Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira

Nunes, Mauricio and Da Silva, Sergio (2005): Política Monetária e Relação entre PIB Real e Mercado de Ações na Economia Brasileira. Published in: Indicadores Economicos FEE , Vol. 33, No. 1 (June 2005): pp. 215-230.

Abstract

This paper presents favorable piece of evidence of the relationship between the Brazilian real output and its stockmarket. Neglecting this fact may jeopardize current price stability and economic growth.

• Item Type: MPRA Paper
• Institution: Federal University of Santa Catarina
• English Title: Monetary policy and the relationship between real GDP and stockmarket in the Brazilian economy
• Language: Portuguese
• Keywords: Economia brasileira; PIB real; Bovespa
• Subjects: E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E58 - Central Banks and Their Policies

References

ABEL, A. Stock prices under time varying dividend risk: an exact solution of an infinite horizon general equilibrium model. Journal of Monetary Economics, Amsterdam, North-Holland, v. 22, n. 3, p. 375-393, 1988. ASHLEY, R.; GRANGER, C. W. J.; SCHMALENSEE, R. Advertising and aggregate consumption: an analysis of causality. Econometrica, Chicago, Ill., Econometric Society; University of Chicago, Ill, v. 48, n. 5, p. 1149-1167, July 1980. BARRO, R. J. The stock market and investment. Review of Financial Studies, New York, NY, Society for Financial Studies, v. 3, n. 1, p. 115-131, Spring 1990. BEKAERT, G.; GARCIA, M. G. P.; HARVEY, O. R. (1995). The role of capital markets in economic growth. Rio de Janeiro: PUC, 1995. (Texto para Discussão, n. 342). BERNANKE, B.; GERTLER, M. Monetary policy and asset price volatility. Economic Review, Kansas City, Mo. Federal Reserve Bank of Kansas City, n. 4, p. 17-51, Fourth Quarter 1999. BERNANKE, B.; GERTLER, M. Monetary policy and asset price volatility. Stanford, CA: National Bureau of Economic Research, 2000. (NBER Working Papers, n. 7559). p. 1-112. BERNANKE, B.; GERTLER, M. Should central banks respond to movements in asset prices? American Economic Review, Nashville, Tenn., American Economic Association, v. 91, n. 2, p. 253-257, 2001. BREEDEN, D. T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, Amsterdam, North-Holland; University of Rochester, v. 7, n. 3, p. 265-296, Sep 1979. BROCK, W. A. Asset prices in a production economy. In: MCCALL, J. J. (Ed.). The economics of information and uncertainty. Chicago, Ill.: University of Chicago, 1982. CECCHETTI, S. G.; GENBERG, H.; WADHAWANI, S. Asset prices in a flexible inflation targeting framework. Stanford, CA: National Bureau of Economic Research, 2002. (NBER Working Papers, n. 8970). p. 1-22. 228 Indic. Econ. FEE, Porto Alegre, v. 33, n. 1, p. 215-230, jun. 2005 Maurício Nunes; Sergio da Silva CHEN, N. F. Financial investment opportunities and the real economy. Journal of Finance, New York, American Finance Association, v. 46, n. 2, p. 529-554, June 1991. CHOI, J. J.; HAUSER, S.; KOPECKY, K. J. Does the stock market predict real activity? Time series evidence from the G-7 countries. Journal of Banking and Finance, Amsterdam, Elsevier Science B. V., v. 23, n. 12, p. 1771-1792, Dec 1999. COX, J. C.; INGERSOLL. J. E.; ROSS, S. A. An intertemporal general equilibrium model of asset prices. Econometrica, Chicago, Ill., Econometric Society; University of Chicago, v. 53, n. 2, p. 363-384, Mar 1985. ENDERS, W. Aplied econometric time series. 1. ed. New York: John Wiley, 1994. ENGLE, R. F., GRANGER, C. W. J. Cointegration and error correction: representation, estimation, and testing. Econometrica, Chicago, Ill., Econometric Society; University of Chicago, v. 55, n. 2, p. 251-276, Mar 1987. FAMA, E. F. Stock returns, expected returns, and inflation. American Economic Review, Nashville, Tenn., American Economic Association, v. 71, n. 4, p. 545- -565, Sep 1981. FAMA, E. F.; FRENCH, K. R. Dividend yields and expected stock returns. Journal of Financial Economics, Amsterdam, North-Holland; University of Rochester, v. 22, n. 1, p. 3-25, Oct 1988. FAMA, E. F. Stock returns, expected returns, and real activity. Journal of Finance, New York, American Finance Association, v. 45, n. 4, p. 1089-1108, Sep 1990. FULLER, W. A. Introduction to statistical time series. New York: John Wiley, 1976. GESKE, R.; ROLL, R. The fiscal and monetary linkage between stock returns and inflation. Journal of Finance, New York, American Finance Association, v. 38, n. 1, p. 1-33, Mar 1983. GUJARATI, D. Basic econometrics. 4. ed. New York: McGraw Hill, 2003. KAUL, G. Stock returns and inflation: the role of monetary sector. Journal of Financial Economics, Amsterdam, North-Holland; University of Rochester, v. 18, n. 2, p. 253-276, June 1987. 229 Indic. Econ. FEE, Porto Alegre, v. 33, n. 1, p. 215-230, jun. 2005 Política monetária e relação entre PIB real e mercado de ações na economia brasileira KWON, C. S.; SHIN, T. S. Cointegration and causality between macroeconomic variables and stock markets returns. Global Finance Journal, Greenwich, Conn., JAI Press, v. 10, n. 1, p. 71-81, Spring/Summer 1999. LUCAS, R. E. Asset prices in an exchange economy. Econometrica, Chicago, Ill., Econometric Society; University of Chicago, v. 46, n. 6, p. 1429-1445, Nov 1978. MARATHE, A.; SHAWKY. Predictability of stock returns and real production. The Quarterly Review of Economics and Finance: journal of the Midwest Economics Association, Champaign, Ill., Bureau of Economic and Business Research; University of Illinois at Urbana-Champaign, v. 34, n. 4, p. 317-331, Winter 1994. MILLS, T. C. The econometric modelling of financial time series. New York: Cambridge University, 1993. MOREIRA, A. R. B.; FIORÊNCIO, A.; LOPES, H. F. Um modelo de previsão do PIB, inflação e meios de pagamentos. Rio de Janeiro: IPEA, 1996. (Texto para Discussão, n. 446). NAJAND, M.; NORONHA, G. Causal relations among stock returns, inflation, real activity and interest rates: Evidence from Japan. Global Finance Journal, Greenwich, Conn., JAI Press, v. 9, n. 1, p. 71-80, Spring/Summer 1998. NUNES, M. S.; DA COSTA JR., N. C. A.; SEABRA, F. Co-integração e causalidade entre as variáveis macroeconômicas, “risco Brasil” e os retornos no mercado de ações brasileiro. Revista de Economia e Administração, São Paulo, SP, Ibmec Educacional, v. 2, p. 26-42, 2003. SCHWERT, G. W. Why does stock market volatility change over time? Journal of Finance, New York, American Finance Association, v. 44, n. 5, p. 1115-1153, Dec 1989. STOCK, J. H.; WATSON, M. W. Forecasting output and inflation: the role of asset price. Stanford, CA: National Bureau of Economic Research, 2001. (NBER Working Papers, n. 8180). p. 1-89. TOURINHO, O. A. F. O crescimento econômico ótimo em economias com inflação. Rio de Janeiro: IPEA, 1996. (Texto para Discussão, n. 430).