Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets

Alicia Garcia-Herrero, Eric Girardin () and Enestor Dos Santos
Authors registered in the RePEc Author Service: Alicia Garcia Herrero

No 1512, Working Papers from BBVA Bank, Economic Research Department

Abstract: We find that futures rates increase (decrease) after both an increase in the reference interest rate and a hawkish (dovish) communication by the BCB. Moreover, BCB words create more noise, since they increase volatility of futures rates. Our analysis reveals that BCB communication has increased its effectiveness after the 2008 crisis, while deeds became less relevant.

Keywords: Brazil; Central Banks; Latin America; Research; Working Paper (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 (search for similar items in EconPapers)
Pages: 28 pages
Date: 2015-05
New Economics Papers: this item is included in nep-cba, nep-mac and nep-mon
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://www.bbvaresearch.com/wp-content/uploads/20 ... impact-on-Brazil.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: https://EconPapers.repec.org/RePEc:bbv:wpaper:1512

Access Statistics for this paper

More papers in Working Papers from BBVA Bank, Economic Research Department Contact information at EDIRC.
Bibliographic data for series maintained by OSCAR DE LAS PENAS SANCHEZ-CARO ().