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O Impacto da Comunicação do Banco Central do Brasil sobre o Mercado Financeiro

Author

Listed:
  • Marcio Janot
  • Daniel El-Jaick de Souza Mota

Abstract

In inflation targeting regimes, the transparent communication of monetary policy is an important instrument to reduce uncertainties and coordinate market expectations. This paper examines how the financial market reacts to the Central Bank of Brazil communication and shows that there is significant reduction in the volatility of future interest rates after the release of the minutes of the Monetary Policy Committee (COPOM) and the Inflation Report. On the other hand, these forms of communication do not significantly affect the slope of the yield curve, the exchange rate and the stock market index (Ibovespa).

Suggested Citation

  • Marcio Janot & Daniel El-Jaick de Souza Mota, 2012. "O Impacto da Comunicação do Banco Central do Brasil sobre o Mercado Financeiro," Working Papers Series 265, Central Bank of Brazil, Research Department.
    • Handle: RePEc:bcb:wpaper:265
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    File URL: https://www.bcb.gov.br/content/publicacoes/WorkingPaperSeries/TD265.pdf
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    Citations

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    Cited by:

    1. Carvalho, Carlos Viana de & Cordeiro, Fernando & Vargas, Juliana, 2013. "Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 67(4), November.
    2. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
    3. Angelo Marsiglia Fasolo, 2012. "A Note on Particle Filters Applied to DSGE Models," Working Papers Series 281, Central Bank of Brazil, Research Department.
    4. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    5. repec:fgv:epgrbe:v:67:n:4:a:3 is not listed on IDEAS
    6. Rodolfo Tomás Da Fonseca Nicolay & Gabriel Caldas Montes, 2014. "Comunicação Do Banco Central,Expectativas De Inflação E Profecia Auto-Realizável: Evidências Para Obrasil," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 046, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    7. Marcio Garcia & Marcelo Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "The impact of macroeconomic announcements in the Brazilian futures markets," Textos para discussão 623, Department of Economics PUC-Rio (Brazil).
    8. Santos, Francisco Luna & Garcia, Márcio Gomes Pinto & Medeiros, Marcelo Cunha, 2016. "The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 36(2), November.
    9. Waldyr Areosa & Marta Areosa, 2012. "Information (in) Chains: information transmission through production chains," Working Papers Series 286, Central Bank of Brazil, Research Department.

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