Analysis of expected and non-expected impacts of interest rate, exchange rate and inflation in brazilian market

Authors

  • Marcelo Brutti Righi UFSM
  • Sérgio Guilherme Schlender UFSM
  • Paulo Sérgio Ceretta UFSM

DOI:

https://doi.org/10.5902/198346592774

Abstract

This paper examined the expected and non-expected impacts for interest rates, exchange and inflation rates in the Brazilian market. For this purpose, was applied the ARIMA model to estimate the expected value of the first differences of these variables, under a sample of 383 weekly observations for the period from 02/03/2003 to 19/12/2007. Finally, the results indicate that only unexpected shocks in the exchange rate on stock returns were significant.

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Author Biographies

Marcelo Brutti Righi, UFSM

Sérgio Guilherme Schlender, UFSM

Paulo Sérgio Ceretta, UFSM

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Published

2012-11-16

How to Cite

Righi, M. B., Schlender, S. G., & Ceretta, P. S. (2012). Analysis of expected and non-expected impacts of interest rate, exchange rate and inflation in brazilian market. Revista De Administração Da UFSM, 5(3), 539–548. https://doi.org/10.5902/198346592774

Issue

Vol. 5 No. 3 (2012): Set-Dez

Section

Articles

License

Authors of articles published by ReA/UFSM retain the copyright of their works, licensing them under the Creative Commons (CC-BY 4.0), which allows articles to be reused and distributed without restriction, provided that the original work is properly cited.

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