Please use this identifier to cite or link to this item: https://repositorio.insper.edu.br/handle/11224/5744
Type: Working Paper
Title: Empirical Market Microstructure: An Analysis Of The Brl/Us$ Exchange Rate Market Using High-Frequency Data
Author: Laurini, Márcio Poletti
Furlani, Luiz Gustavo Cassilatti
Portugal, Marcelo Savino
Publication Date: 2008
Abstract: This article provides an analysis of empirical microstructure for the BRL/US$ exchange rate market using high-frequency bid and ask quote data. The aims of the article are to verify the importance of the presence of asymmetric information in price dynamics, to build a model for the price discovery process and to analyze the empirical determinants of the spread between bid and ask through a conditional model that captures an asymmetric response to the spread regarding past information. The asymmetric information hypothesis is tested through a nonparametric test of conditional independence for the Markov property. A model for price discovery is built using a vector error correction between bid and ask, controlling for duration and volatility. As a result of this vector, we build an equilibrium spread deviation series, and we show that the conditional distribution of equilibrium spread deviations responds asymmetrically to the spread changes and expected conditional volatilities and durations. This is made by using the quantilogram and a quantile autoregression as tools for modeling the asymmetry e ects. We relate the ndings to some facts presented in the theoretical literature on market microstructure. keywords: market microstructure, emerging market, spread, Markov property, asymmetric re sponse, quantile regression
Language: Inglês
CNPq Area: Ciências Sociais Aplicadas
Copyright: O INSPER E ESTE REPOSITÓRIO NÃO DETÊM OS DIREITOS DE USO E REPRODUÇÃO DOS CONTEÚDOS AQUI REGISTRADOS. É RESPONSABILIDADE DO USUÁRIO VERIFICAR OS USOS PERMITIDOS NA FONTE ORIGINAL, RESPEITANDO-SE OS DIREITOS DE AUTOR OU EDITOR
Appears in Collections:Coleção Insper Working Papers

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