Relationship between macroeconomic variables and Ibovespa under different volatility regimes

Authors

  • Bruno Milani Universidade Federal de Santa Maria (UFSM) – Santa Maria – RS, Brasil
  • Keler Eliana Severo Corrêa Universidade Federal de Santa Maria
  • Adriano Mendonça Souza Universidade Federal de Santa Maria
  • Cleber Bisognin

DOI:

https://doi.org/10.12712/rpca.v.194.69935

Abstract

This study investigates whether macroeconomic factors exhibit Granger causality toward the Ibovespa, taking into account different Markov volatility regimes and the effects of the COVID-19 pandemic. We first estimate a Markov-Switching GARCH model that identifies two distinct regimes. Next, Granger causality tests are applied to each regime and period to assess the predictive power of ten macroeconomic variables. The results indicate that the causality structure is highly regime-dependent and that substantial structural changes occurred after the pandemic.

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Published

2026-03-27

Issue

Vol. 19 No. 4 (2025)

Section

Artigos/Papers

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