Table 1
MOST FREQUENT WORDS OF EACH SEMANTIC GROUP.This table contains the most
frequent (stemmed) words of each semantic group in all Central Bank minutes.
Values in brackets represent relative frequencies, measured in basis
points.
Table 2
Loadings on the first factor. This table contains the weights by which each
standardized original index should be multiplied to get the first factor.
Weights are ordered by their absolute values
Table 3
Sample time-series correlations. This table contains the contemporaneous
correlations between the optimism factor (OF) and four macroeconomic variables
over the period from 2000 to 2012, with 129 observations. Macroeconomic
variables are: i) SELIC, the monetary policy target rate; ii) INLF, the
expected inflation measured by BCB inflation survey for the next twelve months;
iii) GDP growth, measured by the inter meeting log-variation of the twelve
months accumulated real GDP; iv) FX, the foreign exchange rate, measured by the
intermeeting log-variation of the USD/BRL exchange rate; and v) IBOV, stocks
returns measured by the intermeeting log-variation Ibovespa stocks
index.
Table 4
Descriptive statistics of the future interest rates. This table contains
descriptive statistics for the sample of future rates with constant maturities.
The data is from BM&F Bovespa. Data from 03/01/2005 to 28/12/2012, 1967
observations
Table 5
Regression results for future interest rates. This table contains the
estimates of the coefficients of the regression of the future interest rates
changes (measured in basis points) against the changes in the optimism factor
(OF) over the period from 2005 to 2012, with 68 observations. Changes in the
future interest rate are the closing price on the day of disclosure of the
minutes less the closing price one day before. Changes of the optimism factor
are calculated as the difference of the OF between the contemporaneous minutes
and the last minutes. Standard errors are in [square brackets]
Table 6
Regression results for the future rates volatility. This table contains the
estimates of the coefficients of the future interest rates volatility in a time
window with five network days against some selected variables. The dependent
variable is defined by Vol5;t=
(5-1Σ4
i =0Δy2
t+i)1/2, where
yt is the future interest rate measured in basis points;
“minute” is a dummy with value 1 when the minute is issued and 0 otherwise;
“pessimism” is a dummy with value 1 when the variation of the optimism factor
is negative in comparison with optimism factor of the last minutes and 0
otherwise. OF is the optimism factor when the minute is issued and 0 otherwise.
We use data over the period from 2005 to 2012, with 2001 observations. The
dummy “minute” and the variable OF have nonzero values in 68 observations, and
the dummy “pessimism” have nonzero values in 33 observations
Table 7
Regression results for past interest rates. This table contains the estimates
of the coefficients of the regression of the lagged (past) future interest rates
changes (measured in basis points) against the changes in the optimism factor (OF)
over the period from 2005 to 2012, with 68 observations. Changes in the future
interest rate are the closing price one day before the disclosure of the minutes
less the closing price two days before. Changes of the optimism factor are
calculated as the difference of the OF between the contemporaneous minutes and the
last minutes. Standard errors are in [square brackets]
Table 8
First factor loadings (random dictionary). This table contains the weights by
which each standardized original index should be multiplied to get the factors
(based on the random dictionary) values. Weights are ordered by their absolute
values
Table 9
Regression results for past interest rates. This table contains the estimates
of the coefficients of the regression of the future interest rates changes
(measured in basis points) against the changes in the optimism factor based on the
random dictionary over the period from 2005 to 2012, with 68 observations. Changes
in the future interest rate are the closing price on the day of disclosure of the
minutes less the closing price one day before. Changes of the optimism factor are
calculated as the difference of the OF (based on the random dictionary) between
the contemporaneous minutes and the last minutes. Standard errors are in [square
brackets]
Table 10
REGRESSION RESULTS FOR THE FUTURE RATES VOLATILITY. This table contains the
estimates of the coefficients of the future interest rates volatility in a time
window with five network days against some selected variables. The dependent
variable is defined by Vol5,t = √
5-1Σ4 i
=0Δy2
t+i , where yt is the
future interest rate measured in basis points; “minute” is a dummy with value 1
when the minute is issued and 0 otherwise; “fake pessimism” is a dummy with value
1 when the variation of the fake factor is negative in comparison with fake factor
of the last minutes and 0 otherwise. “FakeFactor” is the fake factor when the
minute is issued and 0 otherwise. We use data over the period from 2005 to 2012,
with 2001 observations
