A Study of the Impact between the Macroeconomic Variables and the Brazilian Stock Exchange Index Through the Vector Autoregression and the Vector Error Correction

The current scenery of the economical conjuncture states that Brazil presents solid economical indexes, able to provide a suitable financial system for the growth of the stock market in the country. Therefore, the aim of this study was to analyze the correlation between a set of specific macroeconomic variables and the assets return in the Brazilian stock market, making use of the methodology of the multivaried model VAR. The variable used are: the GDP, the interest rate (SELIC), the Exchange rate, the inflation (IPCA), the price of a petrol barrel, the gold rate (BM&F) and the return of the Brazilian stock market, represented by the Índice da Bolsa de Valores de São Paulo (Ibovespa). Thus, it was intended to contribute for the understanding of how the internal macroeconomic variables can affect the decision taking on investment through the stock market in order to provide an additional tool for the decision-taking by the market agents as well as the authorities who, somehow, interfere in the conduction of the country´s monetary and exchange rate policy