Choques não Antecipados de Política Monetária e a Estrutura a Termo das Taxas de Juros no Brasil

Fernando Oliveira and Leonardo Ramos

No 238, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: This paper has two objectives. One is to identify non anticipated monetary shocks using future contracts of DI. The second objective is to study the relation between these shocks and the term structure of interest rate. Our empirical evidence suggests that, albeit in a partial manner, the market anticipates most interest rate decisions of the Central Bank. We also show that, in general, non anticipated monetary shocks are capable of affecting the term structure of interest rates.

Date: 2011-04
New Economics Papers: this item is included in nep-cba, nep-lam and nep-mac
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