Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/144620
Authors: 
Santos, Francisco Eduardo de Luna e Almeida
Garcia, Márcio Gomes Pinto
Medeiros, Marcelo C.
Year of Publication: 
2015
Series/Report no.: 
Texto para Discussão, Instituto de Pesquisa Econômica Aplicada (IPEA) 2184
Abstract (Translated): 
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.
Subjects: 
high frequency data
macroeconomic announcements
financial markets
JEL: 
E44
F31
G14
Document Type: 
Working Paper

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