Following methodologically Hamilton & Jorda (2002), whose application analyzed the behavior of the Federal Reserve Bank (FED), this study aims to accommodate this proposed technique to the reality of a developing economy, which recently experienced a period of economic stability, making it possible to add by proposing subsidies to answer questions on the Brazilian case, such as: when, in what direction and to what extent COPOM decides to change the basic interest rate?
This definition for Brazil is based on the learning of other monetary studies for this economy and explicit signs in the minutes of the COPOM meetings.
Therefore, on the day before the publication of the Inflation Report (June), the market increased its expectations for the next COPOM meeting concerning the definition of the basic interest rate.
Publication of the COPOM Minutes and Volatility of Macroeconomic Variables
Pode-se argumentar, portanto, que em dias de reunioes do COPOM ha um 60% maior probabilidade de ocorrencia de um salto na taxa SELIC do que em dias sem reunioes do COPOM.
Alem disso, dada a captura parcial da volatilidade da taxa pela estrutura de volatilidade estocastica, a probabilidade de saltos em dias de reuniao do COPOM (16%) e mais do que o dobro da probabilidade em outros dias (7%).
For instance, figure 6 shows RND in May 23rd and June 25th, two days after the meeting where COPOM decides for downward bias in the target rate.
Figure 7 shows another example in September and October 16th, two days after the meeting where COPOM decides to raise interest rates in 300 basis points.
Here we create a surprise metric based on the consensus just before every COPOM meeting, as published from January 2003 to May 2012 in the newspaper Valor Economico.
We also studied the responses of the returns of 38 stocks in relation to variations in the SELIC rate on the COPOM meeting dates that are part of our sample.
Os dados relativos a meta da taxa Selic tem como fonte o sitio do BCB e representam a decisao do COPOM
sobre o instrumento de politica monetaria.
Neste artigo, criamos uma medida de surpresa baseada em consensos de cada reuniao do COPOM
publicados de janeiro de 2003 a maio de 2012 no jornal "Valor Economico".