In this paper it is discussed and empirically tested the influence of foreign investors flow of resources on the Ibovespa index of the Sao Paulo Stock Exchange from January 1995 to july 2005. Other important variables are considered in the test, including a stock index of the United States, internal and external interest rates, the markets liquidity, exchange rate and country risk. The foreign influence is measured by the difference between the purchases and sells of foreign investors in the market of their participation in the Brazlian market capitalization. The effect of the inflow of resources was not detected straightly, but through an increase of the liquidity, what is compatible with the hypothesis that the foreign investors represent an increase of the base of stockholders of the domestic companies. The inflow of resources, on the other hand, anticipates the behavior of index. Country risk, exchange rate and liquidity of the market were important to explain variations of the Ibovespa.

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Este artigo analisa a relação entre variáveis macroeconômicas e retornos do Ibovespa no período pós-Plano Real. Verificou-se que os retornos do mercado de ações não servem de hedge para a inflação esperada e não se constatou relação negativa entre inflação e atividade econômica. Estes resultados são inconsistentes com as hipóteses fisheriana modificada e proxy effect. Contudo, a "causalidade reversa" , que reflete a influência dos movimentos no mercado de ações sobre a taxa de inflação, medida pelas variações da taxa de juros ex-ante, foi verificada. Mostrou-se, também, que variações do Ibovespa e PIB real não apresentaram relação significativa, mas a relação entre setor externo e Ibovespa foi verificada através da taxa de câmbio real e spreads do C-Bond.
We study the relationship between a set of macroeconomics variables and stock market returns for the Brazilian economy after the Real Plan. We find that returns do not hedge against expected inflation, and the inflation rate and output show no negative relationship, which is inconsistent with a "modified fisherian" and "proxy effect" hypothesis. Yet there is "inverse causality", i.e. stock market movements affect inflation rate if measured by ex ante interest rates. Results show no significant relationship between stock market and output. We also find a relationship between the Bovespa index and C-bond spreads and exchange rates

Este artigo analisa o impacto de choques monetários nas principais variáveis macroeconômicas e no produto de setores industriais, no Brasil, entre 1999 e 2008. É utilizada a metodologia de modelos VAR, pela abordagem de Toda & Yamamoto (1995), e funções de impulso-resposta. Verificou-se robustez dos modelos e efetividade da política monetária no período. Os setores industriais respondem negativamente à política monetária exógena, mas com diferença no nível do efeito. Os setores de bens de consumo duráveis apresentam a maior resposta, os de bens de demanda industrial uma reação intermediária, e o de bens de consumo não duráveis a menor resposta.
This paper aims to analyze the impact of monetary shocks on main macroeconomic and industrial disaggregated production variables, between 1999 and 2008, in Brazil. We used the VAR methodology, developed by Toda & Yamamoto (1995), and formulation of impulse-response functions. Results show robustness of the models, and effectiveness o monetary policy over the period. Industrial sectors respond negatively to exogenous monetary policy, but show difference on the effect level. Durable goods sectors show the highest response to monetary policy, industrial demand goods sectors have an intermediary reaction, and nondurable goods sector shows the less significant response

We examine the relationship between stock returns and foreign investment in Brazil, and find that the inflows of foreign investment boosted the returns from 1995 to 2005. There was a strong contemporaneous correlation, although not Granger-causality. Foreign investment along with the exchange rate, the influence of the world stock markets, and country risk can explain 73 percent of the changes that occurred in the stock returns over the period. We also find that positive feedback trading played a role, and that the market promptly assimilated new information.