O impacto de anúncios econômicos no mercado futuro brasileiro de ações, juros e câmbio

In this paper, the relationship between macroeconomic fundamentals and asset prices is explored by estimating the impact of macroeconomic announcements in the Brazilian futures market. Using intraday data from October 2008 to January 2011, results show that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa futures markets, while the impact of the domestic ones is mainly restricted to Interest Rate futures contracts. There is also evidence that price reactions are conditional on the state of the economy.

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Year of publication:	2015
Authors:	Santos, Francisco Eduardo de Luna e Almeida ; Garcia, Márcio Gomes Pinto ; Medeiros, Marcelo C.
Publisher:	Brasília : Instituto de Pesquisa Econômica Aplicada (IPEA)
Subject:	high frequency data \| macroeconomic announcements \| financial markets

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Series:	Texto para Discussão ; 2184
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	Portuguese
Other identifiers:	856169099 [GVK] hdl:10419/144620 [Handle]
Classification:	E44 - Financial Markets and the Macroeconomy ; F31 - Foreign Exchange ; G14 - Information and Market Efficiency; Event Studies
Source:	EconStor

Persistent link: https://www.econbiz.de/10011516685