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Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil

Author

Listed:
  • Nunes, Clemens V. de Azevedo
  • Gomes, Cleomar
  • Brito, Márcio Holland de

Abstract

This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rate. We apply an event study methodology in two distinct periods: between January 2000 and August 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July 2008. The main results are: 1) there is a decrease of the explanation power in interest rate changes, from shorter to longer rates; 2) the explanation power has increased in the second period, indicating enhancement of monetary policy; 3) market participants adjust their expectations 3 days before the committee decision; 4) The predictability and transparency of monetary policy decisions have increased in Brazil and they are now close to those found in the USA and Germany and higher to those found in the UK and Italy.

Suggested Citation

  • Nunes, Clemens V. de Azevedo & Gomes, Cleomar & Brito, Márcio Holland de, 2009. "Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil," Textos para discussão 187, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    • Handle: RePEc:fgv:eesptd:187
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    Cited by:

    1. Alicia Garcia-Herrero & Eric Girardin & Enestor Dos Santos, 2015. "Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets," Working Papers 1512, BBVA Bank, Economic Research Department.

    More about this item

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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