MACROECONOMICS AND THE STOCK MARKET IN BRAZIL: NEW EVIDENCE FROM DYNAMIC BAYESIAN NETWORKS

MACROECONOMICS AND THE STOCK MARKET IN BRAZIL: NEW EVIDENCE FROM DYNAMIC BAYESIAN NETWORKS

• Autor
• Leandro Coghi Bernardelli
• Co-autores
• Carlos Enrique Carrasco-Gutierrez , Thiago Christiano Silva
• Resumo

• This study examines the dynamic interdependencies between year-end and three-year-ahead macroeconomic expectations and the Brazilian stock market, treating financial markets as potential “barometers” of macroeconomic conditions. Using Dynamic Bayesian Networks (DBNs), we identify and characterize the evolving associations between expectations and market performance from 01/02/2007 to 12/06/2023, segmenting the sample into crisis and non-crisis regimes. The main findings indicate that macroeconomic expectations and stock indices exhibit weak or nonexistent directional dependence, both over the full sample and within specific regimes, suggesting that stock market dynamics are primarily driven by firm-level economic–financial fundamentals and sectoral heterogeneity rather than by shifts in expectations. The relatively small size and limited representativeness of the Brazilian stock market compared with those of advanced economies further strengthen this pattern of independence.

• Palavras-chave
• Dynamic Interdependence, Macroeconomic Expectation Variables, Stock Market, Dynamic Bayesian Networks.
• Modalidade
• Comunicação oral
• Área Temática
• Macrofinanças

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