Monetary policy surprises and jumps in interest rates: evidence from Brazil

Roberto Meurer, André A.P. Santos*, Douglas E. Turatti

*Corresponding author

Research output: Contribution to journalJournal articleResearchpeer-review

Original languageEnglish
JournalJournal of Economic Studies
Volume42
Issue number5
Pages (from-to)893-907
Number of pages15
ISSN0144-3585
DOIs
Publication statusPublished - 12 Oct 2015

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Interest rates
Brazil
Monetary policy
Surprise
Jump
Central bank
Generalized autoregressive conditional heteroscedasticity
Asset value
Poisson process
Transmission mechanism
Monetary policy committees
Process model
Economic fundamentals
Model specification
Interbank market
Conditional heteroskedasticity
Swaps
Term structure of interest rates
Design methodology
Communication

Keywords

  • Interest rates
  • Jumps
  • Monetary policy surprises

Cite this

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title = "Monetary policy surprises and jumps in interest rates: evidence from Brazil",
keywords = "Interest rates, Jumps, Monetary policy surprises",
author = "Roberto Meurer and Santos, {Andr{\'e} A.P.} and Turatti, {Douglas E.}",
year = "2015",
month = "10",
day = "12",
doi = "10.1108/JES-07-2014-0113",
language = "English",
volume = "42",
pages = "893--907",
journal = "Journal of Economic Studies",
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Monetary policy surprises and jumps in interest rates : evidence from Brazil. / Meurer, Roberto; Santos, André A.P.; Turatti, Douglas E.

In: Journal of Economic Studies, Vol. 42, No. 5, 12.10.2015, p. 893-907.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Monetary policy surprises and jumps in interest rates

T2 - evidence from Brazil

AU - Meurer, Roberto

AU - Santos, André A.P.

AU - Turatti, Douglas E.

PY - 2015/10/12

Y1 - 2015/10/12

KW - Interest rates

KW - Jumps

KW - Monetary policy surprises

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U2 - 10.1108/JES-07-2014-0113

DO - 10.1108/JES-07-2014-0113

M3 - Journal article

AN - SCOPUS:84943144145

VL - 42

SP - 893

EP - 907

JO - Journal of Economic Studies

JF - Journal of Economic Studies

SN - 0144-3585

IS - 5

ER -