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

Monetary Policy and Inflation Expectations
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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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Inflation , Monetary policy , inflation expectations , Brazil , inflation expectation , monetary policy shock , high-frequency evidence , monetary policy meeting , case study OLS regression , Inflation , Exchange rates , Asia and Pacific

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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.