Surprises in relation to monetary policy and the capital market

Vol. 31 No. 3 (2011)

Jul-Sep / 2011
Published July 1, 2011
PDF-Portuguese (Português (Brasil))
PDF-Portuguese (Português (Brasil))

How to Cite

Gonçalves Junior, Walter, and William Eid Junior. 2011. “Surprises in Relation to Monetary Policy and the Capital Market : Evidence from the Brazilian Case”. Brazilian Journal of Political Economy 31 (3):435-54.

Surprises in relation to monetary policy and the capital market

evidence from the Brazilian case

Walter Gonçalves Junior
Doutorando e mestre em Administração pela FGV-EAESP e analista do Banco Central do Brasil.
William Eid Junior
Professor titular da FGV-EAESP – Escola de Administração de Empresas de São Paulo da Fundação Getúlio Vargas.
Brazilian Journal of Political Economy, Vol. 31 No. 3 (2011), Jul-Sep / 2011, Pages 435-454


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.

Keywords: monetary policy Bovespa surprises event study