Price discovery no mercado de câmbio Brasileiro: O preço é formado no mercado à vista ou futuro?

This study aims to analyze price discovery in the foreign exchange market in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. Using high frequency data from January/2008 to June/2013, we estimate the following price discovery metrics: Information Share (IS), Component Share (CS) and Price Discovery Efficiency Loss (PDEL). We find that futures market dominates price discovery since it responds for 66.2% of the variation in the fundamental price shock and for 97.4% of the fundamental price composition. In a dynamic perspective, futures market is also more efficient since, when markets are subjected to a shock in the fundamental price, it is faster to recover to equilibrium. We also investigated whether results are robust to sub-samples. When we break in sub-samples by semester, price discovery figures confirm futures dominance in all sub-samples. Spot market offer-demand disequilibrium, central bank interventions and external institutional investors' pressure in the futures market emerge as potential explanatory factors to the variation in price discovery metrics between semesters.