Cointegration and causality analysis of macroeconomic variables and Dow Jones on Ibovespa

Authors

  • Alex Alves da Silva Ribeiro Universidade Regional do Cariri URCA)
  • Áydano Ribeiro Leite Universidade Regional do Cariri (URCA)
  • Wellington Ribeiro Justo Universidade Regional do Cariri (URCA)

DOI:

https://doi.org/10.5902/1983465911741

Abstract

This article aims to analyze the degree of causality and cointegration between a set of macroeconomic variables, expressed by the Selic rate, exchange rate and the index of industrial production jointly to the Dow Jones index on the Bovespa. The period selected for investigation to the months from January 1995 to December 2012. Econometric model used is the method of Vector Auto Regression with Error Correction (VEC). The unit root tests indicate that the series are integrated of order I (1). In the analysis of the VEC of the adjustment parameters was statistically significant indicating that the Bovespa reacts in the trajectory of long-term equilibrium to changes in the short term. On Decomposition of Forecast Error Variance of the results show the explanatory power of the Bovespa index on its own variance.

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Author Biographies

Alex Alves da Silva Ribeiro, Universidade Regional do Cariri URCA)

Economista Formado Na URCA.

Áydano Ribeiro Leite, Universidade Regional do Cariri (URCA)

Economista (URCA)

Mestre em Economia (UFPB).

Professor Assistente do Curso de Economia da URCA

Wellington Ribeiro Justo, Universidade Regional do Cariri (URCA)

Engenheiro Agrônomo (UFRPE). Economista (URCA)

Mestre em Economia Rural (UFC). Doutor em Economia pelo PIMES(UFPE). Professor Associado da URCA. Professor de Econometria. Lecionou Macroeconomia, Microeconomia, Economia Internacional, Análise de Investimentos, Gestão Financeira, Matemática Financeira, na graduação de Economia e nos cursos de Especialização de Economia de empresas, Administração Hospitalar, Administração Financeira, Desenvolvimento Regional entre outros.

Published

2015-11-24

How to Cite

Ribeiro, A. A. da S., Leite, Áydano R., & Justo, W. R. (2015). Cointegration and causality analysis of macroeconomic variables and Dow Jones on Ibovespa. Revista De Administração Da UFSM, 9(1), 121–137. https://doi.org/10.5902/1983465911741

Issue

Section

Articles