Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro

Maurício Simiano Nunes; Newton Carneiro Affonso da Costa Jr.; Fernando Seabra

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Revista de Economia e Administração

Article . 2003 . Peer-reviewed

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https://dx.doi.org/10.11132/re...

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Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 27 Sep 2003Publisher:INSPER - Instituto de Ensino e PesquisaJournal:Revista de Economia e Administração, volume 2 (issn: 1676-7608, eissn: 1984-5308,

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Authors: Maurício Simiano Nunes; Newton Carneiro Affonso da Costa Jr.; Fernando Seabra;

doi: 10.11132/rea.2002.44

Co-integração e causalidade entre variáveis macroeconômicas, “risco Brasil” e retornos no mercado de ações brasileiro

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Abstract

This paper analyzes the relationship of a few macroeconomic variables with Brazils risk premium (spread of Brazilian C-bonds in relation to U.S. Treasury bonds), and with the returns of the Brazilian stock market index, Ibovespa, during the period of January 1995 to December 2001. Co-integration, error correction model, and Granger causality tests were used in the paper. The co-integration tests and the error correction model suggest that the Ibovespa returns are co-integrated with macroeconomic variables such as real exchange rate and real GDP, and also with Brazils country risk premium. Additionally, unidirectional

Related Organizations

Universidade Federal do Rio Grande do Sul
Brazil
Federal University of Rio Grande do Sul
Brazil

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