NDLI: Causality and Cointegration Analysis between Macroeconomic Variables and the Bovespa

Content Provider	PubMed Central
Author	Silva, Fabiano Mello Da Coronel, Daniel Arruda Vieira, Kelmara Mendes
Editor	Preis, Tobias
Copyright Year	2014
Abstract	The aim of this study is to analyze the causality relationship among a set of macroeconomic variables, represented by the exchange rate, interest rate, inflation (CPI), industrial production index as a proxy for gross domestic product in relation to the index of the São Paulo Stock Exchange (Bovespa). The period of analysis corresponded to the months from January 1995 to December 2010, making a total of 192 observations for each variable. Johansen tests, through the statistics of the trace and of the maximum eigenvalue, indicated the existence of at least one cointegration vector. In the analysis of Granger (1988) causality tests via error correction, it was found that a short-term causality existed between the CPI and the Bovespa. Regarding the Granger (1988) long-term causality, the results indicated a long-term behaviour among the macroeconomic variables with the BOVESPA. The results of the long-term normalized vector for the Bovespa variable showed that most signals of the cointegration equation parameters are in accordance with what is suggested by the economic theory. In other words, there was a positive behaviour of the GDP and a negative behaviour of the inflation and of the exchange rate (expected to be a positive relationship) in relation to the Bovespa, with the exception of the Selic rate, which was not significant with that index. The variance of the Bovespa was explained by itself in over 90% at the twelth month, followed by the country risk, with less than 5%.
Related Links	http://dx.doi.org/10.1371/journal.pone.0089765
Starting Page	89765
File Format	PDF
ISSN	19326203
e-ISSN	19326203
Journal	PLoS ONE
Issue Number	2
Volume Number	9
Language	English
Publisher	Public Library of Science
Publisher Date	2014-02-01
Access Restriction	Open
Rights Holder	Public Library of Science
Subject Keyword	Biochemistry, Genetics and Molecular Biology(all) Agricultural and Biological Sciences(all) Medicine(all) Research in Higher Education
Content Type	Text
Resource Type	Article
Subject	Multidisciplinary

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