Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil

Resumo

We quantify the informational content of statements issued by the interest-rate setting committee of the Central Bank of Brazil (COPOM), building on the methodology developed by Lucca and Trebbi (2011). Using Google search queries, we measure the extent to which each COPOM statement is perceived to be associated with more "hawkish" or "dovish" language. This allows us to construct a time-series of the informational content of COPOM statements, which we then use in regressions to explain changes in the term-structure of interest rates around COPOM meetings -- together with a market-based measure of interest-rate surprises. We find that, during Governor Tombini's tenure, interest-rate surprises started to be "passed through" one-to-one (or more) even at long maturities, as markets seem to have bought into the idea that the interest-rate cuts that began in mid-2011 would lead to lower yields in Brazil into the foreseeable future. Most importantly, changes in the informational content of COPOM statements seem to have meaningful effects on yields at short-to-medium maturities. However, this result only holds for the period prior to Tombini's tenure.

Ficha do documento

Tipo

Artigo científico

Ano

2013

Instituição

EGV EPGE

Fonte

Revista Brasileira de Economia

Idioma

Português

Acesso

Não informado

Identificador

oai:ojs.periodicos.fgv.br:article/11844

Palavras-chave

BrazilCOPOMcentral bankcommunicationsemanticterm-structure of interest ratesmonetary policy