Política monetária e assimetria de informação: um estudo a partir do mercado futuro de taxas de juros no Brasil

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July 2013

By: Gustavo Araújo  (Departamento de Estudos e Pesquisas (Depep), Banco Central do Brasil); Bruno Vieira Carvalho (Coppead/UFRJ); Claudio Henrique Barbedo (Departamento de Mercado Aberto (Demab), Banco Central do Brasil); Margarida Maria Gutierrez (Coppead/UFRJ)

This work relates the adverse selection cost component (ASC) embedded in the spreads of the Brazilian interest rate future market and the probability of Informed Trading (PIN) or superior analysis to monetary policy. We used the Huang and Stoll model (1997) adapted to an order driven market to estimate the ASC.

For estimating the PIN we used the Easley et al model (1996). Besides the size of both measures, we study: a) if they change with the approach of the meetings of the Monetary Policy Committee; b) if they are different in each of the six days prior to Committee's decision; and c) its relationship with market expectations about the Committee's decision. The results show that both measures reach its maximum two days before the decision. Although ASC show a downward trend over time, his latest reversal behavior suggests that the trend may not be permanent. The PIN suffers an abrupt reduction over time and starts to behave in a lower level. We found no evidence that the information asymmetry is different for the pre-decision and control periods. However, we found a strong correlation of both ASC and PIN with the dispersion of market expectations about the Committee's decision.

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