O impacto da política monetária no mercado de ações brasileiro

Abstract

This paper contains an analysis of the influence of monetary policy on the Brazilian stock market between January 2003 and June 2018. The ARDL (Auto-Regressive Distributed Lag) model, selected after 342,732 estimates, considered the stock market price (dependent variable), the internal and external interest rate, the Brazilian GDP and the exchange rate. The results indicated the existence of cointegration. In general, it was noted that a 10% increase in interest rates (SELIC) would cause an immediate (same month) valuation of 1.41% over the stock price, followed by a negative effect of −1.12%, next month. In the long term, this measure would have a positive impact of 3.63%. A 10% devaluation from Real (R $) against the Dollar (US $) would cause a 9.7% drop on the stock market in the short term and reduction of 9.13% in the long term. The short and long-term impacts of the Brazilian GDP and the International Interest Rate, although positive, were not significant. Finally, it was found that any short-term exogenous shock converges to long-term equilibrium at a rate of 10.6% per month. Therefore, the initial effect of a monetary policy on the stock market would tend to stabilize at, approximately, 1/0,106 = 9,43 months or 283 days. It should be noted that, despite the relevance of the theme, only one paper, focused on foreign countries, seems to have used the methodology proposed in this research, with the same purpose.