Análise da transmissão da volatilidade do câmbio para o IBOVESPA

Abstract

This study aims to investigate the transfer of volatility between the Brazilian foreign exchange market, exemplified by the Real/US Dollar exchange rate, and the financial market represented by the Ibovespa index. This research topic is relatively scarce in Brazilian literature, with most studies primarily focused on understanding the stock market’s behavior in situations of internal or external systemic risk, without emphasizing how a specific variable like currency can play a significant role in volatility. To examine the relationship between these variables, the econometric methodology ofGARCH-BEKK was employed. Through this analysis, we identified a significant impact of the exchange rate on the currency’s volatility in the Brazilian market index, although the inverse relationship was not predominant. From this study, we can confirm the inverse relationship and its implications between the exchange rate and the Brazilian stock market, assisting in making speculative or non-speculative investment decisions, given the flight to quality nature that the currency often assumes.