Interaction between Macroeconomics Variables and IBOVESPA, the Brazilian Stock Market's Index

Autor:	Mateus Boldrine Abrita, Luma de Oliveira, Eliane Araújo, Angelo Rondina Neto, Allan Silveira dos Santos
Rok vydání:	2013
Předmět:	Macroeconomics Economics and Econometrics Index (economics) media_common.quotation_subject SELIC Development Stock market index Interest rate Error correction model Exchange rate Price index Econometrics Economics Stock market Business and International Management Finance media_common
Zdroj:	Transnational Corporations Review. 5:81-95
ISSN:	1925-2099 1918-6444
Popis:	sThis paper analyzes the relations between macroeconomic variables and the Brazilian stock market index, the Ibovespa, from January of 2001 to December of 2011, using a Vector Error Correction model (VEC). The main results showed that the Ibovespa reacts negatively to impulses in the exchange rate, interest rate differential and variations in the Selic rate. Results also showed positive reaction to the price index IPCA. Furthermore, an important result was achieved from the decomposition analysis of the variance. This showed that the interest rate differential reflects the perception of risk by foreign investors, which explains the considerable variation in the Ibovespa index during that period.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::036c0e60a4d2e321f80959357587d340 https://doi.org/10.1080/19186444.2013.11658374 Zobrazit plný text záznamu