TD n. 623 2014
Márcio Gomes Pinto Garcia, Marcelo Medeiros, Francisco Eduardo de Luna e Almeida Santos.
The estimation of the impact of macroeconomic announcements in the Brazilian futures
markets is used to uncover the relationship between macroeconomic fundamentals and
asset prices. Using intraday data from October 2008 to January 2011, we find 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. We additionally propose an
investment strategy based on the conditional price reaction of each market that showed
promising results in an out-of-sample study, where we are able to correctly identify
returns’ signals, conditional on the surprise’s signal, in approximately 70% of the cases.
Finally, we provide evidence that price reactions are conditional on the state of the
economy and document the impact on volume and bid-ask spreads