TITLE:
Macroeconomic and Financial Variables’ Influence on Brazilian Stock and Real Estate Markets: A Comparative Analysis in the Period from 2015 to 2019
AUTHORS:
Pedro Raffy Vartanian, Henrique Farias dos Santos, Wesley Mendes da Silva, Mauricio Fronzaglia
KEYWORDS:
Financial Market, Stock Market, Real Estate Market, Macroeconomic, Ibovespa, IFIX
JOURNAL NAME:
Modern Economy,
Vol.13 No.5,
May
31,
2022
ABSTRACT: Numerous studies have sought to investigate the relationship
between macroeconomic variables and financial market evolution. Such analyses, however,
have focused on the stock market. The present research, as a distinction, included
the index of real estate funds (IFIX) in its approach. In this context, the study
comparatively analyzed the impact of macroeconomic indicators (interest rates, inflation,
industrial production, and the exchange rate) and financial indicators (the S&P
500 and the oil price) on the Ibovespa and the IFIX from January 2015 to December
2019. This period was chosen due to the peculiar characteristics of the resumption
of economic growth after the 2014-2016 recession in the context of changes in the
degree of intervention in the economy. The research addressed the historical evolution
of stock and real estate fund indices, such as the Ibovespa and the IFIX, respectively,
which showed a positive trajectory, especially from 2016 onward. To achieve its
objective, the research applied the vector with error correction (VEC) econometric
model to determine whether there is a possibility of diversification between the
two markets. Among the results obtained were relatively convergent behavior of the
Ibovespa and the IFIX in the face of macroeconomic and financial shocks, according
to the impulse response functions of the estimated econometric model, which prevents
diversification between the two markets.