Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets
Publicada el lunes, 4 de mayo de 2015 | Actualizada el lunes, 11 de mayo de 2015
Documento número 15/12
Follow what I do and also what I say: monetary policy impact on Brazil’s financial markets
Resumen
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.
Temáticas
- Etiquetas de Temática
- Bancos Centrales
Etiquetas
Autores
Alicia García-Herrero
Eric Girardin
Enestor Dos Santos
BBVA Research - Economista Principal
Documentos y archivos
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