"Just Words": Update

The version of "Just Words? A Quantitative Analysis of the Communication of the Central Bank of Brazil" currently available in SSRN provides an update of the original paper (Carvalho, Cordeiro and Vargas 2013). In that paper we used swap data downloaded from the time-series database of the Central Bank of Brazil to construct the yield curve. However, Machado (2014) documents that those data were plagued with errors. We now use correct swap data, and take the opportunity to expand the number of maturities in the term structure of interest rates and include a few additional COPOM meetings in our sample. Our substantive conclusions about how the yield curve responds to COPOM communication and interest-rate surprises are unchanged. The updated paper can be found here.