This paper proposes a methodology for studying the formation of the real/dollar exchange rate based on the distinction between the categories of agents responsible for arbitrage and speculation in the future market. The analysis identifies a correlation between the exchange rate position of groups of agent sat the BM&F and the exchange rate variation within one month. The results are consistent with the hypothesis that foreign and institutional investors make up trends in the future exchange market pursuing speculative gains, and that banks acts to carry out arbitrage gains transmitting the speculative pressure coming from the future market to spot market.
Exchange rate; future market; speculation; arbitrage
