Como o mercado de juros futuros reage à comunicação do Banco Central?

Abstract

The purpose of this paper is to verify if a better communication from the Brazilian Central Bank makes the monetary policy more predictable. We conclude that the interest rates increase during the releasing days, indicating that the Central Bank communication has a conservative bias, while interest rates volatility decreases. We still find evidence that market's reaction is independent from the content released, although signals of interest rates reduction imply a decrease in the volatility. In order to proceed with the analysis we built an index that try do capture, from the reading of COPOM minutes, if the signaling is a increase, decrease or maintenance of the interest rates, in line with the index built by Rosa & Verga (2007) to analyze the European Central Bank communication.