Transmissão Financeira entre o Mercado Acionário e o Mercado de Títulos de Dívida

The aim of this paper is to measure the endogenous relationship betweenstock and bond markets. To recover the structural form of this relationship,the author applied the method of identication through heteroskedasticity.Both coefcients were found to be negative which is consistent with thenotion that, given an opportunity cost of capital, the returns move inopposite directions in order to promote the equilibrium of the capital ow.However, only the coefcient that measures the impact of bond market overstock markets was signicantly different from zero. Thus, the intensity ofthis relationship also depends on the relative size of the markets understudy.