An analysis of integration degree between macroeconomic and financial variables through principal components (2002-2013) | Zendy

Elmo Tambosi Filho | Zendy

Open Access

An 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.

The content you want is available to Zendy users.

Already have an account? Click here to sign in.

Having issues? You can contact us here

Accelerating Research