Surprises in relation to monetary policy and the capital market evidence from the Brazilian case

Abstract

Monetary policy surprises and capital markets: evidences from the Brazilian case. This article evaluates the effects that monetary policy actions exert on Brazilian stock market. By the measures defined to estimate the surprise caused by Comitê de Política Monetária do Banco Central do Brasil (COPOM) decisions, it was verified that to a hypothetic unexpected 1% increase in the target rate is associated an 1.3% average fall of Bovespa Index. Additional tests did not show distinct reactions caused by direction decisions, neither evidences from relevant recent economic events or decision contexts having influences on the surprise responses.

JEL Classification: G14; G18; E52.