Monetary Policy and Inflation Expectations: High-Frequency Evidence from Brazil

Carlos Goncalves, Mauro Rodrigues and Fernando Genta

No 2025/048, IMF Working Papers from International Monetary Fund

Abstract: We investigate the impact of high frequency monetary policy shocks in Brazil using daily data and Rigobon’ s identification via heteroskedasticity. We show that positive changes in interest rates cause inflation expectations to decline and the exchange rate to appreciate. To the best of our knowledge, this is the first paper to study how monetary policy affects inflation expectations in an emerging economy using high frequency identification techniques.

Keywords: Monetary policy; inflation expectations; Brazil; inflation expectation; monetary policy shock; high-frequency evidence; monetary policy meeting; case study OLS regression; Inflation; Exchange rates; Asia and Pacific (search for similar items in EconPapers)
Pages: 23
Date: 2025-02-28
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