da Silva Fabiano Mello, Coronel Daniel Arruda, Vieira Kelmara Mendes
Federal University of Santa Maria, Department of Business, Santa Maria, Rio Grande do Sul, Brazil.
PLoS One. 2014 Feb 28;9(2):e89765. doi: 10.1371/journal.pone.0089765. eCollection 2014.
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 twelfth month, followed by the country risk, with less than 5%.
本研究旨在分析一组宏观经济变量之间的因果关系，这些变量由汇率、利率、通货膨胀（消费者物价指数）、作为国内生产总值代理指标的工业生产指数以及圣保罗证券交易所（Bovespa）指数来代表。分析期为1995年1月至2010年12月，每个变量共有192个观测值。Johansen检验通过迹统计量和最大特征值统计量表明至少存在一个协整向量。在通过误差修正进行的格兰杰（1988）因果关系检验分析中，发现消费者物价指数与Bovespa之间存在短期因果关系。关于格兰杰（1988）长期因果关系，结果表明宏观经济变量与Bovespa之间存在长期行为。Bovespa变量的长期标准化向量结果显示，协整方程参数的大多数信号与经济理论所表明的一致。换句话说，相对于Bovespa而言，国内生产总值呈现正向行为，通货膨胀和汇率呈现负向行为（预期应为正向关系），塞尔希利率（Selic rate）除外，它与该指数无关。在第12个月，Bovespa的方差有超过90%由其自身解释，其次是国家风险，占比不到5%。
