The Impact of unexpected changes in the benchmark rate on the Brazilian stock market | Zendy

Fernando Nascimento de Oliveira | Zendy; Alexandre Romaguera Rodrigues da Costa | Zendy

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The Impact of unexpected changes in the benchmark rate on the Brazilian stock market

Author(s) -

Fernando Nascimento de Oliveira,

Alexandre Romaguera Rodrigues da Costa

Publication year - 2013

Publication title -

brazilian business review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.176

H-Index - 4

ISSN - 1808-2386

DOI - 10.15728/bbr.2013.10.3.3

Subject(s) - surprise , stock market , interest rate , monetary policy , monetary economics , economics , index (typography) , stock (firearms) , stock market index , financial economics , business , econometrics , geography , psychology , social psychology , context (archaeology) , archaeology , world wide web , computer science

To analyze empirically the impact of unexpected changes in the basic interest rate (SELIC rate) on the Brazilian stock market between January 2003 and May 2012, we constructed a surprise measure based on the market consensus. Our sample of events is composed of 88 meetings of the Brazilian Central Bank’s Monetary Policy Committee (COPOM). There were unexpected changes in the interest rate at 32 of these meetings. The results show that for each 1% unexpected increase in the SELIC rate, the stock market index (IBOVESPA) decreased 3.28%

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