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Sinalização de Política Monetária e Movimentos na Estrutura a Termo da Taxa de Juros no Brasil


  • Clemens Vinícius de A. Nunes

    (Insper Instituto de Ensino e Pesquisa)

  • Márcio Holland

    (Fundação Getulio Vargas de São Paulo)

  • Cleomar Gomes da Silva

    (Universidade Federal de Uberlândia)


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.

Suggested Citation

  • 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.
  • Handle: RePEc:anp:econom:v:12:y:2011:i:1:71_90

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    References listed on IDEAS

    1. Peter Hordahl & Oreste Tristani & David Vestin, 2003. "A joint econometric model of macroeconomic and term structure," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
    2. McCracken, Michael W., 2007. "Asymptotics for out of sample tests of Granger causality," Journal of Econometrics, Elsevier, vol. 140(2), pages 719-752, October.
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    Cited by:

    1. Alicia Garcia-Herrero & Eric Girardin & Enestor Dos Santos, 2015. "Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets," Working Papers 1512, BBVA Bank, Economic Research Department.

    More about this item


    Política Monetária; Metas de Inflação; Estrutura a Termo da Taxa de Juros; Sinalização;

    JEL classification:

    • 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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