Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T12:34:06Z No. of bitstreams: 1 AnaMariaMoreiradeCarvalhoDissertacao2015.pdf: 732396 bytes, checksum: 4a557a6165cbe8ea39ca489506164a7e (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T12:34:14Z (GMT) No. of bitstreams: 1 AnaMariaMoreiradeCarvalhoDissertacao2015.pdf: 732396 bytes, checksum: 4a557a6165cbe8ea39ca489506164a7e (MD5) / Made available in DSpace on 2017-04-20T12:34:14Z (GMT). No. of bitstreams: 1 AnaMariaMoreiradeCarvalhoDissertacao2015.pdf: 732396 bytes, checksum: 4a557a6165cbe8ea39ca489506164a7e (MD5) Previous issue date: 2016-03-14 / This study aimed to empirically investigate whether investments in stocks and bonds respond to changes in the levels of macroeconomic variables (government spending, total goods and money supply) in Brazil from 1995 to 2014. For this we use the extension of the model with n-assets of the theoretical work of Devereux and Sutherland (2008) that related government spending, total goods and money supply with investments in stocks and title on the development of the approach model for the portfolio balance computing. After identifying that the series studied were not stationary, it was decided to use the concept of cointegration and is estimated to Vector Error Correction Model. The estimated coefficients were statistically significant and showed the expected signs. The results show empirical evidence that capital movements are affected by government spending, output and money supply. / Este trabalho teve o objetivo de investigar empiricamente se os investimentos em a????es e t??tulos respondem ??s mudan??as nos n??veis das vari??veis macroecon??micas (Gastos do Governo, Produtos Totais e Oferta Monet??ria) no Brasil no per??odo de 1995 a 2014. Para isso utilizamos a extens??o do modelo com ???? ativos do trabalho te??rico de Devereux e Sutherland (2008) que relacionam os gastos do governo, produtos totais e oferta monet??ria com os investimentos em a????es e t??tulo no desenvolvimento do modelo de aproxima????o para a computa????o de equil??brio de carteiras. Ap??s identificar que as s??ries estudadas eram n??o estacion??rias, optou-se pela utiliza????o do conceito de cointegra????o, sendo estimado um Modelo de Corre????o de Erros Vetorial. Os coeficientes estimados foram estatisticamente significativos e apresentaram os sinais esperados. Os resultados encontrados indicam evid??ncias emp??ricas de que os movimentos de capitais s??o afetados pelos Gastos do Governo, Produto e Oferta Monet??ria.