Abstract

BRUGGER, Samuel  and  ORTIZ, Edgar. Stock Markets and their Relationship with the Real Economy in Latin America. Prob. Des [online]. 2012, vol.43, n.168, pp.63-93. ISSN 0301-7036.

The paper examines the relationship between the performance of Latin American stock markets with their real economies, applying seven econometric models for the cases of Argentina, Brazil, Chile and Mexico. The relationship between stock market yields in these countries and their respective GDPS is examined and compared, applying to the series for each country unit root tests, cointegration analysis, error correction model analysis, Granger causality modeling, self-regression vector analysis, stimulus and response functions, and variance decomposition analysis. The series comprise the following stock markets: Argentina's MERVAL, Brazil's BOVESPA, Chile's IGPA, and Mexico's IPC, as compiled by Economática. The GDP series were obtained from the CEPALStat data base. The series are monthly and are for the period 1993-2005.

Keywords : Emerging capital markets; economic development; Latin America.

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