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Financial market reaction to central bank monetary policy communications under an inflation- targeting regime: the case of Brazil

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Date
2012-08
Author
Caldas M., Gabriel
UN Symbol
LC/G.2536-P
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Abstract
Central bank communications are important for guiding expectations. For emerging countries, however, research on this issue is scarce. Because Brazil represents an important emerging country under inflation targeting, this paper studies the influence of monetary policy and central bank communications on the term structure of interest rates in Brazil. The study uses ordinary least squares (ols), generalized method of moments (gmm) and vector autoregresion (var) to examine the direction taken by interest rates when affected by central bank communications and monetary policy. The study finds evidence that because economic agents analyse the minutes of the Monetary Policy Committee meetings, monetary policy and central bank communications significantly influence the process of expectations formation for interest rates with different maturities in Brazil.
Translation
Brasil: ¿cómo reaccionan los mercados financieros ante los anuncios de política monetaria del banco central en un esquema de metas de inflación?
Published in:
CEPAL Review   No.107

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Serie
CEPAL Review
ECLAC Subtopics
INFLATION
United Nations Subtopics
CENTRAL BANKS ; COMMUNICATIONS ; CAPITAL MARKETS ; MONETARY POLICY ; INTEREST RATES ; INFLATION
Country / Region
BRAZIL
URI
https://hdl.handle.net/11362/11599
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