Interest rates are one of the most important macroeconomic variables, especially for the conduction of monetary policy, directly influencing the cost of money and the pricing of several financial products. Although some predictive models of interest rates have been developed, little is found towards the measurement of the predictive capability of market agents’ expectations to interest rates and its interaction with interest rate futures negotiated in the derivatives market in Brazil. This dissertation analyzes who forecasts interest rates better: economists, who study the economy and forecasts market expectations of interest rates, or traders, who act in the economy and determine the level of rates in the interest rate futures market? The results provide evidence that, except for the period in which interest rates rise, market expectations of economists, in general, has better predictive power of future interest rates.