Central Bank of Brazil Public Announcements and Stock Returns

Student: Golovko Ivan

Supervisor: Oleg Shibanov

Educational Programme: Joint HSE-NES Undergraduate Program in Economics (Bachelor)

Final Grade: 9

Year of Graduation: 2021

This paper is devoted to the monetary policy and financial markets in Brazil. We find that since 2000 the even weeks of the COPOM (Brazil's central bank) intermeeting periods are characterized by statistically significant positive additional stock market returns. We argue that this bi-weekly pattern is a local phenomena and, as opposed to the existing hypothesis, cannot be fully explained by spillover effects of the US monetary policy. We also document an increase of the impact of the Fed decisions on Brazil's financial markets after 2009.

Full text (added May 28, 2021)

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