Relação entre Ibovespa e Variáveis Macroeconômicas: Evidências a Partir de um Modelo Markov-Switching

Michele Rílany Rodrigues Machado, Ivan Ricardo Gartner, Lúcio De Souza Machado
2018 Revista Brasileira de Finanças  
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 a
more » ... rate have a long-term relationship with Ibovespa. However, this relationship was not verified for the inflation rate. It was also verified that the variables supply of money, economic activity, level of import and export, while the interest rate and exchange rate are positively related to the market return.
doi:10.12660/rbfin.v15n3.2017.59406 fatcat:zaogbn7uizdipb2tdmwhpfbyti