Impacto da Política Monetária no Mercado Acionário Brasileiro

Abstract

This study aims to analyze the impact of monetary policy on the Brazilian stock market in the period 2001-2012. The approach used is the event study methodology. Several linear regression models were specified in accordance with Bernanke and Kuttner (2005), emphasizing changes in the observed interest rate level and in changes in the expected and unexpected interest rate levels. Then, control variables were added to these models, namely the exchange rate and the return on the U.S. stock market, in order to adapt them to the conditions of the Brazilian stock market. The volatilities of the adapted models were modeled as a GARCH (1,1) processes. The results provide evidence of a significant and negative effect of monetary policy on the Brazilian stock market. It is confirmed that the Brazilian equity market is significant and positively correlated with the U.S.’s stock market and that the R$/US$ exchange rate is significantly and negatively correlated with the Brazilian stock market.

Keywords: Monetary Policy. Inflation Targeting. Interest Rate. Stock Return. Stock Market. BM&FBOVESPA. Brazil.

JEL Classification: E52, G14