Open AccessAn analysis of integration degree between macroeconomic and financial variables through principal components (2002-2013)
Author(s) -
Elmo Tambosi Filho
Publication year - 2014
Publication title -
corporate ownership and control
Language(s) - English
Resource type - Journals
eISSN - 1810-0368
pISSN - 1727-9232
DOI - 10.22495/cocv11i2c7p7
Subject(s) - principal component analysis , index (typography) , economics , stock exchange , econometrics , exchange rate , interest rate , financial economics , inflation (cosmology) , degree (music) , stock market index , stock (firearms) , statistics , mathematics , monetary economics , finance , geography , stock market , computer science , physics , context (archaeology) , archaeology , world wide web , theoretical physics , acoustics
This work has as its objective to evaluate integration degree of these indexes: Sao Paulo Stock Exchange – IBOVESPA, New York Stock Exchange- Dow Jones, interest rate-SELIC, which fulfills as basic interest rate in Brazil, the civil construction index – CUB and the pricing index to the ample consumer- IPCA, which fulfills as an internal inflation rate in Brazil. The period of analysis was from January 2002 to March 2013. The methodology was principal component analysis (ACP). It shows a high relation degree among SELIC, CUB and IPCA. IBOVESPA and DOW JONES do not present relation with the other variables.