Central Bank Communication Affects the Term-Structure of Interest Rates

Revista Brasileira de Economia

Fernando Chague¹  Rodrigo De-losso¹  Bruno Giovannetti¹  Paulo Manoel¹ 

关键词: Brazil;    COPOM;    Central Bank;    Communication;    Semantic;    Term-structure of Interest Rates;    Monetary Policy;    Optimism Factor;   

DOI  :  10.5935/0034-7140.20150007

来源: SciELO

【 摘 要 】

We empirically analyze how the Brazilian Central Bank (BCB) communication affects the term structure of future interest rates. Using principal components analysis, we construct a measure of the Monetary Policy Committee Minutes content that reflects policy makers optimism about the economic conditions. We call this measure the Optimism Factor (OF). When policy makers are more optimistic, reflected by increments in the OF, markets expectations respond and long-term future interest rates drop. Furthermore, when policy makers are pessimistic, reflected by a decrease in the OF, volatility on future interest rates increases. Our result indicates that policy maker communication has an effective impact on market expectations.

【 授权许可】

CC BY   
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