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


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  • Nunes, Clemens
  • Gomes, Cleomar
  • Brito, Marcio Holland de


This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the termstructure of interest rate. We apply an event study methodology in two distinct periods: between January 2000 andAugust 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July2008. The main results are: 1) there is a decrease of the explanation power in interest rate changes, from shorter tolonger 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 andtransparency of monetary policy decisions have increased in Brazil and they are now close to those found in the USAand Germany and higher to those found in the UK and Italy.

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Bibliographic Info

Paper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 187.

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Date of creation: 13 May 2009
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Handle: RePEc:fgv:eesptd:187

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