Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações do UFSM |
Texto Completo: | http://repositorio.ufsm.br/handle/1/4599 |
Resumo: | The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observations for each variable. Johansen s tests through Estatistical Trace and Maximum Eigenvalue indicated that there is at least one cointegration vector. In the analysis of Granger Causality Tests by way of Error Correction, it was found that there was short-term causality between Consumer Price Index and IBOVESPA. Regarding long-term results of Granger Causality, it was showed behavior of long-term among the macroeconomic variables with IBOVESPA. The results of the long-term of normalized vector for the IBOVESPA variable showed that most of sign parameters of cointegration equation are in agreement with the one suggested by economic theory. In other words, there was a positive behavior regarding Gross Internal Product and a negative one regarding inflation and exchange rate (it was hoped a positive relation) regarding IBOVESPA, except Brazil interest rate, which was not significant with that index. The variable of IBOVESPA was explained in more than 90% by itself in the twelfth month, followed by country-risk with less than 5%. |
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2017-04-112017-04-112012-02-10SILVA, Fabiano Mello da. Analysis of causality and cointegration between macroeconomic variables and Ibovespa. 2012. 142 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012.http://repositorio.ufsm.br/handle/1/4599The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observations for each variable. Johansen s tests through Estatistical Trace and Maximum Eigenvalue indicated that there is at least one cointegration vector. In the analysis of Granger Causality Tests by way of Error Correction, it was found that there was short-term causality between Consumer Price Index and IBOVESPA. Regarding long-term results of Granger Causality, it was showed behavior of long-term among the macroeconomic variables with IBOVESPA. The results of the long-term of normalized vector for the IBOVESPA variable showed that most of sign parameters of cointegration equation are in agreement with the one suggested by economic theory. In other words, there was a positive behavior regarding Gross Internal Product and a negative one regarding inflation and exchange rate (it was hoped a positive relation) regarding IBOVESPA, except Brazil interest rate, which was not significant with that index. The variable of IBOVESPA was explained in more than 90% by itself in the twelfth month, followed by country-risk with less than 5%.O objetivo deste trabalho foi de verificar a relação de causalidade entre um conjunto de variáveis macroeconômicas, representadas por taxa de câmbio, taxa de juros, inflação (IPCA), índice de produção industrial como proxy do Produto Interno Bruto em relação ao Índice de Bolsa de Valores de São Paulo (Ibovespa). O período de análise compreendeu os meses de janeiro de 1995 a dezembro de 2010, perfazendo um total de 192 observações para cada variável. Os testes de Johansen, através da estatística do traço e do máximo autovalor, indicaram a existência de pelo menos um vetor de cointegração. Na análise dos testes de causalidade de Granger via correção de erros, ficou constatado que existiu causalidade de curto prazo entre o IPCA e o Ibovespa. No que concerne à causualidade de Granger de longo prazo, os resultados indicaram comportamento de longo prazo entre as variáveis macroeconômicas com o IBOVESPA. Os resultados do vetor normalizado de longo prazo para a variável Ibovespa evidenciaram que a maioria dos sinais dos parâmetros da equação de cointegração estão de acordo com o sugerido pela teoria econômica. Em outras palavras, houve um comportamento positivo do PIB e negativo da inflação e da taxa de câmbio (esperava-se uma relação positiva) em relação ao Ibovespa, com exceção da taxa Selic., que não foi significativa com o referido índice. A variância do Ibovespa foi explicada em mais de 90% por ela mesma no mês 12, seguida do risco-país, com menos de 5%.application/pdfporUniversidade Federal de Santa MariaPrograma de Pós-Graduação em AdministraçãoUFSMBRAdministraçãoIbovespaVariáveis macroeconômicasCointegraçãoCausalidade de GrangerMacroeconomic variablesCointegrationGranger causalityCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOAnálise da causalidade e cointegração entre variáveis macroeconômicas e o IbovespaAnalysis of causality and cointegration between macroeconomic variables and Ibovespainfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisCoronel, Daniel Arrudahttp://lattes.cnpq.br/9265604274170933Carvalho, Fátima Marília Andrade dehttp://lattes.cnpq.br/3789209098478109Vieira, Kelmara Mendeshttp://lattes.cnpq.br/4786960732238120http://lattes.cnpq.br/6812696099451527Silva, Fabiano Mello da600200000006400500300300500c5f7e145-5c80-4b8f-b8ac-11b99023565716a1c1a1-b286-4c4f-92d7-fc15f3bd7b94f5c2d9d7-8c13-4721-bc6d-407c03c0c1131c691bba-169f-47d1-957f-e172c1bbf3cdinfo:eu-repo/semantics/openAccessreponame:Biblioteca Digital de Teses e Dissertações do UFSMinstname:Universidade Federal de Santa Maria (UFSM)instacron:UFSMORIGINALSILVA, FABIANO MELLO DA.pdfapplication/pdf1978661http://repositorio.ufsm.br/bitstream/1/4599/1/SILVA%2c%20FABIANO%20MELLO%20DA.pdf7f84c4a9f16d967100144080f8893b4aMD51TEXTSILVA, FABIANO