O mercado de câmbio brasileiro pela ótica da microestrutura

Detalhes bibliográficos
Autor(a) principal: Collussi, Pedro Barguil
Data de Publicação: 2009
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/2786
Resumo: We address whether spot exchange rate relationship with order flow is derived from flow’s ability to aggregate information regarding future fundamentals that are dispersed in the economy. We test this link using a dataset covering all transaction flows from the Brazilian FX retail market from January 1999 to May 2008 between dealers and two types of counterparties: commercial and financial customers. We show that order flow was reasonably able to explain changes in inflation expectation, a relation that did not remain robust for the selection of others fundamentals, such as GDP and Industrial Production.
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spelling Collussi, Pedro BarguilEscolas::EESPPereira, Pedro L. Valls2010-04-20T20:57:59Z2010-09-11T08:35:02Z2009-07-14COLLUSSI, Pedro Barguil. O mercado de câmbio brasileiro pela ótica da microestrutura. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2009.http://hdl.handle.net/10438/2786We address whether spot exchange rate relationship with order flow is derived from flow’s ability to aggregate information regarding future fundamentals that are dispersed in the economy. We test this link using a dataset covering all transaction flows from the Brazilian FX retail market from January 1999 to May 2008 between dealers and two types of counterparties: commercial and financial customers. We show that order flow was reasonably able to explain changes in inflation expectation, a relation that did not remain robust for the selection of others fundamentals, such as GDP and Industrial Production.O objetivo deste trabalho é investigar se a relação entre a taxa de câmbio spot e o fluxo de ordens deriva do fato do fluxo agregar informações a respeito dos fundamentos econômicos dispersos na economia. Para efetuar este teste foi utilizada uma base de dados que engloba todas as transações dos segmentos comercial e financeiro no mercado cambial primário brasileiro entre janeiro de 1999 e maio de 2008. Mostramos que o fluxo de ordens foi razoavelmente capaz de explicar variações nas expectativas de inflação, relação que não se manteve robusta para escolha de outros fundamentos, como PIB e Produção Industrial.porMicroestrutura de mercadoDinâmica da taxa de câmbioEconomiaMercado de câmbio - Brasil - 1999-2008CâmbioO mercado de câmbio brasileiro pela ótica da microestruturainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVTHUMBNAILPedro_Collussi.pdf.jpgPedro_Collussi.pdf.jpgGenerated Thumbnailimage/jpeg2392https://repositorio.fgv.br/bitstreams/4e1840d2-1076-47e3-9a7b-0749f85f595c/download8ca29914fb2396da9e45db8577bd4e5eMD59TEXTPedro_Collussi.pdf.txtPedro_Collussi.pdf.txtExtracted 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dc.title.por.fl_str_mv O mercado de câmbio brasileiro pela ótica da microestrutura
title O mercado de câmbio brasileiro pela ótica da microestrutura
spellingShingle O mercado de câmbio brasileiro pela ótica da microestrutura
Collussi, Pedro Barguil
Microestrutura de mercado
Dinâmica da taxa de câmbio
Economia
Mercado de câmbio - Brasil - 1999-2008
Câmbio
title_short O mercado de câmbio brasileiro pela ótica da microestrutura
title_full O mercado de câmbio brasileiro pela ótica da microestrutura
title_fullStr O mercado de câmbio brasileiro pela ótica da microestrutura
title_full_unstemmed O mercado de câmbio brasileiro pela ótica da microestrutura
title_sort O mercado de câmbio brasileiro pela ótica da microestrutura
author Collussi, Pedro Barguil
author_facet Collussi, Pedro Barguil
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.author.fl_str_mv Collussi, Pedro Barguil
dc.contributor.advisor1.fl_str_mv Pereira, Pedro L. Valls
contributor_str_mv Pereira, Pedro L. Valls
dc.subject.por.fl_str_mv Microestrutura de mercado
Dinâmica da taxa de câmbio
topic Microestrutura de mercado
Dinâmica da taxa de câmbio
Economia
Mercado de câmbio - Brasil - 1999-2008
Câmbio
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Mercado de câmbio - Brasil - 1999-2008
Câmbio
description We address whether spot exchange rate relationship with order flow is derived from flow’s ability to aggregate information regarding future fundamentals that are dispersed in the economy. We test this link using a dataset covering all transaction flows from the Brazilian FX retail market from January 1999 to May 2008 between dealers and two types of counterparties: commercial and financial customers. We show that order flow was reasonably able to explain changes in inflation expectation, a relation that did not remain robust for the selection of others fundamentals, such as GDP and Industrial Production.
publishDate 2009
dc.date.issued.fl_str_mv 2009-07-14
dc.date.accessioned.fl_str_mv 2010-04-20T20:57:59Z
dc.date.available.fl_str_mv 2010-09-11T08:35:02Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
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dc.identifier.citation.fl_str_mv COLLUSSI, Pedro Barguil. O mercado de câmbio brasileiro pela ótica da microestrutura. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2009.
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/2786
identifier_str_mv COLLUSSI, Pedro Barguil. O mercado de câmbio brasileiro pela ótica da microestrutura. Dissertação (Mestrado em Economia de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2009.
url http://hdl.handle.net/10438/2786
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