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

dc.contributorEscolas::EESP
dc.creatorAzevedo, Luis Fernando Pereira
dc.creatorPereira, Pedro L. Valls
dc.date.accessioned2018-03-09T13:42:40Z
dc.date.accessioned2022-11-03T20:12:01Z
dc.date.available2018-03-09T13:42:40Z
dc.date.available2022-11-03T20:12:01Z
dc.date.created2018-03-09T13:42:40Z
dc.date.issued2018-03
dc.identifierTD 470
dc.identifierhttp://hdl.handle.net/10438/20475
dc.identifier.urihttps://repositorioslatinoamericanos.uchile.cl/handle/2250/5033549
dc.description.abstractIn 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.
dc.languageeng
dc.relationEESP - Textos para Discussão; TD 470
dc.rightsopenAccess
dc.subjectText data
dc.subjectCentral bank communication
dc.subjectVolatility
dc.titleEffects of official and unofficial central bank communication on the Brazilian interest rate curve
dc.typeWorking Paper


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