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Previous issue date: 2016-03-14 === This study aimed to empirically investigate whether investments in stocks and
bonds respond to changes in the levels of macroeconomic variables (government
spending, total goods and money supply) in Brazil from 1995 to 2014. For this we
use the extension of the model with n-assets of the theoretical work of Devereux
and Sutherland (2008) that related government spending, total goods and money
supply with investments in stocks and title on the development of the approach
model for the portfolio balance computing. After identifying that the series studied
were not stationary, it was decided to use the concept of cointegration and is
estimated to Vector Error Correction Model. The estimated coefficients were
statistically significant and showed the expected signs. The results show
empirical evidence that capital movements are affected by government spending,
output and money supply. === Este trabalho teve o objetivo de investigar empiricamente se os investimentos
em a????es e t??tulos respondem ??s mudan??as nos n??veis das vari??veis
macroecon??micas (Gastos do Governo, Produtos Totais e Oferta Monet??ria) no
Brasil no per??odo de 1995 a 2014. Para isso utilizamos a extens??o do modelo
com ???? ativos do trabalho te??rico de Devereux e Sutherland (2008) que
relacionam os gastos do governo, produtos totais e oferta monet??ria com os
investimentos em a????es e t??tulo no desenvolvimento do modelo de aproxima????o
para a computa????o de equil??brio de carteiras. Ap??s identificar que as s??ries
estudadas eram n??o estacion??rias, optou-se pela utiliza????o do conceito de
cointegra????o, sendo estimado um Modelo de Corre????o de Erros Vetorial. Os
coeficientes estimados foram estatisticamente significativos e apresentaram os
sinais esperados. Os resultados encontrados indicam evid??ncias emp??ricas de
que os movimentos de capitais s??o afetados pelos Gastos do Governo, Produto
e Oferta Monet??ria.
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