Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/86202
Type: Artigo
Title: Especulação e arbitragem no mercado brasileiro de câmbio futuro
Title Alternative: Speculation and arbitrage in the brazilian future market of foreign exchange
Author: Rossi, Pedro
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.
Esse artigo propõe uma metodologia para tratar da formação da taxa de câmbio real/dólar com base na identificação das categorias de agentes responsáveis pela arbitragem e pela especulação no mercado futuro. A análise desenvolvida identifica a correlação e
metadata.dc.description.abstractalternative: 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 b
Subject: Mercado futuro
Taxas de câmbio
Especulação (Finanças)
Arbitragem comercial
Country: Brasil
Editor: UFRJ/Instituto de Economia
Citation: Revista De Economia Contemporanea. Universidade Federal Do Rio De Janeiro, v. 18, n. 1, p. 84 - 98, 2014.
Rights: aberto
Aberto
Identifier DOI: 10.1590/141598481814
Address: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S1415-98482014000100084
Date Issue: 2014
Appears in Collections:IE - Artigos e Outros Documentos

Files in This Item:
File Description SizeFormat 
S1415-98482014000100084.pdf364.09 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.