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AN ANALYSIS OF INTEGRATION DEGREE BETWEEN MACROECONOMIC AND FINANCIAL VARIABLES THROUGH PRINCIPAL COMPONENTS (2002-2013)

Elmo Tambosi Filho

DOI: 10.22495/cocv11i2c7p7

Abstract

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.

Keywords: Interest Rate, Stock Exchange, Principal Components

How to cite this paper: Filho, E. T. (2014). An analysis of integration degree between macroeconomic and financial variables through principal components (2002-2013). Corporate Ownership & Control, 11(2-7), 752-756. http://doi.org/10.22495/cocv11i2c7p7

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