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Influence of Macroeconomic Variables on the Brazilian Stock Market

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  • Pedro Raffy Vartanian

    (Department of Economics, Mackenzie Presbyterian University, Itambé Street, 135, São Paulo 01302-907, Brazil)

  • Rodrigo Lucio Gomes

    (Department of Economics, Mackenzie Presbyterian University, Itambé Street, 135, São Paulo 01302-907, Brazil)

Abstract

This research seeks to evaluate the effects of the preceding cyclical indicators and macroeconomic variables on the performance of the Brazilian stock market from January 2011 to December 2022. The objective is to identify how these factors influence the behavior of the main index representing this market. In this way, it was analyzed how shocks in the composite leading indicator of the economy (IACE) as well as the basic interest rate of the economy (SELIC), the broad national consumer price index (IPCA), the nominal exchange rate (in reals per dollar—BRL/USD) and the central bank economic activity index (IBC-Br) impact the performance of Brazilian stock market index (IBOVESPA). Using the vector autoregression (VAR) model with vector error correction (VEC), positive shocks were simulated in the IACE and the aforementioned macroeconomic variables to identify and compare their impacts on the index. The results obtained, through generalized impulse response functions, indicated that the shocks to the IACE, the exchange rate, and the inflation variables influenced the IBOVESPA in different and statistically significant ways. However, shocks to the economic activity index and the interest rate did not exert a statistically significant influence on the index, partially confirming the hypothesis, which was initially raised, that these factors influence the stock index in different ways.

Suggested Citation

  • Pedro Raffy Vartanian & Rodrigo Lucio Gomes, 2025. "Influence of Macroeconomic Variables on the Brazilian Stock Market," JRFM, MDPI, vol. 18(8), pages 1-16, August.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:8:p:451-:d:1723377
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    References listed on IDEAS

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    1. Zhu, Yanjian & Zhu, Xiaoneng, 2014. "European business cycles and stock return predictability," Finance Research Letters, Elsevier, vol. 11(4), pages 446-453.
    2. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
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