The effects of Brazilian Central Bank communication on the yield curve

被引：0
作者：
Alves, Cassio R. A. [1 ]
Laurini, Marcio P. [1 ]
机构：
[1] Univ Sao Paulo, Dept Econ, FEARP, Ribeirao Preto, SP, Brazil
来源：
MACROECONOMIC DYNAMICS | 2025年 / 29卷
基金：
巴西圣保罗研究基金会;
关键词：
Central Bank communication; Yield Curve; Monetary Policy; Bayesian Estimation; INFORMATION; RECESSIONS; MARKET; POWER;
D O I：
10.1017/S1365100524000725
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper investigates the bidirectional relation between the Brazilian Central Bank communication and the yield curve. Using latent factors, observable macroeconomic variables, and observable variables representing Central Bank communication, we estimate a model that summarizes the yield curve. We find evidence of the effects of Brazilian Central Bank communication on the movements of the yield curve and the impact of the yield curve components in Brazilian Central Bank communication. In particular, Central Bank communication can shape yield curve curvature and slope. Additionally, we find a strong relation between Central Bank communication and the curvature of the yield curve. These results show that Central Bank communication impacts market players, making it a valuable instrument for monetary policy.
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页数：15
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