Price Discovery in Brazilian FX Markets

dc.creatorSantos, Francisco Luna
dc.creatorGarcia, Márcio Gomes Pinto
dc.creatorMedeiros, Marcelo Cunha
dc.date2015-10-05
dc.date.accessioned2022-11-03T21:19:25Z
dc.date.available2022-11-03T21:19:25Z
dc.identifierhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/46423
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5048054
dc.descriptionWe study price discovery in the Brazilian Foreign Exchange (FX) markets and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. We find that futures market dominates price discovery since it responds for 66.2% of the variation in the fundamental price shock and for 97.4% of the fundamental price composition, corroborating the result provided in previous studies that, in a unique world example, the exchange rate is formed in the futures market. In a dynamic perspective, the futures market is also more efficient since, when markets are subjected to a shock in the fundamental price, it is faster to recover to equilibrium. By computing price discovery according to calendar semesters, we find evidence of the correlation between price discovery metrics and market factors, such as spot market supply-demand disequilibrium, central bank interventions and institutional investors’ pressure.en-US
dc.formatapplication/pdf
dc.languageeng
dc.publisherSociedade Brasileira de Econometriaen-US
dc.relationhttps://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/46423/47093
dc.rightsCopyright (c) 2015 Brazilian Review of Econometricspt-BR
dc.sourceBrazilian Review of Econometrics; Vol. 35 No. 1 (2015); 65-94en-US
dc.sourceBrazilian Review of Econometrics; v. 35 n. 1 (2015); 65-94pt-BR
dc.source1980-2447
dc.subjectPrice discoveryen-US
dc.subjectexchange rateen-US
dc.subjectefficiencyen-US
dc.subjectarbitrageen-US
dc.subjectderivatives.en-US
dc.subjectC58en-US
dc.subjectF31en-US
dc.subjectG14en-US
dc.subjectG28en-US
dc.titlePrice Discovery in Brazilian FX Marketsen-US
dc.typeinfo:eu-repo/semantics/article
dc.typeinfo:eu-repo/semantics/publishedVersion


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