Um estudo sobre os impactos da surpresa dos indicadores macroeconômicos de atividade e inflação no mercado futuro brasileiro de juros
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The monetary policy guidelines are defined based on macro indexes released to the market periodically. The agents of this market react quickly to any changes in macroeconomic environment, trying to obtain high profits or to avoid significant financial losses. Considering this, this paper intends to analyze how interest rate future market reacts when surprises in macroeconomic indexes are released, suggesting a new methodology to forecast the market reaction through the construction of an aggregate surprise index. Using data extracted from Bloomberg and BM&F Bovespa, we constructed a simplified data base by adopting assumptions to measure the impact of surprises disclosed in the price of DI Futuro. The standardization of parameters, applying average tests and optimizing regressions by OLS allowed to weight relatively a set of macro indexes according to their effect on market volatility. Finally, we made a test on the proposed aggregate surprise index that showed it was more efficient in forecasting the market reaction than another index that considered equal weights to all set of macroeconomic index.