Mercado de ações brasileiro: uma investigação empírica sobre suas relações de longo prazo e de precedência temporal précrise de 2008 [Brazilian stock market: An empirical investigation of its long-term relationships and 2008 pre-crisis temporal precedence]

Roseli da Silva, Mario Augusto Bertella and Renan de Almeida Magner Pereira
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Roseli da Silva: FEA-RP/USP
Mario Augusto Bertella: FCLAR/UNESP
Renan de Almeida Magner Pereira: Banco Santander

Nova Economia, 2014, vol. 24, issue 2, 317-336

Abstract: This study investigates empirically if national macroeconomic variables (industrial production, inflation, real interest rate, domestic credit risk and real Exchange rate) and international ones (index of the American stock exchange, the U.S. interest rate and the price of oil) can explain the behavior of long and/or short-term index of the São Paulo Stock Exchange (Bovespa) during the period of 1995 to 2007, with monthly data. An econometric methodology of error correction models was applied resulting in evidence of positive long-term relationship with the Bovespa index to the American stock market and price of oil and negative for the U.S interest rate and credit risk. From a dynamic point of view, the Bovespa índex was identified as the only adjustment variable for deviations from long-term relationship and significant temporal precedence for most variables, indicating the possibility of previous assessment of the future behavior of the Brazilian stock index.

Keywords: Bovespa index; Macroeconomic indicators; Co-integration; Causality (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2014
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