Effects of official and unofficial central bank communication on the Brazilian interest rate curve

• Autor(a) principal: Azevedo, Luis Fernando Pereira
• Data de Publicação: 2018
• Outros Autores: Pereira, Pedro L. Valls
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: http://hdl.handle.net/10438/20475
• topic: Text data; Central bank communication; Volatility; Economia; Banco Central do Brasil; Taxas de juros - Brasil; Vias de comunicação; Comunicação

In order to provide greater transparency in their opinions and decisions, central banks around the world use both their official channels and the specialized media to communicate with the general public. Using an unique news dataset with intraday frequency, this paper finds evidence that the volatility of the long end of the interest curve in Brazil is higher in days of official publications on the website of the Central Bank of Brazil and that the short end is affected on days on which the president or any director of the institution is quoted in the specialized media. The effects are greater from 2014.