Testing for the Informational Content of Monetary Policy Decisions

Posted: 16 Aug 2005

See all articles by Benjamin M. Tabak

Benjamin M. Tabak

FGV/EPPG

Alícia Tabata

Government of the Federative Republic of Brazil - Central Bank of Brazil

Abstract

This paper examines the information content of Copom decisions, estimating the response of the term structure of interest rates to changes in the target for the Selic rate. We built a proxy variable for the anticipated and non-anticipated components of monetary policy. Then, we perform an event study to evaluate the effects of each component on the term structure. Empirical results suggest that financial market participants anticipate, at least partially, Copom's decisions and that there is an overreaction effect.

Keywords: informational content, event studies, monetary policy, anticipated and nonanticipated shocks, Brazil, COPOM

JEL Classification: E34, E52, G15

Suggested Citation

Tabak, Benjamin M. and Tabata, Alícia, Testing for the Informational Content of Monetary Policy Decisions. Pesquisa E Planejamento Economico, Vol. 34, No. 2, August 2004, Available at SSRN: https://ssrn.com/abstract=779444

Benjamin M. Tabak (Contact Author)

FGV/EPPG ( email )

SGAN Av. L2 Norte - Quadra 602 - Módulos A, B e C
Brasília, Rio de Janeiro 70830-051
Brazil

Alícia Tabata

Government of the Federative Republic of Brazil - Central Bank of Brazil ( email )

P.O. Box 08670
SBS Quadra 3 Bloco B - Edificio-Sede
Brasilia, Distr. Federal 70074-900
Brazil

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