Sinalização de Política Monetária e Movimentos na Estrutura a Termo da Taxa de Juros no Brasil
This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rates. We apply an event study methodology in two distinct periods: between January 2000 and August 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July 2008. The main results are: 1) the surprise effects have decreased; 2) the explanation power has increased in the second period, indicating enhancement of monetary policy; 3) market participants adjust their expectations with greater advance; 4) the surprise effects of decisions on short term rates on the term structure of interest rates are now close to those found in the USA and Germany, but higher to those found in the UK and Italy. Therefore, the results indicate that fixed income market expectations are better adjusted to the Central Bank anti-inflationary policy.
Volume (Year): 12 (2011)
Issue (Month): 1 ()
|Contact details of provider:|| Postal: Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil|
Web page: http://www.anpec.org.br/
More information through EDIRC
|Order Information:|| Postal: Secretaria da ANPEC Rua Prof Marcos Valdemar de Freitas Reis s/n Campus do Gragoatá Bloco F Niterói, RJ 24210-201 Brazil|
Web: http://www.anpec.org.br/revista/ Email:
When requesting a correction, please mention this item's handle: RePEc:anp:econom:v:12:y:2011:i:1:71_90. See general 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: (Rodrigo Zadra Armond)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.