Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Zabot, Udilmar Carlos; Caetano, Sidney Martins; Caldeira, João Frois

doi:10.1590/s1413-80502013000200003

Cited by 3 publications

(3 citation statements)

References 28 publications

(25 reference statements)

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“…Thus, it is concluded that the market for higher education stocks was efficient in its semi-strong form for the event of issuance of debt securities, supporting the efficient market hypothesis that investors incorporate all available information into the pricing of the asset, with there being no abnormal gains derived from the release of resources for Fies. Comparing the results with other studies carried out within the scope of monetary policy, the results converge with those of Eid (2011) andZabot, Caetano, andCaldeira (2013), who did not find evidence of abnormalities in the stock returns before Monetary Policy Committee (Copom) announcements of an alteration in the interest rate.…”

Section: Events Studysupporting

confidence: 81%

Analysis of the impact of Fies on the stock returns from the higher education sector

Pinheiro

Serrano

2019

Rev. contab. finanç.

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This article aims to analyze if the issuance of Series E Treasury Bonds (CFT-Es) generates abnormal returns in a higher education stock portfolio and verify if the Brazilian higher education market is efficient in its semi-strong form. The main purpose of CFT-Es is to transfer funds to institutions with the aim of providing finance to students enrolled in private universities. These issuances have effects on the capital market, considering that after the program began, the first initial public offering (IPO) of a Brazilian university occurred. Moreover, according to the National Institute for Educational Studies and Research Anísio Teixeira/Ministry of Education and Culture (Inep/MEC), Brazil has the largest market for higher education in Latin America. Several studies have been conducted to analyze the relationship between monetary policy and financial markets, but this has not occurred within the scope of fiscal policy. Such research is appropriate, considering the discussion on the need to contain government spending, but at the same time stimulate the Brazilian economy. The main contribution of the study is it indicates that the higher education market has tended towards the efficiency hypothesis, considering that in the first analysis, H0 was not rejected for 82% of the windows of events, and in the second analysis, H0 was not rejected for any of the windows of events, with there being no evidence of abnormal gains due to funds being released for the Student Finance Fund (Fies). The event study methodology was used to test the hypotheses of abnormal returns obtained due to CFT-Es being issued through the release of ordinances. A portfolio composed of higher education stocks was elaborated, weighted by the quarterly amount receivable from Fies for each institution, and covering 2009 to 2017. The results show that the stocks of institutions benefiting from Fies tend to react efficiently to CFT-E issuances authorized by the National Treasury.

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Section: Events Studysupporting

confidence: 81%

Analysis of the impact of Fies on the stock returns from the higher education sector

Pinheiro

Serrano

2019

Rev. contab. finanç.

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“…For additional details related to Focus Report, see: Focus -Relatório de Mercado (BCB, 2018a). Moreover, this relation was shown by Zabot et al (2013), from a mainstream perspective, and by Mendonça (2018), from a heterodox view.…”

Section: The Keynesian Viewmentioning

confidence: 91%

Liquidity Trap: the Brazilian version

Filho

Milan

2019

BKR

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The goal of this paper is to provide an interpretation about the sky-high real interest rates in Brazil. We use Keynes’ argument regarding liquidity trap to identify the forces trapping interest rates, but in Brazil they are trapped at very high levels instead of at the zero-lower bound discussed in Keynes’s General Theory. Rentiers, in Brazil, influence the Brazilian Central Bank to obtain very liquid assets in the form of Financial Treasury Bills (LFTs) while keeping high interest earnings. In this case expansionary fiscal policies will have a limited impact on output, given the resulting high debt levels and debt service, but will imply significant income transfers to the rentiers. This means that aggregate demand and income will be less sensitive to fiscal stimuli, but the distribution of income will be biased toward the rentiers.

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“…They find that the first measure affects the term structure for the period 2002-2009 for maturities of up to two years ahead, while the second measure is not significant. Zabot et al (2013) assume that interest rates expectations follow a Taylor rule. They then study the effect of anticipated and non anticipated components of changes in the Selic target on market rates with maturities ranging from 3 months to 3 years.…”

Section: Literature Reviewmentioning

confidence: 99%

Monetary Policy and Long-Term Real Interest Rates in Brazil

Filho

2018

Braz. Rev. Fin.

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This paper studies the sensitivity of long-term real rates to monetary policy in Brazil. Based on the response of long-term real rates to monetary policy decisions, it is found that monetary factors have little power over long-term rates, with 100 basis points unexpected hike in the policy rate leading to an increase in long-term real rates of 12 basis points. The results are consistent with the classical view of interest rates, in which the real rate of the economy in the long run is determined by real fundamentals and largely unrelated to monetary factors.

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Antecipação e surpresa monetária e seus efeitos nas taxas de juros de mercado

Cited by 3 publications

References 28 publications

Analysis of the impact of Fies on the stock returns from the higher education sector

Analysis of the impact of Fies on the stock returns from the higher education sector

Liquidity Trap: the Brazilian version

Monetary Policy and Long-Term Real Interest Rates in Brazil

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