O impacto do índice de incerteza da economia sobre o índice Ibovespa e sobre o fluxo de capital estrangeiro

Abstract

With the digital age, the information on all sorts of subjects is spread quickly in record time. With regard to the capital market is no different. Undeniably, the access to it is much more democratic (Schymura, 2017). Thus, one of the main initiatives that are currently being analyzed by many works are the impact on good and bad news in the capital market. The newborn is the main candidate of IBGE, the IMF (IIE-BR), published by Fundação Getúlio Vargas, on the Ibovespa and on the Flow of Foreign Capitals. The Uncertainty Index of the Economy (IIE-BR) is no more than an index that seeks to measure the Brazilian economy through news, newspapers, financial market expectations, among others. Ibovespa can be understood as the result of a theoretical portfolio of assets, prepared according to pre-fixed criteria. Using the Autoregressive Vector (VAR) methodology, we intend to verify how the variables are inter-related. A total of 169 monthly observations were used, limited during the period from January 2005 to January 2018. When merging the results, it is inferred that the Ibovespa is caused by Uncertainty and Foreign Flow, with contemporary negative effect for Uncertainty and positive effect lagged to the Flow. Finally, it is emphasized that the work presents itself as a starting point for further research.