The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America

Detalhes bibliográficos
Autor(a) principal: Araújo, Eurilton
Data de Publicação: 2008
Outros Autores: Bastos, Felipe Augusto da Silva
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: BBR. Brazilian Business Review (English edition. Online)
Texto Completo: http://www.bbronline.com.br/index.php/bbr/article/view/451
Resumo: This study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate heterogeneous patterns for the relationship of financial and economic variables across countries. We also show that monetary policy shocks seem to affect Latin American stock markets. That evidence is rather weak, though. On the other hand, there is no significant relationship between stock markets and real activity and inflation.
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spelling The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin AmericaRelações entre retornos acionários, juros, atividade econômica e inflação: evidências para a América Latinavector autoregressiondynamic relationshipsstock marketvetor auto-regressivorelações dinâmicasmercado acionárioThis study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate heterogeneous patterns for the relationship of financial and economic variables across countries. We also show that monetary policy shocks seem to affect Latin American stock markets. That evidence is rather weak, though. On the other hand, there is no significant relationship between stock markets and real activity and inflation.O presente trabalho aplica a metodologia de vetor auto-regressivo (VAR) para investigar as relações entre retornos acionários, juros, atividade econômica e inflação para Brasil, Chile, México e Argentina entre janeiro de 1995 e dezembro de 2005. A primeira conclusão é que os resultados de todos os países não são bastante parecidos. Finalmente, conclui-se que choques de política monetária parecem ser relevantes para os mercados acionários na América Latina. Contudo essa evidência é frágil. Por outro lado, existe uma baixa sensibilidade dos retornos acionários frente às variáveis de atividade econômica e inflação.FUCAPE Business Shool2008-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionPeer-reviewed ArticleArtigo revisado pelos paresapplication/pdfapplication/pdfhttp://www.bbronline.com.br/index.php/bbr/article/view/45110.15728/bbr.2008.5.1.4Brazilian Business Review; Vol. 5 No. 1 (2008): January to April 2008; 49-68Brazilian Business Review; v. 5 n. 1 (2008): Janeiro a Abril de 2008; 49-681808-23861807-734Xreponame:BBR. Brazilian Business Review (English edition. Online)instname:Fucape Business School (FBS)instacron:FBSengporhttp://www.bbronline.com.br/index.php/bbr/article/view/451/682http://www.bbronline.com.br/index.php/bbr/article/view/451/683Copyright (c) 2008 Brazilian Business Reviewhttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccessAraújo, EuriltonBastos, Felipe Augusto da Silva2018-11-06T19:59:09Zoai:ojs.pkp.sfu.ca:article/451Revistahttps://www.bbronline.com.br/index.php/bbr/indexONGhttp://www.bbronline.com.br/index.php/bbr/oai|| bbronline@bbronline.com.br1808-23861808-2386opendoar:2018-11-06T19:59:09BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)false
dc.title.none.fl_str_mv The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
Relações entre retornos acionários, juros, atividade econômica e inflação: evidências para a América Latina
title The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
spellingShingle The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
Araújo, Eurilton
vector autoregression
dynamic relationships
stock market
vetor auto-regressivo
relações dinâmicas
mercado acionário
title_short The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
title_full The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
title_fullStr The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
title_full_unstemmed The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
title_sort The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
author Araújo, Eurilton
author_facet Araújo, Eurilton
Bastos, Felipe Augusto da Silva
author_role author
author2 Bastos, Felipe Augusto da Silva
author2_role author
dc.contributor.author.fl_str_mv Araújo, Eurilton
Bastos, Felipe Augusto da Silva
dc.subject.por.fl_str_mv vector autoregression
dynamic relationships
stock market
vetor auto-regressivo
relações dinâmicas
mercado acionário
topic vector autoregression
dynamic relationships
stock market
vetor auto-regressivo
relações dinâmicas
mercado acionário
description This study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate heterogeneous patterns for the relationship of financial and economic variables across countries. We also show that monetary policy shocks seem to affect Latin American stock markets. That evidence is rather weak, though. On the other hand, there is no significant relationship between stock markets and real activity and inflation.
publishDate 2008
dc.date.none.fl_str_mv 2008-01-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
Artigo revisado pelos pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/451
10.15728/bbr.2008.5.1.4
url http://www.bbronline.com.br/index.php/bbr/article/view/451
identifier_str_mv 10.15728/bbr.2008.5.1.4
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv http://www.bbronline.com.br/index.php/bbr/article/view/451/682
http://www.bbronline.com.br/index.php/bbr/article/view/451/683
dc.rights.driver.fl_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2008 Brazilian Business Review
https://creativecommons.org/licenses/by/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FUCAPE Business Shool
publisher.none.fl_str_mv FUCAPE Business Shool
dc.source.none.fl_str_mv Brazilian Business Review; Vol. 5 No. 1 (2008): January to April 2008; 49-68
Brazilian Business Review; v. 5 n. 1 (2008): Janeiro a Abril de 2008; 49-68
1808-2386
1807-734X
reponame:BBR. Brazilian Business Review (English edition. Online)
instname:Fucape Business School (FBS)
instacron:FBS
instname_str Fucape Business School (FBS)
instacron_str FBS
institution FBS
reponame_str BBR. Brazilian Business Review (English edition. Online)
collection BBR. Brazilian Business Review (English edition. Online)
repository.name.fl_str_mv BBR. Brazilian Business Review (English edition. Online) - Fucape Business School (FBS)
repository.mail.fl_str_mv || bbronline@bbronline.com.br
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