arXiv subjects

Gabriel de Macedo Santos

Publications and source records attributed to Gabriel de Macedo Santos.

4 recordsLinked to original sources

arXiv2026

Reading Copom's Tone: A Weighted LLM Framework for Hawkish-Dovish Sentiment, Forward Guidance, and Uncertainty

This paper documents an applied natural-language-processing framework for measuring the tone of Brazilian Monetary Policy Committee (Copom) statements. The project is explicitly inspired by iSent, Itaú's Central Bank sentiment classifier, particularly its sentence-level division of official communication into hawkish, dovish, neutral, and out-of-context classes. The implementation extends that idea in three directions. First, an LLM identifies short hawkish and dovish expressions and assigns each a 0-to-1 intensity weight. Second, the document index combines sentence counts with document-specific average signal intensities, producing a bounded score from -1 to 1. Third, a separate full-document layer measures forward-guidance direction, guidance explicitness, uncertainty level, and change in uncertainty. The empirical sample is restricted to communications dated August 2016 or later and contains 80 statements and 1,498 classified sentences from August 31, 2016 through August 5, 2026. Across this sample, 33.3% of sentences are hawkish, 18.0% dovish, 42.1% neutral, and 6.5% out of context. The average document score is +0.107, while the most hawkish reading is +0.570 in August 2021. The latest statement, dated August 5, 2026, scores +0.232, with eight hawkish, two dovish, and nine neutral sentences. Its structural overlay is more nuanced: guidance is directionally ambiguous but partly explicit, while uncertainty is classified as central and higher than at the prior meeting. Tone and the guidance-direction score have a contemporaneous Pearson correlation of 0.719. These are descriptive outputs, not a validated forecast of Selic decisions or DI returns. The main contribution is therefore methodological: a transparent, incremental, auditable system that separates rhetorical tone from policy guidance and uncertainty.

econ.GN↗

arXiv2026

Tracking Brazil's Real Neutral Rate: A Multi-Block Ensemble Framework Combining Statistical Trends, Market Prices, and State-Space Models

This paper presents an implementable framework for tracking Brazil's real neutral-rate proxy, using a block-based ensemble of complementary models. The project begins with daily macro-financial data, converts the series to monthly frequency, computes an ex-ante real Selic rate through the Fisher equation, builds activity-cycle measures from IBC-Br, and then combines five methodological blocks: simple moving averages, statistical trend filters, market-implied curve proxies, a yield-curve state-space model, and a semi-structural IS-Phillips state-space model. The final implementation treats the semi-structural block conservatively: because the IS-Phillips Kalman model falls back to a local-level trend in the current sample, its output is not labeled as structural r-star and receives zero weight in the final ensemble. The latest estimate, for May 2026, places the final operational neutral-rate proxy at 9.48% p.a., with a P25-P75 block range of 8.71%-9.97%. The ex-ante real rate is 10.04%, implying a policy gap of 0.56 p.p. and a neutral stance under the project's thresholds. This neutral classification should be read strictly relative to the project's elevated operational proxy, not relative to conventional long-run structural estimates. The high level of the estimate should not be interpreted as a definitive long-run structural neutral rate: it reflects recent Brazilian real-rate dynamics, market pricing, and trend-based measures in a restrictive cycle. The estimate should be interpreted as a short-to-medium-run shadow neutral-rate proxy under current restrictive monetary and risk-premium conditions, not as a steady-state structural equilibrium rate. The main contribution is therefore methodological and applied: the project offers a transparent, auditable, and extensible measurement system for tracking r-star proxies and monetary-policy stance in Brazil.

econ.EM↗

arXiv2026

Shock, Communication, and Yield Curve Repricing: A Two-Step Empirical Framework for Copom Events in Brazil

This paper proposes a two-step empirical framework to study the repricing of the Brazilian DI curve around Copom-related events. The empirical strategy separates the initial market reaction associated with the underlying shock from the subsequent repricing observed between the shock and the first Copom statement that follows it. The dataset combines a hand-built event calendar, daily market data, Focus expectations, and structured textual features extracted from Copom statements, including tone, forward-guidance direction and explicitness, and uncertainty indicators. In the updated sample, 59 events retain both analytical windows, allowing the second stage to include the full set of same-day Copom events. Baseline results suggest that the framework is most informative at the front and intermediate sections of the curve, especially for the DI 252d maturity, for which the baseline OLS specification reaches an in-sample R2 of about 0.43. By contrast, explanatory power is materially weaker for the DI 504d maturity and for slope adjustments, and out-of-sample performance remains limited. The textual variables display economically plausible signs, but their statistical contribution is not uniformly robust across specifications. The main contribution of the paper is therefore methodological and applied: it offers an implementable event-based decomposition for assessing how shocks and Copom communication jointly shape curve dynamics in Brazil.

econ.EM↗

arXiv2026

Decomposition of Brazil's 5-year DI Futures in Basis Points

This paper proposes an empirical, replicable, and interpretable framework to decompose, in basis points (bps), daily changes in Brazil's 5-year DI futures rate (DI5Y). The approach combines three building blocks: (i) macroeconomic and fiscal expectations from the Central Bank of Brazil Focus survey, converted into daily changes; (ii) a supervised macro factor built with Partial Least Squares (PLS) that summarizes changes in expectations together with a high-frequency macro "surprise" indicator; and (iii) a decomposition of sovereign risk using Brazil CDS into global and domestic components, obtained by regressing CDS on external financial conditions (DXY, CRB, VIX, and the US 10-year yield). The final step maps these drivers into daily bps contributions through a linear regression of the daily change in DI5Y on the three factors, producing a cumulative decomposition that adds up with an intercept and a residual. In the final sample (2015-01-13 to 2025-12-12; 2,741 observations), the model explains about 22.45% of the daily variance in DI5Y changes. The explained share is dominated by domestic risk, with a smaller but statistically significant contribution from the macro factor. The residual remains large, highlighting the limits of linearity and omitted drivers such as monetary policy event windows, term premia, liquidity, and positioning. Overall, the framework delivers a transparent accounting of how much of the daily (and cumulative) movement in DI5Y is associated with macro/central bank forces, domestic Brazil risk, and external risk.

econ.EM↗