Uma análise da relação entre o comportamento de variáveis macroeconômicas e o mercado acionário brasileiro de 2006 a 2014

Abstract

The aim of this study is to evaluate the cause and effect relationship between a set of macroeconomic variables suggested and the return on assets in the Brazilian stock market, employing multivariate VAR optics. The variables employed in the study were: I) the average monthly index of Sao Paulo Stock Exchange (Bovespa-closing); II) the average monthly index of shares of the New York Stock Exchange (Nyse-closing); III) the real exchange rate (Ptax rate); IV) the price of a barrel of oil on the international market (Brent); V) the short-term interest rate (Selic); VI) the prime rate of the USA (Fed). The study covered the period between January 2006 and December 2014. The study was conducted through four econometric tests: Granger causality test, Analysis of Decomposition of Variances (VDC); Unit Root test (Dickey and Fuller Increased test - ADF) and analysis of Impulse response Function (IRF). The test results revealed that Nyse, then the Selic and the Brent oil, among the selected variables, showed the best statistical results.