Impact of the Disclosure of Survey Expectations of Macroeconomic Variables on Brazilian Interest Rates

Gustavo Araujo and Giancarlo Caoduro

No 604, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The objective of this work is to determine whether there is a relationship between survey expectations and Brazilian interest rates. The following expectations from the Focus Report (a bulletin released by the Central Bank of Brazil) were analyzed: GDP, policy interest rate, exchange rate and CPI. The interest rates considered are those negotiated in interest rate futures market. The change in interest rate is calculated by comparing the rates before and after the publication of the Focus Report. However, the expectations published in this document are generated in the period prior to the calculation of these interest rate changes. Therefore, if expectations generated earlier (but not disclosed) impact interest rate variations, it indicates that these expectations were not yet embedded in the rates. The results indicate that changes in expectations for GDP, policy interest rate, and CPI (all except the exchange rate) affect the interest rates. This finding underscores the importance of survey expectations in determining financial market prices.

Date: 2024-10
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