Sinalização de política monetária e movimentos na estrutura a termo da taxa de juros no Brasil

Clemens Nunes, Cleomar Gomes and Márcio Holland ()

No 187, Textos para discussão from Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil)

Abstract: This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the termstructure of interest rate. We apply an event study methodology in two distinct periods: between January 2000 andAugust 2003, right after the implementation of the inflation targeting in Brazil, and between September 2003 and July2008. The main results are: 1) there is a decrease of the explanation power in interest rate changes, from shorter tolonger 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 andtransparency of monetary policy decisions have increased in Brazil and they are now close to those found in the USAand Germany and higher to those found in the UK and Italy.

Date: 2009-05-13

Downloads: (external link)
http://virtualbib.fgv.br/dspace/bitstream/10438/26 ... Marcio%20Holland.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:fgv:eesptd:187

Access Statistics for this paper

More papers in Textos para discussão from Escola de Economia de São Paulo, Getulio Vargas Foundation (Brazil)
Contact information at EDIRC.
Series data maintained by Núcleo de Computação da EPGE ().