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Previous issue date: 2016-01-26 / The aim of this study is to evaluate the cause and effect relationship between a set of macroeconomic variables suggested and the return on assets in the Brazilian stock market, employing multivariate VAR optics. The variables employed in the study were: I) the average monthly index of Sao Paulo Stock Exchange (Bovespa-closing); II) the average monthly index of shares of the New York Stock Exchange (Nyse-closing); III) the real exchange rate (Ptax rate); IV) the price of a barrel of oil on the international market (Brent); V) the short-term interest rate (Selic); VI) the prime rate of the USA (Fed). The study covered the period between January 2006 and December 2014. The study was conducted through four econometric tests: Granger causality test, Analysis of Decomposition of Variances (VDC); Unit Root test (Dickey and Fuller Increased test - ADF) and analysis of Impulse response Function (IRF). The test results revealed that Nyse, then the Selic and the Brent oil, among the selected variables, showed the best statistical results. / O intuito deste estudo ?? avaliar a rela????o de causa e efeito entre um conjunto de vari??veis macroecon??micas sugeridas e o retorno dos ativos no mercado acion??rio brasileiro, empregando a t??cnica multivariada VAR. As vari??veis empregadas no estudo foram: I) o ??ndice m??dio mensal de a????es da Bolsa de S??o Paulo (Ibovespa - fechamento); II) o ??ndice m??dio mensal de a????es da Bolsa de New York (Nyse - fechamento); III) a taxa de c??mbio real (Ptax); IV) o pre??o do barril de petr??leo no mercado internacional (Brent); V) a taxa de juros de curto prazo (Selic) e VI) a taxa b??sica de juros dos EUA (Fed). O estudo abrangeu o per??odo entre janeiro de 2006 e dezembro de 2014. O estudo foi realizado por meio de quatro testes econom??tricos: Teste de Causalidade de Granger, An??lise das Decomposi????es das Vari??ncias (VDC); Teste de Raiz Unit??ria (Teste de Dickey e Fuller Aumentado - ADF) e An??lise das Fun????es de Resposta a Impulso (IRF). Os resultados dos testes revelaram que a Nyse, seguida da Selic e do petr??leo do tipo Brent, dentre as vari??veis selecionadas, foram as que apresentaram os melhores resultados estat??sticos.
| Identifer | oai:union.ndltd.org:IBICT/oai:132.0.0.61:jspui/710 |
| Date | 26 January 2016 |
| Creators | SILVEIRA, Tiago Lopes da |
| Contributors | SAMPAIO, Joelson Oliveira, SILVEIRA, H??ber Pessoa da, SAITO, Andre Taue, SILVA, Vinicius Augusto Brunassi |
| Publisher | FECAP, Mestrado em Administra????o, FECAP, Brasil, Funda????o Escola de Com??rcio ??lvares Penteado |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Biblioteca Digital de Teses e Dissertações do FECAP, instname:Fundação Aramando Álvares Penteado, instacron:FAAP |
| Rights | info:eu-repo/semantics/openAccess |
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