Cointegração entre o ibovespa e variáveis macroeconômicas relevantes

Abstract

This study investigates the existence of a cointegration relationship between the performance of the Brazilian stock market, represented by the Ibovespa index, and relevant macroeconomic variables, such as exchange rate, interest rate, inflation, and country risk. The objective is to analyze how these variables influence the long-term behavior of the index, covering the period from January 2000 to July 2024. The research adopts a quantitative approach, using unit root tests (ADF and PP) to verify the stationarity of the time series, in addition to the Johansen cointegration test and the Vector Error Correction Model (VECM). The results indicate that all series are integrated of order one and present at least one cointegration vector, highlighting a long-term equilibrium relationship between the Ibovespa and the analyzed variables. It is concluded that shocks in macroeconomic variables have significant effects on the index, being fundamental for investor decision-making.