Monetary Policy and Inflation Expectations: High-Frequency Evidence from Brazil

Author: Carlos Goncalves, Mauro Rodrigues, and Fernando Genta

Monetary Policy and Inflation Expectations

Volume/Issue: Volume 2025 Issue 048

Publication date: February 2025

ISBN: 9798229003391

$20.00

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Topics covered in this book

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Banks and Banking , Finance , Inflation , Investments and Securities-General , Money and Monetary Policy , Monetary policy , inflation expectations , Brazil , Exchange rate arrangements , Central bank policy rate , Asia and Pacific , Arab Planning Institute , Exchange rates , Inflation targeting , Inflation , Return on investment , Exchange rate risk , Yield curve , Capital markets , Credit default swap , Real interest rates , Bond ratings , Caribbean

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Summary

We investigate the impact of high frequency monetary policy shocks in Brazil using daily data and Rigobon’ s identification via heteroskedasticity. We show that positive changes in interest rates cause inflation expectations to decline and the exchange rate to appreciate. To the best of our knowledge, this is the first paper to study how monetary policy affects inflation expectations in an emerging economy using high frequency identification techniques.