MACROECONOMIC VARIABLES AND THE IBOVESPA: A STUDY OF THE CASUALITY RELATION

Abstract

The purpose of this study is to analyze the causality relationship among a sort of selected macroeconomic variables and the return of the Brazilian stock market, using multivariate VAR methodology. The following macroeconomic variables were used in the study: interest rate (SELIC), exchange rate (PTAX) and inflation (IPCA). The Brazilian stock market was represented by the Sao Paulo Stock Index (Ibovespa). The study included the period from july 1994, the beginning of the Real Plan (Plano Real), to july 2005. Four econometric tests were used in the development of the study: Unit Root Test (Augmented Dickey-Fuller Test – ADF), Granger Causality Test, Variance Decomposition (VDC) and Impulse Response Analysis (IRF). The results showed that the exchange rate (PTAX), among the selected variables, presented the highest causality level when compared to Ibovespa. Nevertheless, none of the selected variables presented a causality relationship statistically significant.