Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil
AbstractThis 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 InfoPaper provided by Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil) in its series Textos para discussão with number 187.
Date of creation: 13 May 2009
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Other versions of this item:
- Clemens Vinícius de A. Nunes & Márcio Holland & Cleomar Gomes da Silva, 2011. "Sinalização de Política Monetária e Movimentos na Estrutura a Termo da Taxa de Juros no Brasil," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 12(1), pages 71_90.
- 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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