Choques não Antecipados de Política Monetária e a Estrutura a Termo das Taxas de Juros no Brasil
AbstractThis paper has two objectives. One is to identify non anticipated monetary shocks using future contracts of DI. The second objective is to study the relation between these shocks and the term structure of interest rate. Our empirical evidence suggests that, albeit in a partial manner, the market anticipates most interest rate decisions of the Central Bank. We also show that, in general, non anticipated monetary shocks are capable of affecting the term structure of interest rates.
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Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 238.
Date of creation: Apr 2011
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Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-05-24 (All new papers)
- NEP-CBA-2011-05-24 (Central Banking)
- NEP-LAM-2011-05-24 (Central & South America)
- NEP-MAC-2011-05-24 (Macroeconomics)
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