A VAR analysis of the relations between the stock market anda the variables macroeconomics for BRAZIL
DOI:
https://doi.org/10.5902/red.v0i23.4931Keywords:
Macroeconomic variables, Ibovespa, Vector autoregressive modelsAbstract
In the last decade, the Brazilian economy was stable and its stock market has gained credibility, emerging as one of the largest stock exchanges in the global scenario. Thus it aroused the interest is to assess what is the relationship of macroeconomic variables with the return of the assets of the Brazilian market. For this, we used the Bovespa index as an indicator of stock market and exchange rates, Selic, GDP and the IGP-M as macro indicators. It was estimated this relationship using a Vector Autoregressive (VAR) and tests were carried out to identify the Granger causality relationships. The results suggest that there is a significant relationship between the Bovespa and the exchange rate and Selic with less intensity. In contrast, the Bovespa index had little influence on GDP and the level of prices (IGP-M).
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