Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets
Published on Monday, May 4, 2015 | Updated on Monday, May 11, 2015
Document number 15/12
Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets
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.
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