IDEAS home Printed from https://ideas.repec.org/p/rio/texdis/563.html

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

Author

Listed:
  • 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
    as

    Download full text from publisher

    File URL: http://www.econ.puc-rio.br/uploads/adm/trabalhos/files/td563.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chamon, Marcos & Garcia, Márcio, 2016. "Capital controls in Brazil: Effective?," Journal of International Money and Finance, Elsevier, vol. 61(C), pages 163-187.
    2. 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].
    3. Fritz, Barbara & Prates, Daniela Magalhães, 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.
    4. Cerqueira, Luiz Fernando & Feijó, Carmem Aparecida & Gonçalves, Thallis Macedo de Assis, 2023. "Pass-through of exchange rate shocks in Brazil as a small open economy," Revista CEPAL, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL), April.
    5. 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.

    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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rio:texdis:563. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/dpucrbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.