IMF Working Papers

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

By Carlos Goncalves, Mauro Rodrigues, Fernando Genta

February 28, 2025

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Format: Chicago

Carlos Goncalves, Mauro Rodrigues, and Fernando Genta. "Monetary Policy and Inflation Expectations: High-Frequency Evidence from Brazil", IMF Working Papers 2025, 048 (2025), accessed April 9, 2025, https://doi.org/10.5089/9798229003391.001

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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.

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.

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

Publication Details

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