Testes do conteúdo informacional das decisões de política monetária

Abstract

This paper examines the information content of Copom decisions estimating the response of the term structure of interest rates to changes in the target for the Selic rate. We built a proxy variable for the anticipated and non anticipated components of monetary policy. Then, we perform an event study to evaluate the effects of each component on the term structure. Empirical results suggest that financial market participants anticipate, at least partially, Copom´s decisions and that there is an overreaction effect.