Política Monetária e Assimetria de Informação: um estudo a partir do mercado futuro de taxas de juros no Brasil
AbstractThis work relates the adverse selection cost component (ASC) embedded in the spreads of the Brazilian interest rate future market and the probability of Informed Trading (PIN) or superior analysis to monetary policy. We used the Huang and Stoll model (1997) adapted to an order driven market to estimate the ASC. For estimating the PIN we used the Easley et al model (1996). Besides the size of both measures, we study: a) if they change with the approach of the meetings of the Monetary Policy Committee; b) if they are different in each of the six days prior to Committee's decision; and c) its relationship with market expectations about the Committee's decision. The results show that both measures reach its maximum two days before the decision. Although ASC show a downward trend over time, his latest reversal behavior suggests that the trend may not be permanent. The PIN suffers an abrupt reduction over time and starts to behave in a lower level. We found no evidence that the information asymmetry is different for the pre-decision and control periods. However, we found a strong correlation of both ASC and PIN with the dispersion of market expectations about the Committee's decision.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Central Bank of Brazil, Research Department in its series Working Papers Series with number 316.
Date of creation: Jul 2013
Date of revision:
Contact details of provider:
Web page: http://www.bcb.gov.br/?english
This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-08-05 (All new papers)
- NEP-CBA-2013-08-05 (Central Banking)
- NEP-LAM-2013-08-05 (Central & South America)
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benjamin Tabak) The email address of this maintainer does not seem to be valid anymore. Please ask Benjamin Tabak to update the entry or send us the correct address.
If references are entirely missing, you can add them using this form.