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Cointegração e Causalidade entre Indicadores Macroeconômicos e Índice Bovespa

Author

Listed:
  • Mário Bertella
  • Roseli da Silva
  • Renan Pereira

Abstract

O objetivo deste trabalho é investigar se as variáveis macroeconômicas locais e externas podem explicar o comportamento do índice da Bolsa de Valores de São Paulo (Bovespa) no período de 1995 a 2007. As variáveis macroeconômicas locais analisadas foram: índice de produção industrial, índice de inflação, taxa de juros real, risco de crédito doméstico e taxa de câmbio real. As variáveis externas foram: Standard and Poor's 500, a taxa de juros americana e o preço de petróleo. Observamos, entre outros resultados, que há uma relação positiva entre a Bovespa e a bolsa americana, uma relação negativa entre a taxa de juros americana e a bolsa brasileira e uma relação positiva entre o preço do petróleo e a Bovespa. Do lado doméstico, apenas a taxa de câmbio real mostrou uma relação negativa e significante com a bolsa brasileira.

Suggested Citation

  • Mário Bertella & Roseli da Silva & Renan Pereira, 2009. "Cointegração e Causalidade entre Indicadores Macroeconômicos e Índice Bovespa," Working Papers 09_05, Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto.
    • Handle: RePEc:fea:wpaper:09_05
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    File URL: ftp://cpq.fearp.usp.br:2300/textos_discussao/eco/wpe09_05.pdf
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    More about this item

    Keywords

    Cointegração; Causalidade; Indicadores macroeconômicos; Ibovespa; Modelo APT;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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