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This paper examined if macroeconomic variables individually have long-term relationship with Brazilian stock return rates, where the Ibovespa. For this, we applied the Markov-switching dynamic model with change in variance, between macroeconomic variable, selected from the literature, and the Ibovespa, were applied, partially, the methodology used by Chen (2009). It was observed that the money supply, economic activity, interest rate, level of imports and exports and exchange rate have adoi:10.12660/rbfin.v15n3.2017.59406 fatcat:zaogbn7uizdipb2tdmwhpfbyti