The Impact of unexpected changes in the benchmark rate on the Brazilian stock market
AbstractTo analyze empirically the impact of unexpected changes in the basic interest rate (SELIC rate) on the Brazilian stock market between January 2003 and May 2012, we constructed a surprise measure based on the market consensus. Our sample of events is composed of 88 meetings of the Brazilian Central Bank’s Monetary Policy Committee (COPOM). There were unexpected changes in the interest rate at 32 of these meetings. The results show that for each 1% unexpected increase in the SELIC rate, the stock market index (IBOVESPA) decreased 3.28%
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Bibliographic InfoArticle provided by Fucape Business School in its journal Brazilian Business Review.
Volume (Year): 10 (2013)
Issue (Month): 3 (July)
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Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
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Fax: +55 27 4009-4422
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SELIC rate; stock market; capital market; Bovespa; surprises; event study;
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