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

• DOI: 10.11132/rea.2002.44
• Publication Date: 2013-04-02T10:14:40Z
• Authors: Maurício Simiano ...; Newton Carneiro A...; Fernando Seabra

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