Macroeconomic environment, country risk and stock market performance: Evidence for Brazil

Gabriel Montes and Bruno Tiberto

Economic Modelling, 2012, vol. 29, issue 5, 1666-1678

Abstract: The paper aims at providing empirical evidence about (i) the influence of macroeconomic variables and economic policies on country risk and (ii) the influence of macroeconomic variables and country risk on the main Brazilian index of the stock market (Ibovespa). The study analyzes the role that macroeconomic fundamentals plays, but also the role that the credibility of the regime of inflation targeting and the reputation of the central bank play in lessening country risk and in the improvement of the stock market performance. The empirical evidence was obtained through the application of ordinary least squares (OLS), generalized method of moments (GMM) and GMM systems. The results found suggest that monetary policy and public debt management, as well as credibility and reputation affect country risk and the performance of the Brazilian stock market.

Keywords: Monetary policy; Public debt; Credibility; Reputation; EMBI; Ibovespa (search for similar items in EconPapers)
JEL-codes: E44 E58 E63 H63 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:5:p:1666-1678

DOI: 10.1016/j.econmod.2012.05.027

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