文章基本信息

标题：The impact of the monetary policy on the Brazilian equity market
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作者：Luan Wallacy Vieira Soares ; Vinícius de Azevedo Couto Firme ; Luiz Antônio de Lima Júnior 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2021
卷号：19
期号：1
页码：70-96
DOI：10.12660/rbfin.v19n1.2021.82149
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：This work used ARDL models, with macroeconomic controls, to analyze the effect of monetary policy on the Brazilian stock market (IBOVESPA) between January 2003 and June 2018. The results indicate that domestic and foreign real interest rates have no significant direct effects on IBOVESPA. A devaluation in the real exchange rate and an increase in the Brazil's risk would be detrimental only in the short term. External volatility would generate a “harmless initial shock,” but would attract foreign investors in the long run. Economic growth and a reduction in expected inflation would boost the market in both the short and long term. We verified that IBOVESPA decreases (increases) when individuals are surprised by a nominal interest rate, notably, higher (lower) than expected. In addition, the indirect effects of expected inflation proved to be relevant and consistent with the theory. On average, any shock would stabilize at 5.65 months.
关键词：Stock market; Monetary policy; ARDL model