 Brazilian Central Bank communication and interest rate expectationsHelder de Mendonça () and Ivando Faria Macroeconomics and Finance in Emerging Market Economies, 2015, vol. 8, issue 1-2, 25-44 Abstract: This article presents empirical evidence on the effect of regular Central Bank of Brazil (CBB) communication on volatility and the direction of the interest rates futures market. The volatility of interest rates in the financial market is observed before and after publication of regular CBB communication. Moreover, the period without publication (purdah period) is also considered. Hence, this article combines, in an original manner, the idea presented by Ehrmann and Fratzscher for evaluation of the impact of communication on financial market expectation, and the model developed by Kuttner, for analysis concerning the expectations hypothesis of the term structure of interest rate. The findings support the idea that CBB communication has an effect on expectations of changes in the interest rates and in the expected direction. Furthermore, CBB communication is more effective when made in the periods before meetings of the Monetary Policy Committee and publication of the respective minutes. Date: 2015 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:macfem:v:8:y:2015:i:1-2:p:25-44 Ordering information: This journal article can be ordered from DOI: 10.1080/17520843.2014.948475 Access Statistics for this article Macroeconomics and Finance in Emerging Market Economies is currently edited by Subrata Sarkar and Ashima Goyal More articles in Macroeconomics and Finance in Emerging Market Economies from Taylor & Francis Journals |
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