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 rate. 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) there is a decrease of the explanation power in interest rate changes, from shorter to longer 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 and transparency of monetary policy decisions have increased in Brazil and they are now close to those found in the USA and Germany and higher to those found in the UK and Italy.
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