Order Flow in the South: Anatomy of the Brazilian FX Market
نویسنده
چکیده
This paper contributes to the microstructure approach to exchange rates in two ways. Using a unique dataset that covers 100% of the Brazilian FX o¢ cial market, we nd a strict link between FX currency ows and the Balance of Payments. Second, we develop an identi cation 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 stabilizingnature of their feedback trading; and nally the central bank and the liquidity provision and leaningagainst-the-wind behavior in its intervention function.
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