Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Brasileira de Economia (Online) |
Texto Completo: | https://periodicos.fgv.br/rbe/article/view/11844 |
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. |
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Just Words? A Quantitative Analysis of the Communication of the Central Bank of BrazilBrazilCOPOMcentral bankcommunicationsemanticterm-structure of interest ratesmonetary policyWe 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.EGV EPGE2013-11-29info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticlesArtigosapplication/pdfhttps://periodicos.fgv.br/rbe/article/view/11844Revista Brasileira de Economia; Vol. 67 No. 4 (2013): Out-Dez; 415-427Revista Brasileira de Economia; v. 67 n. 4 (2013): Out-Dez; 415-4271806-91340034-7140reponame:Revista Brasileira de Economia (Online)instname:Fundação Getulio Vargas (FGV)instacron:FGVporhttps://periodicos.fgv.br/rbe/article/view/11844/12452Carvalho, Carlos Viana deCordeiro, FernandoVargas, Julianainfo:eu-repo/semantics/openAccess2016-12-16T12:24:35Zoai:ojs.periodicos.fgv.br:article/11844Revistahttps://periodicos.fgv.br/rbe/https://periodicos.fgv.br/rbe/oai||rbe@fgv.br1806-91340034-7140opendoar:2024-03-06T13:03:39.783324Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV)true |
dc.title.none.fl_str_mv |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
title |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
spellingShingle |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil Carvalho, Carlos Viana de Brazil COPOM central bank communication semantic term-structure of interest rates monetary policy |
title_short |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
title_full |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
title_fullStr |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
title_full_unstemmed |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
title_sort |
Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil |
author |
Carvalho, Carlos Viana de |
author_facet |
Carvalho, Carlos Viana de Cordeiro, Fernando Vargas, Juliana |
author_role |
author |
author2 |
Cordeiro, Fernando Vargas, Juliana |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
Carvalho, Carlos Viana de Cordeiro, Fernando Vargas, Juliana |
dc.subject.por.fl_str_mv |
Brazil COPOM central bank communication semantic term-structure of interest rates monetary policy |
topic |
Brazil COPOM central bank communication semantic term-structure of interest rates monetary policy |
description |
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. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-11-29 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articles Artigos |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/11844 |
url |
https://periodicos.fgv.br/rbe/article/view/11844 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.fgv.br/rbe/article/view/11844/12452 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
EGV EPGE |
publisher.none.fl_str_mv |
EGV EPGE |
dc.source.none.fl_str_mv |
Revista Brasileira de Economia; Vol. 67 No. 4 (2013): Out-Dez; 415-427 Revista Brasileira de Economia; v. 67 n. 4 (2013): Out-Dez; 415-427 1806-9134 0034-7140 reponame:Revista Brasileira de Economia (Online) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Revista Brasileira de Economia (Online) |
collection |
Revista Brasileira de Economia (Online) |
repository.name.fl_str_mv |
Revista Brasileira de Economia (Online) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
||rbe@fgv.br |
_version_ |
1798943114871701504 |