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

Authors

  • Marcelo Perlin Universidade Federal do Rio Grande do Sul

DOI:

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

Keywords:

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

Abstract

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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Author Biography

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

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Published

2016-09-01

Issue

Vol. 20 No. 3 (2016)

Section

Papers

How to Cite

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