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Master's Dissertation
DOI
10.11606/D.12.2008.tde-04062008-110358
Document
Author
Full name
Adonias Evaristo da Costa Filho
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2008
Supervisor
Committee
Rocha, Fabiana Fontes (President)
Gonçalves, Carlos Eduardo Soares
Leme, Maria Carolina da Silva
Title in Portuguese
Um estudo sobre o papel da comunicação na política monetária
Keywords in Portuguese
Comunicação
Política monetária
Taxa de juros
Abstract in Portuguese
Neste trabalho, discutimos brevemente o papel da comunicação e transparência na condução da política monetária. A seguir, construímos um índice que quantifica a informação qualitativa das atas do Comitê de Política Monetária (COPOM). Nossos principais achados são: i) a comunicação do COPOM é consistente, no sentido de que suas palavras são seguidas por ações; ii) a comunicação do COPOM ajuda a compreender as decisões de taxas de juros e iii) a comunicação da autoridade monetária, por meio de suas atas, produz um efeito significativo nas taxas de juros de mercado, acompanhadas de uma redução da volatilidade.
Title in English
A study on the role of communication in politics currency
Keywords in English
Communication
Interest rate
Monetary policy
Abstract in English
In this work, we briefly discuss the issue of transparency and communication in monetary policy. Next, we look at the minutes of COPOM meetings and build a glossary, that translates the qualitative information in an ordered scale, similar to the one built by Rosa and Verga(2005). Our main findings can be summarized as follows. First, we found evidence of a consitent behaviour by COPOM, in the sense that words are followed by actions. Second, based on estimates of Taylor rules, we found that words are helpful to understant interest rate setting behaviour of the Brazilian Central Bank. An third, we found evidence of a significant impact of COPOM minutes on market interest rates, along with reduced volatility.
 
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Adonias.pdf (368.62 Kbytes)
Publishing Date
2008-06-05
 
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