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

Arbeitspapier

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.

Object Details

• Language: Portugiesisch

References and Relationships

• Bibliographic citation: Series: Texto para Discussão ; No. 2184

Classification and Topics

• Classification: Wirtschaft ; Financial Markets and the Macroeconomy ; Foreign Exchange ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: high frequency data ; macroeconomic announcements ; financial markets

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Santos, Francisco Eduardo de Luna e Almeida ; Garcia, Márcio Gomes Pinto ; Medeiros, Marcelo C.
• Event: Veröffentlichung
• (who): Instituto de Pesquisa Econômica Aplicada (IPEA)
• (where): Brasília
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/144620
• Last update: 10.03.2025, 11:44 AM CET