The Brazilian Experience (2007-2013)," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 035, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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