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Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets

Listed author(s):
  • Alicia Garcia-Herrero
  • Eric Girardin
  • Enestor Dos Santos

We find that futures rates increase (decrease) after both an increase in the reference interest rate and a hawkish (dovish) communication by the BCB. Moreover, BCB words create more noise, since they increase volatility of futures rates. Our analysis reveals that BCB communication has increased its effectiveness after the 2008 crisis, while deeds became less relevant.

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Paper provided by BBVA Bank, Economic Research Department in its series Working Papers with number 1512.

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Length: 28 pages
Date of creation: May 2015
Handle: RePEc:bbv:wpaper:1512
Contact details of provider: Web page: https://www.bbvaresearch.com/

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  6. Rosa, Carlo & Verga, Giovanni, 2007. "On the consistency and effectiveness of central bank communication: Evidence from the ECB," European Journal of Political Economy, Elsevier, vol. 23(1), pages 146-175, March.
  7. Andersen, Torben G. & Bollerslev, Tim & Diebold, Francis X. & Ebens, Heiko, 2001. "The distribution of realized stock return volatility," Journal of Financial Economics, Elsevier, vol. 61(1), pages 43-76, July.
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  9. Michael Ehrmann & Marcel Fratzscher, 2007. "Communication by Central Bank Committee Members: Different Strategies, Same Effectiveness?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 509-541, 03.
  10. Minella, André & Souza-Sobrinho, Nelson F., 2013. "Monetary policy channels in Brazil through the lens of a semi-structural model," Economic Modelling, Elsevier, vol. 30(C), pages 405-419.
  11. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 2002. "Range-Based Estimation of Stochastic Volatility Models," Journal of Finance, American Finance Association, vol. 57(3), pages 1047-1091, 06.
  12. Fernando D. Chague & Rodrigo De-Losso, Bruno C. Giovannetti, Paulo Manoel, 2013. "Central Bank Communication Affects Long-Term Interest Rates," Working Papers, Department of Economics 2013_07, University of São Paulo (FEA-USP).
  13. Clemens Vinicius de Azevedo Nunes & Cleomar Gomes & MárcioHolland, 2011. "Sinalizaçãode Política Monetária e Movimentos na Estrutura aTermo da Taxa de Juros no Brasil," Anais do XXXVII Encontro Nacional de Economia [Proceedings of the 37th Brazilian Economics Meeting] 43, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
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  18. 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.
  19. repec:pri:cepsud:161blinder is not listed on IDEAS
  20. Reeves, Rachel & Sawicki, Michael, 2007. "Do financial markets react to Bank of England communication?," European Journal of Political Economy, Elsevier, vol. 23(1), pages 207-227, March.
  21. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-836, July.
  22. Michael J. Fleming & Eli M. Remolona, 1999. "Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information," Journal of Finance, American Finance Association, vol. 54(5), pages 1901-1915, October.
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