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

Autores/as

  • Marcelo Perlin Universidade Federal do Rio Grande do Sul

DOI:

https://doi.org/10.11606/1413-8050/ea140191

Palabras clave:

Public debt, tesouro direto, market microstructure, components of the spread

Resumen

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

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Biografía del autor/a

  • Marcelo Perlin, Universidade Federal do Rio Grande do Sul
    Professor Adjunto, Universidade Federal do Rio Grande do Sul

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Publicado

2016-09-01

Número

Vol. 20 Núm. 3 (2016)

Sección

Artículos

Cómo citar

Perlin, M. (2016). The Microstructure of Tesouro Direto: The Sazonality of the Order Flow and the Formation of Spreads. Economia Aplicada, 20(3), 253-272. https://doi.org/10.11606/1413-8050/ea140191