The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads

The objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market. This predictability can help the government to manage its debt...

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Bibliographic Details
Published in:Economia Aplicada
Main Author: Marcelo Perlin
Format: Article
Language:Portuguese
Published: Universidade de São Paulo 2016-09-01
Subjects:
Public debt
tesouro direto
market microstructure
components of the spread
Online Access:http://www.revistas.usp.br/ecoa/article/view/124393
Description
Summary:The objective of the study is to analyze the market microstructure of Tesouro Direto in two fronts: the dynamics of the order flow and the formation of the spreads. The results show a strong seasonality in the order flow of this market. This predictability can help the government to manage its debt inventory. The second point of analysis is the formation of the spreads. In the article we discuss the negative factors related to the current procedure and present a new methodology based on an adjustment model
ISSN:1413-8050
1980-5330

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