Instabilidade na credibilidade do Banco Central Brasileiro: avaliação por meio de dados de alta frequência
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2012-07-18
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Dana, Samy
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The incipient rise in future inflation expectations combined with the Brazilian government pursue of lower nominal rates and the higher degree of intervention via conventional and unconventional actions in the economic policy management might have damaged the market’s perceptions of the Central Bank’s credibility even thought traditional credibility indicators still doesn’t show this. This work infers that the asset’s response to macroeconomics announcements provide information about market’s perception of the central bank credibility, using a high frequency data base to calculate asset’s responses and running the quasi-local level test (QLL) to evaluate if there was any instability that would indicate a change in the perception of credibility. The data analyzed from 2006 to 2011 shows no persistent time variation and therefore this work concludes that if there was any change positive or negative in the market’s perception of the Brazilian Central Bank credibility, the change was not identifiable by the proposed method.