MELLO DA.pdf.txtSILVA, FABIANO MELLO DA.pdf.txtExtracted texttext/plain275377http://repositorio.ufsm.br/bitstream/1/4599/2/SILVA%2c%20FABIANO%20MELLO%20DA.pdf.txt33f97b4fdc1f99d5f0c0a4ce5c72fbc8MD52THUMBNAILSILVA, FABIANO MELLO DA.pdf.jpgSILVA, FABIANO MELLO DA.pdf.jpgIM Thumbnailimage/jpeg4960http://repositorio.ufsm.br/bitstream/1/4599/3/SILVA%2c%20FABIANO%20MELLO%20DA.pdf.jpg836f8c649553fb601f1219b53d8d6976MD531/45992022-07-07 09:05:02.677oai:repositorio.ufsm.br:1/4599Biblioteca Digital de Teses e Dissertaçõeshttps://repositorio.ufsm.br/ONGhttps://repositorio.ufsm.br/oai/requestatendimento.sib@ufsm.br||tedebc@gmail.comopendoar:2022-07-07T12:05:02Biblioteca Digital de Teses e Dissertações do UFSM - Universidade Federal de Santa Maria (UFSM)false |
dc.title.por.fl_str_mv |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
dc.title.alternative.eng.fl_str_mv |
Analysis of causality and cointegration between macroeconomic variables and Ibovespa |
title |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
spellingShingle |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa Silva, Fabiano Mello da Ibovespa Variáveis macroeconômicas Cointegração Causalidade de Granger Macroeconomic variables Cointegration Granger causality CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
title_short |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
title_full |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
title_fullStr |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
title_full_unstemmed |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
title_sort |
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa |
author |
Silva, Fabiano Mello da |
author_facet |
Silva, Fabiano Mello da |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Coronel, Daniel Arruda |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/9265604274170933 |
dc.contributor.referee1.fl_str_mv |
Carvalho, Fátima Marília Andrade de |
dc.contributor.referee1Lattes.fl_str_mv |
http://lattes.cnpq.br/3789209098478109 |
dc.contributor.referee2.fl_str_mv |
Vieira, Kelmara Mendes |
dc.contributor.referee2Lattes.fl_str_mv |
http://lattes.cnpq.br/4786960732238120 |
dc.contributor.authorLattes.fl_str_mv |
http://lattes.cnpq.br/6812696099451527 |
dc.contributor.author.fl_str_mv |
Silva, Fabiano Mello da |
contributor_str_mv |
Coronel, Daniel Arruda Carvalho, Fátima Marília Andrade de Vieira, Kelmara Mendes |
dc.subject.por.fl_str_mv |
Ibovespa Variáveis macroeconômicas Cointegração Causalidade de Granger |
topic |
Ibovespa Variáveis macroeconômicas Cointegração Causalidade de Granger Macroeconomic variables Cointegration Granger causality CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
dc.subject.eng.fl_str_mv |
Macroeconomic variables Cointegration Granger causality |
dc.subject.cnpq.fl_str_mv |
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO |
description |
The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product regarding São Paulo Stock Exchange Index (IBOVESPA). The period of analysis was between January 1995 and December 2010 with 192 observations for each variable. Johansen s tests through Estatistical Trace and Maximum Eigenvalue indicated that there is at least one cointegration vector. In the analysis of Granger Causality Tests by way of Error Correction, it was found that there was short-term causality between Consumer Price Index and IBOVESPA. Regarding long-term results of Granger Causality, it was showed behavior of long-term among the macroeconomic variables with IBOVESPA. The results of the long-term of normalized vector for the IBOVESPA variable showed that most of sign parameters of cointegration equation are in agreement with the one suggested by economic theory. In other words, there was a positive behavior regarding Gross Internal Product and a negative one regarding inflation and exchange rate (it was hoped a positive relation) regarding IBOVESPA, except Brazil interest rate, which was not significant with that index. The variable of IBOVESPA was explained in more than 90% by itself in the twelfth month, followed by country-risk with less than 5%. |
publishDate |
2012 |
dc.date.issued.fl_str_mv |
2012-02-10 |
dc.date.accessioned.fl_str_mv |
2017-04-11 |
dc.date.available.fl_str_mv |
2017-04-11 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
SILVA, Fabiano Mello da. Analysis of causality and cointegration between macroeconomic variables and Ibovespa. 2012. 142 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012. |
dc.identifier.uri.fl_str_mv |
http://repositorio.ufsm.br/handle/1/4599 |
identifier_str_mv |
SILVA, Fabiano Mello da. Analysis of causality and cointegration between macroeconomic variables and Ibovespa. 2012. 142 f. Dissertação (Mestrado em Administração) - Universidade Federal de Santa Maria, Santa Maria, 2012. |
url |
http://repositorio.ufsm.br/handle/1/4599 |
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por |
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Universidade Federal de Santa Maria |
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UFSM |
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Administração |
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Universidade Federal de Santa Maria |
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