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

IMF Working Papers, February 28, 2025

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

Authors: Carlos Goncalves, Mauro Rodrigues, Fernando Genta
Publication date: February 28, 2025
Core finding: Positive changes in interest rates cause inflation expectations to decline.
Core finding: Positive changes in interest rates cause the exchange rate to appreciate.
Contribution: To the best of the authors' knowledge, this is the first paper to study how monetary policy affects inflation expectations in an emerging economy using high frequency identification techniques.

Frequency and sample: daily data.
Identification method: Rigobon’s identification via heteroskedasticity.
Empirical approach referenced in keywords: OLS regression, high-frequency evidence, monetary policy shock, monetary policy meeting.

Subject: Exchange rates, Foreign exchange, Inflation, Prices.
Keywords: Asia and Pacific, Brazil, case study OLS regression, Exchange rates, high-frequency evidence, Inflation, inflation expectation, inflation expectations, Monetary policy, monetary policy meeting, monetary policy shock.

Working paper disclaimer: IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.

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