Johansen tests, through the statistics of the trace and of the maximum eigenvalue, indicated the existence of at least one cointegration vector. ![]() The period of analysis corresponded to the months from January 1995 to December 2010, making a total of 192 observations for each variable. ![]() The aim of this study is to analyze the causality relationship among a set of macroeconomic variables, represented by the exchange rate, interest rate, inflation (CPI), industrial production index as a proxy for gross domestic product in relation to the index of the São Paulo Stock Exchange (Bovespa).
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