Artículos de revistas
Speculation And Arbitrage In The Brazilian Future Market Of Foreign Exchange [especulação E Arbitragem No Mercado Brasileiro De Câmbio Futuro]
Registration in:
Revista De Economia Contemporanea. Universidade Federal Do Rio De Janeiro, v. 18, n. 1, p. 84 - 98, 2014.
14159848
10.1590/141598481814
2-s2.0-84908087935
Author
Rossi P.
Institutions
Abstract
This paper proposes a methodology for studying the formation of the real/dollar exchange rate based on the distinction between the categories of agents responsible for arbitrage and speculation in the future market. The analysis identifies a correlation between the exchange rate position of groups of agent sat the BM&F and the exchange rate variation within one month. The results are consistent with the hypothesis that foreign and institutional investors make up trends in the future exchange market pursuing speculative gains, and that banks acts to carry out arbitrage gains transmitting the speculative pressure coming from the future market to spot market. 18 1 84 98 Avdjiev, S., Highlights of international banking and financial market activity (2010) BIS Quarterly Review, , dez Dodd, R., Griffith-Jones, S., (2007) Brazil's derivatives markets: Hedging, central bank intervention and regulation, , Santiago de Chile: ECLAC Evans, M., Lyons, R.K., Order flow and exchange rate dynamics (2001) BIS Papers, (2), pp. 165-192. , abr Farhi, M., Derivativos financeiros: Hedge, especulação e arbitragem (1999) Economia e Sociedade, 8 (2-13), pp. 93-114 Frankel, J., (1996) The microstructure of foreign exchange markets, , (Eds.), Chicago: University of Chicago Press Klitgaard, T., Weir, L., Exchange rate changes and net positions of speculators in the futures market (2004) FRBNY Economic Policy Review, 10 (1). , mai Lyons, R., Tests of microstructural hypotheses in the foreign exchange market (1995) Journal of Financial Economics, 39, pp. 321-351. , out Rossi, P., (2012) Taxa de câmbio no Brasil: Dinâmicas da arbitragem e da especulação, , Tese de Doutorado, Instituto de Economia, Universidade Estadual de Campinas, Campinas Sarno, L., Taylor, M.P., The microstructure of the foreign-exchange market: A selective survey of the literature (2001) Princeton Studies in International Economics, (89). , mai Sarno, L., Taylor, M.P., (2006) The economics of exchange rates, , Cambridge: Cambridge University Press Ventura, A., Garcia, M., Mercados futuro e à vista de câmbio no Brasil: O rabo balança o cachorro (2009) Texto para discussão, (563). , PUC-Rio