Influência das variáveis macroeconômicas e financeiras sobre os mercados acionário e imobiliário brasileiros: uma análise comparativa no período de 2015 a 2019

• Autor(a) principal: Santos, Henrique Farias dos
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações do Mackenzie
• Texto Completo: https://dspace.mackenzie.br/handle/10899/28466
• topic: Ibovespa; IFIX; influência; VEC; CNPQ::CIENCIAS SOCIAIS APLICADAS::ECONOMIA

Several authors sought to investigate the relationship between macroeconomic variables and the stock market. However, the analysis has timely focused on the stock market. The present study has differentiated by the inclusion of the IFIX (index of real estate funds) in the approach. In this context, the research analyzed the impact of macroeconomic indicators (interest rates, industrial production and the dollar) and financial indicators (S&P 500 and the oil price) on the Ibovespa and the IFIX in the period from January 2015 to December 2019 in order to compare the influence of such variables. The period was chosen due to the peculiar characteristics of the resumption of economic growth after the 2014-2016 recession in a context of changes in the degree of intervention in the economy. The research addresses the historical evolution of financial indicators such as the Ibovespa and the IFIX, which has a positive trajectory especially from 2016 onwards. To achieve the objective, the research applies a VEC econometric model (vector with error correction) to analyze, comparatively, the influence of macroeconomic and financial variables on the Ibovespa and the IFIX, with the additional objective of verifying whether there is a possibility of diversification between the two markets. Among the results found by the study, it was identified that the Ibovespa and the IFIX have divergent behaviors in the face of macroeconomic and financial shocks, according to what was presented by the impulse response functions of the estimated econometric model.