Surpresas na política monetária e a estrutura a termo da taxa de juros brasileira

Abstract

This paper empirically assesses the monetary policy's surprise effect over the interest rate curve, testing the impacts of COPOM's (monetary policy Committee) decisions over the interest rates curve (Swaps rates with maturity to 1, 2, 3, 6 and 12 months). The results show that the introduction of the inflation targeting regime reduced the monetary policy's surprise effect over the interest rate curve and that the agents foresee, at least partially, the monetary policy's decisions. A greater transparency in the monetary policy conduction and the adoption of the floating exchange rate regime are used to explain the results obtained.