Retorno de Ações, Inflação e Atividade Econômica

Nelson Silva and Sidney Caetano

No 471, Working Papers Series from Central Bank of Brazil, Research Department

Abstract: The present work carries out an empirical investigation on the relations between stock return, inflation and economic activity. The analysis encompasses monthly data of the Brazilian economy from 1996 to the beginning of 2017. The properties of the series and their interrelationships are investigated by using the variance and wavelet correlation and regression at several resolution levels. An alternative measure of output gap is obtained by the Bayesian smoothing method. The results show that the medium and long term scales prevail in the composition of the inflation and output gap, while short terms are the most relevant in the stock return and industrial production variation. Moreover, the relationship between variables is quite moderate over time and, when present, tends to appear when unusual events significantly affect the economy, such as the latest international financial crisis.

Date: 2018-01
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Persistent link: https://EconPapers.repec.org/RePEc:bcb:wpaper:471

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