Choques inesperados de política monetária: impactos sobre o mercado financeiro e a atividade econômica do Brasil

Abstract

The Central Bank's announcements to the market have proven to be a crucial instrument for conducting monetary policy, playing a vital role in anchoring the expectations of financial agents. Therefore, this study aims to determine whether COPOM announcements affect the financial markets and economic activity in Brazil. To achieve this, we constructed an indicator of monetary policy surprises and conducted an event study to evaluate the impact of unexpected monetary policy shocks on financial market variables and the exchange rate between 2004 and 2020. The evidence indicates that monetary policy surprises have a significant effect on the studied variables, especially in the short term, except for the exchange rate. An additional exercise was conducted using a Vector Error Correction Model (VECM) to measure the impact of these unexpected shocks on economic activity. The results indicate that monetary policy shocks decrease GDP, although this outcome did not attain statistical significance. Conversely, the price level tends to rise in response to monetary policy shocks, an unexpected finding that may be associated with the existence of the Price Puzzle.