The Brazilian foreign exchange market through the microstructure perspective

• Autor(a) principal: Collussi, Pedro Barguil
• Data de Publicação: 2015
• Outros Autores: Pereira, Pedro L. Valls
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/13861
• topic: Exchange rate dynamics; Market microstructure; Economia; Câmbio; Microestrutura

The objective of this study is to investigate whether the relationship between order ow and the spot exchange rate stems from the fact that the ow aggregates information on dispersed economic fundamentals in the economy. To perform this test, a database that includes all transactions of the commercial and nancial segments of the Brazilian primary foreign exchange market between January of 1999 and May of 2008 was used. We show that the order ow was partly responsible for variations in in ation expectations over the time period and that this relationship did not remain robust, drawing comparisons with other fundamentals such as GDP and Industrial Production.