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Title:Order flow in the South: Anatomy of the Brazilian FX market PDF Logo
Authors:Wu, Thomas
Issue Date:2007
Series/Report no.:Working Papers, Santa Cruz Center for International Economics 06-13
Abstract:This paper contributes to the microstructure approach to exchange rates in two ways. Using a unique dataset that covers 100% of the Brazilian FX financial market, we find a strict link between FX currency flows and the Balance of Payments. Second, we develop an identification strategy that allows us to properly estimate the behavior of each of the main players in the FX market: dealers and the premium they charge in order to provide overnight liquidity; customers and the stabilizing nature of their feedback trading; and y the central bank and the liquidity provision and leaning-against-the-wind behavior in its intervention function.
exchange rates
central bank intervention
Document Type:Working Paper
Appears in Collections:Working Papers, Santa Cruz Institute for International Economics, UC Santa Cruz

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