IDEAS home Printed from https://ideas.repec.org/a/ekm/repojs/v31y2011i3p435-454id414.html
   My bibliography  Save this article

Surprises in relation to monetary policy and the capital market

Author

Listed:
  • Walter Gonçalves Junior
  • William Eid Junior

Abstract

Monetary policy surprises and capital markets: evidences from the Brazilian case. This article evaluates the effects that monetary policy actions exert on Brazilian stock market. By the measures defined to estimate the surprise caused by Comitê de Política Monetária do Banco Central do Brasil (COPOM) decisions, it was verified that to a hypothetic unexpected 1% increase in the target rate is associated an 1.3% average fall of Bovespa Index. Additional tests did not show distinct reactions caused by direction decisions, neither evidences from relevant recent economic events or decision contexts having influences on the surprise responses. JEL Classification: G14; G18; E52.

Suggested Citation

  • Walter Gonçalves Junior & William Eid Junior, 2011. "Surprises in relation to monetary policy and the capital market," Brazilian Journal of Political Economy, Center of Political Economy, vol. 31(3), pages 435-454.
    • Handle: RePEc:ekm:repojs:v:31:y:2011:i:3:p:435-454:id:414
    as

    Download full text from publisher

    File URL: https://centrodeeconomiapolitica.org.br/repojs/index.php/journal/article/view/414/404
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    monetary policy; Bovespa; surprises; event study;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ekm:repojs:v:31:y:2011:i:3:p:435-454:id:414. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Brazilian Journal of Political Economy (Brazil) (email available below). General contact details of provider: https://centrodeeconomiapolitica.org/repojs/index.php/journal/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.