Política Monetária e Assimetria de Informação: Um Estudo a Partir do Mercado Futuro de Taxas de Juros no Brasil

Abstract

Purpose : This work relates the adverse selection cost component (ASC) and the probability of Informed Trading (PIN), both embedded in the spreads of the Brazilian interest rate future Market, to decisions of monetary policy. We study a) if ASC and PIN change with the approach of the meetings of the Monetary Policy Committee; b) if they are different in each of the six days prior to Committee's decision; and c) its relationship with market expectations about the Committee's decision. Methodology : We used the Huang and Stoll model (1997) adapted to an order driven market to estimate the ASC. For estimating the PIN we used the Easley et al model (1996). Findings : The results show that both measures reach its maximum two days before the monetary policy decision. Although ASC show a downward trend over time, his latest reversal behavior suggests that the trend may not be permanent. The PIN suffers an abrupt reduction over time and starts to behave in a lower level. We found no evidence that the information asymmetry is different for the pre-decision and control periods. However, we found a strong correlation of both ASC and PIN with the dispersion of market expectations about the decisions of monetary policy. Originality : This work is the first one to relate information asymmetry to decisions of monetary policy in Brazil.