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

Abstracts

This 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.

Keywords:

• Macroeconomic variables
• Ibovespa
• vector error correction (VEC)

Additional information

Notes on contributors

Allan Silveira dos Santos

Allan Silveira do Santos graduated in Economics by the Federal University of Sergipe (2009) and is MA in Economics by the State University of Maringá (2013). He is currently a doctoral student in Economics at Brasília University (UnB) and a CNPq scholarship. He has experience in the area of economics, with emphasis on Macroeconomics, acting on the following topics: Role of the Central Bank, Inflation, Time Series Models and Transmission Mechanisms of Monetary Policy. Curriculum Lattes: http://lattes.cnpq.br/6275575067506009

Angelo Rondina Neto

Angelo Rondina Neto graduated in Economics by the State University of Londrina (2010) and is MA in Economics by the State University of Maringá (2013). He has experience in the area of economics, with emphasis on Regional Economy and Macroeconomics, acting on the following topics: Vector Error Correction (VEC), Monetary Policy, Macroeconomics, Regional Economy, Governance Structure, Local Production and National Systems of innovation. Curriculum Lattes: http://lattes.cnpq.br/1514169258016616

Eliane Cristina de Araujo

Eliane Cristina de Araujo graduated in Economics by the State University of Maringá (2002), is MA in Economics by State University of Maringá (2004) with exchange program at the Technische Universität llmenau (Germany) and PhD in Economics by the Federal University of Rio de Janeiro (UFRJ) (2009). She is currently an adjunct professor at the State University of Maringá. She has experience in the area of economics, with emphasis on Macroeconomics, acting on the following topics: Economic Growth, International Economics and Monetary, and Exchange Policy. Curriculum Lattes: http://lattes.cnpq.br/3906456237014475

Luma de Oliveira

Luma de Oliveira graduated in Economics by the State University of Maringá (2010) and is MA in Economics by the State University of Maringá (2013). She is currently a doctoral student in Applied Economics at the Federal University of Rio Grande do Sul (UFRGS). She has experience in the area of economics, with emphasis on Macroeconomics, acting on the following topics: Labor Market, Real Wages and Unemployment. Curriculum Lattes: http://lattes.cnpq.br/2785884791944921

Mateus Boldrine Abrita

Mateus Boldrine Abrita graduated in Economics from the Federal University of Mato Grosso do Sul (2010) and is MA in Economics by the State University of Maringá (2012). He is currently a tenured professor at the State University of Mato Grosso do Sul (UEMS). He has experience in economics, with emphasis on Macroeconomics, acting on the following topics: Monetary Economics, Fiscal Economics, Brazilian Economy and Capital Markets. Curriculum Lattes: http://lattes.cnpq.br/4881303482310816