Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/144620 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
Texto para Discussão No. 2184
Verlag: 
Instituto de Pesquisa Econômica Aplicada (IPEA), Brasília
Zusammenfassung (übersetzt): 
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.
Schlagwörter: 
high frequency data
macroeconomic announcements
financial markets
JEL: 
E44
F31
G14
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
398.59 kB





Publikationen in EconStor sind urheberrechtlich geschützt.