This paper investigates how macroeconomic announcements affect Brazilian financial markets, focusing on the impact of surprises in inflation and economic activity indicators. Using intraday data from 2016 to 2025, the study analyzes how Ibovespa futures returns (equity market) and DI futures returns react in the post-announcement window after the release of key indicators such as IPCA, IPCA-15, and GDP. Macroeconomic surprises are measured as the difference between the announced value and market expectations, and their effects are estimated using nonlinear regressions that allow the sensitivity of returns to vary over time. The results show that higher-than-expected inflation or GDP announcements tend to reduce equity returns, while generating positive reactions in bond returns. The findings also indicate that market responses are stronger during periods of higher economic or political uncertainty, suggesting that macroeconomic announcements play an important role in shaping expectations and driving short-term price dynamics in Brazilian financial markets.
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